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>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
Information on Structured Credit Products and Trading Derivatives
with customers
The deterioration of US subprime loans was one of the main factors behind the financial markets turmoil
which started in H2 2007 and showed the first recovery signals only during 2009 thereby reducing the
risk of a recessionary relapse.
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 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 December 31, 2009. This is an addition to the compulsory disclosure required by Banca
d’Italia in Section 1.C Securitizations and sale transactions, whereas information on liquidity risk,
sensitivity analysis and stress testing of the trading book, is given in Sections 2 and 3 below.
A glossary of terms and acronyms is included in the annexes hereto.