Prospectus - Notowania

“Full US Recession” Scenario
201
>> Condensed Consolidated Financial Statements
Part E) – Information on risks and related risk management policies
This scenario assumes a severe US recession affecting also the rest of the world by a “contagion effect”. In terms of macro-
economic variables this scenario assumes:
� A dramatic decrease in equity stocks prices and indices either on the US and non-US markets associated to an
equity volatility increase;
� A dramatic US (different stress factors depending on the maturity) and non-US (different stress factors depending
on the maturity and geographic area) interest rate decrease each also associated to an increase in interest rate
volatility;
� A dramatic and comprehensive widening in credit spreads depending on rating and industry class.
“Financial Crisis” Scenario
The Financial Crisis scenario was introduced in the last quarter of 2008 and reflects the trend of Financial Markets in the third
quarter 2008. To account for the low liquidity in the market, the time horizon for this scenario was extended to cover a period
of one quarter instead of 2 to 6 weeks applied so far.
In terms of macro-economic variables, this scenario assumes:
� Stock markets plunging (fall) related to an increase in equity volatilities;
� A comprehensive decrease in interest rates (different stress factors depending on the maturity and on the
geographical area), together with a distinct steepening of interest rates curves. In this scenario also an increase in
interest rate volatility is assumed;
� A more dramatic and comprehensive widening of credit spreads with different stress factors depending on rating
and industry class.
The total effect of the described are shown in the following table.
€ million
SCENARIO Total
US Recession -341
Financial Crisis -1,016