Prospectus - Notowania

A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a
pricing service or regulatory agency, and those prices represent actual and regularly occurring market transactions on an
arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but
active markets exist for its component parts, fair value is determined on the basis of the relevant market prices for the
component parts.
If market prices are not available, the Group adopts mark to model valuation using generally accepted methods. These
models include techniques based on discounting future cash flow and calculations of volatility and are revised both during
development and regularly thereafter to ensure full and continuing consistency.
The methods adopted use inputs based on prices formed in recent transactions involving the instrument to be valued or the
prices of instruments with similar characteristics in terms of risk profile.
These prices are important for the purposes of determining significant parameters for credit risk, liquidity risk and price risk of
the instrument under valuation.
Reference to these market parameters limits the discretionality of the valuation and at the same time ensures that the
resulting fair value can be verified.
If for one or more risk factors it is not possible to refer to market data, the valuation models adopted use calculations based
on historical data.
As a further guarantee of the objectivity of the valuations provided by the valuation modelsthe Group carries out:
- Independent Price Verification (IPV) and
- Fair Value Adjustment – FVA.
Independent Price Verification is performed monthly by Risk Management units that are independent of the units that have
assumed the exposure.
IPV consists of comparison with and adjustment of the price of the day to valuations obtained from market participants.
For unlisted instruments IPV takes infoprovider prices as its reference, giving greater weight to the prices that are considered
more representative of the instruments being valued.
IPV includes: the ‘executability’ of the transaction at the observed price, if any; the number of contributors, the degree of
similarity of the financial instruments, consistency between prices obtained from different sources and the process followed by
the infoprovider when obtaining the price.
In addition to Independent Price Verification, Fair Value Adjustment (the calculation of further write-downs of reporting
amounts, recognized in the accounts in order to provide for risk relating to illiquid positions and valuation model risk) is also
performed.
The above-described valuation model review processes and the related parameters, value adjustments for model risk and the
use of prudent valuation models ensure that the amount taken to the income statement does not result from the use of nonobservable
parameters.
Independent Price Verification and Fair Value Adjustments were thus applied also to structured credit products classified as
financial assets held for trading, measured at fair value and available for sale.
CONSOLIDATED INTERIM REPORT
AS AT SEPTEMBER 30, 2009
190