Annual Accounts and Report as at 30 June 2011 Draft - Mediobanca

PART E - INFORMATION ON RISKS ANDRELATED HEDGING POLICIESSection 1Credit riskQUALITATIVE INFORMATIONBasel II projectIn compliance with the Basel II New Capital Accord transposed into the Italianregulatory framework under Bank of Italy circular no. 263 issued on 27December 2006 (“New regulations on capital requirements for banks”),Mediobanca has set itself the objective of measuring credit risk using internalratings.A specific project has therefore been launched with a view to obtainingratification by the Bank of Italy of the internal rating models to be used incalculating the capital requirements for credit risk. The internal rating modelsregard the following customer segments: Banks, Insurances, Large corporate,Holding companies, Specialized lending and Mid corporate. In addition, a plan isbeing implemented to comply with the experience requirement for the models tobe ratified, which will involve the existing procedures for approving, monitoringand renewing loans (described below) being gradually revised to incorporate therisk parameters calculated via the internal models that have been developed.Given the above, considering the uncertainty over possible changes to theregulatory framework for the banking industry at the international level, thetimeframe for submitting the application for the IRB system to be validated to theBank of Italy is currently being reviewed; and until the system has been validated,the Mediobanca Group will continue to use the standardized methodology it hasadopted since 1 January 2008– 359