Prospectus - Notowania

Currently, clockwise and counter-clockwise turning use the following increases/decreases:
� +50bps/-50bps for the one-day bucket
� 0 bps for the one-year bucket
� -50bps/ +50bps for the 30-year plus bucket
� for other buckets, the change to be set is found by linear interpolation.
Total 0.8 0.0 0.3 -0.2 0.8 -0.1 1.5 -290.6 -18.9 18.4 117.7 -5.4 -35.2
of which: EUR 0.6 0.5 0.1 -0.2 0.7 -0.2 1.5 -267.8 -19.1 18.5 118.7 -3.1 -12.6
USD 0.2 -0.3 0.3 -0.1 0.0 0.0 0.2 -42.6 -2.3 2.3 22.9 1.1 -26.9
GBP 0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 -1.6 -0.0 0.1 2.1 -0.6 0.9
CHF -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 4.7 0.6 -0.5 -4.3 -2.2 2.8
JPY 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 5.0 0.6 -0.6 -6.9 0.2 -0.2
CONSOLIDATED INTERIM REPORT
AS AT SEPTEMBER 30, 2009
+1 BPS
less than
3 months
Credit Spread Sensitivity
+1 BPS
3 months to
1 year
+1 BPS
1 year to
2 years
+1 BPS
2 years to
5 years
+1 BPS
5 years to
10 years
+1 BPS
over
10 years
+1 BPS
Total
-100 BPS
-10 BPS +10 BPS +100 BPS Interest CW Rates
Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift of
+1bp/+10bps/+100bps in the credit spread curves.
These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread curves, and in respect of
specific rating classes and economic sectors.
In addition to the foregoing, the sensitivity resulting from a deterioration of creditworthiness (i.e. a change of relative +50%) or
an improvement (i.e. a change of relative -50%) is calculated; in this case the shape of the credit spread curves is also
changed, since the change in bps of higher spreads will be greater than that of lower spreads.
In this regard, the reduction of the impact of the scenario of deterioration of the creditworthiness (i.e. by relative +50%)
observed in the last three months, according to which the hypothetical loss decreased from €1,825 million (June 2009) to
€1,321 million (September 2009), is due to the reduction in 1bp sensitivity (from €-8.1 to €-6.1 million/bp) and to the tightening
of spreads in some economic sectors (i.e. Financials).
+1 BP
less than
+1 BP
6 months
+1 BP
2 years
+1 BP
over 7
€ million
+10 BPS +100 BPS -50% -50%
6 months to 2 years to 7 years years Total
Total
Rating
0.0 -1.5 -2.3 -2.4 -6.1 -64.0 -636.3 1,705.4 -1,320.8
AAA -0.1 -0.5 -2.1 -1.6 -4.3 -43.1 -417.5 932.3 -737.1
AA -0.0 -0.3 -0.8 -0.2 -1.3 -14.0 -134.6 100.2 -81.1
A 0.1 -0.3 0.2 -0.4 -0.4 -2.8 -24.2 405.6 -288.3
BBB -0.0 -0.4 0.6 -0.3 -0.2 -3.5 -28.4 162.7 -136.1
BB 0.0 -0.0 -0.1 0.1 0.0 -0.1 -0.9 97.7 -63.6
B -0.0 0.0 -0.1 0.1 0.0 0.2 2.0 10.9 -5.7
CCC and NR 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.9 0.4 -0.4
Sector
Non Dev. Sovereigns & Related -0.0 0.0 -0.1 -0.3 -0.4 12.1 -13.6
ABS and MBS -0.0 -0.2 -1.2 -0.6 -2.1 1,016.5 -730.0
Jumbo and Pfandbriefe -0.0 -0.3 -0.8 -0.8 -1.9 119.6 -112.3
Financial Services 0.0 -0.6 -0.8 -0.5 -1.9 434.1 -364.5
All Corporates 0.1 -0.4 0.6 -0.2 0.1 133.1 -89.9
-Automotive 0.1 -0.2 0.1 -0.0 0.0 3.6 1.0
-Consumer Goods 0.0 -0.1 0.1 0.0 0.1 24.6 -13.1
-Pharmaceutical 0.0 -0.0 -0.0 -0.0 -0.0 9.9 -6.5
-Industries -0.0 -0.0 -0.0 -0.0 -0.1 28.5 -22.9
-Telecommunications -0.0 -0.0 0.2 -0.1 0.1 12.2 -8.6
-Utilities and Energy Sources 0.0 -0.1 0.2 -0.1 -0.0 23.6 -16.1
-All other Corporates -0.0 0.0 0.1 -0.0 0.1 30.6 -23.7
+ 1 BP
Total Developed Soveriegn -6.3 -63.2
Developed Sovereigns -0.1 -1.0
Developed Sovereigns related -6.2 -62.2
€ millions
CCW
198