Prospectus - Notowania

Information on Structured Credit Products and Trading Derivatives
with customers
The continuing turmoil in the financial markets, although there were a few signs of recovery, was mainly attributable to the
impairment losses of US subprime mortgages which began in the second half of 2007. This deterioration caused a general
widening of credit spreads and a gradual transformation of the securitized credits market into an illiquid market characterized
by forced sales.
Given this situation the market’s need for information on the exposures held by banks increased with structured credit
products being traded directly or through SPVs. Already in 2007 the Group provided ample information on these products, on
the operations of the sponsored conduits and on derivatives with customers, together with the principles followed to measure
and manage risk.
In 2008, additionally, several international and Italian organisms and regulators (viz., the Financial Stability Forum, the CEBS
– Committee of European Banking Supervisors, Banca d’Italia and CONSOB) published documents encouraging or requiring
banks to increase disclosure of their investments in consolidated SPEs (Special Purpose Entities), structured credit products,
trading derivatives with customers and fair value measurement policies, in accordance with a proposal based on current best
practice for financial information.
Starting with its First Half 2008 Report, the Group has therefore provided this information, which is here updated to
September 30, 2009, whereas information on liquidity risk, sensitivity analysis and stress testing of the trading book, is given
in Sections 2 and 3 of Part (E) below.
A glossary of terms and acronyms is included in the annexes hereto.
CONSOLIDATED INTERIM REPORT
AS AT SEPTEMBER 30, 2009
176