Aggiornamento al 31 Dicembre 2015

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4 4 Bn Mnt d sh d Sn SpA Sd S n Sn, zz Smbn, Istt Rgst Imps d Sn num d szn d fs Adnt Fnd Intbn d Tut d Dpst. Istt Ab d bnh n. 74 Cpgupp d Gupp Bn Mnt d sh d Sn, stt Ab d Gupp Bn d m b 0

5 Ind Intduzn Obttv pth d gstn d sh Exutv Summy I Gvn d Rsh n Gupp Mntpsh Sstm d Cnt Intn ss d Rsk Mngmnt np Ftt d Rsh pt Md Intn fn gmnt Ognzzzn d Funzn d Gstn d Rsh Rsh d Cdt Rsh Optv Rsh d Mt d Tdng Bk Rsh d Cntpt Rsh Tss d tfg Bn Rsh d Lqudtà Rsh d tfg tpzn Rsh Sttg Rsh Immb Rsh nnt pdtt/svz d nvstmnt psd d Rsh Rputzn nnss svz d nvstmnt L ns d Cpt Enm Md d Intgzn Rsh L Ans d Stss Tst I ss d Infmtv Rsh L Gvnn d ss d Infmtv ubb (Tz st d Bs) Ambt d ppzn Fnd p Rqust d pt, ndt d qudtà v fnnz Rsh d dt Rsh d dt: nfmzn gn Rsh d dt: Mtd stndd Rsh d dt: us d mtd IRB Rsh d dt: ttfh Rsh d dt: us d tnh d ttnuzn d sh Rsh d ntpt Rsh d ntpt: nfmzn gn Infmtv quntttv Rsh d mt Rsh d mt d tfg d Ngzzn: nfmzn gn Espszn sh d tss d ntss su pszn nn nus n tfg d Ngzzn Espszn n stumnt d pt nn nus n tfg d Ngzzn Attvtà vnt nn vnt Espszn n pszn vs tzzzn Infmzn gn Infmtv quntttv Rsh ptv Rsh ptv: nfmzn gn Rsh ptv: us d mtd vnzt d msuzn Dhzn d Ammnstt Dgt sns d At. 4, tt ) d f ) d Rgmnt UE 7/0 d Dhzn d Dgnt ppst dzn d dumnt ntb st En d tb Gss Cnttt G u pp M n t s h

6 6 d m b 0

7 7 Intduzn Intduzn A pt d gnn 04 sn ptv mnzzt è stt pt d Bn d It dspszn d Vgnz pudnz mdnt: ppb bnh gupp bn C n. 8 d 7 Dmb 0 fnzzt d dgu Dspszn d Vgnz p Bnh; nmtv nzn nvtà ntvnut n qud C n. 86 d 7 Dmb 0 gmnt ntnzn, sgut d Istuzn p mpzn d fm ng d d mtt d Bs sgnzn pudnz p bnh (d. Bs ), n pt gud stà d ntmdzn mb; nuv sstt nmtv sttuzn d C n. 4 d nvmb vgnz bn d Unn Eup ggnmnt, 7 Agst In pt ntnut d d. fmwk 0 Sgnzn d vgnz d Bs, sn stt pt n mbt sttuzn dtz fnnz. Shm munt mdnt du tt nmtv: d vzn stuzn p nt d CRR Rgmnt (UE) n. 7/0 fuss nfmtv. d mnt Eup d Cnsg d 6 gugn 0, tv qust I nuv fmwk gmnt pudnz p g nt dtz funzn ffz ptà d bnh d mps d nvstmnt h mdf ssb shk dvnt d tnsn fnnz Rgmnt (UE) n. 648/0; d nmh, ndpndntmnt d è CRD IV Dttv 0/6/UE d gn, mg gstn d sh mnt Eup d Cnsg d gvnn, nnhé ffz tspnz 6 gugn 0 su ss ttvtà nfmtv, tnnd nt dg nsgnmnt dg nt dtz su vgnz d s fnnz. pudnz sug nt dtz su mps d nvstmnt, h mdf L mpnt mpssv d Cmtt d Dttv 00/87/CE d bg Bs h mntnut pp bst su Dttv 006/48/CE 006/49/CE. t st h bs d pdnt I nuv qud nmtv s mpt n d su pt nt m Bs, msu d suzn, ntnut n nm ntgnd ffznd n msu h tnh d gmntzn d ttuzn sn qunttà qutà d dtzn (Rguty Thn Stndd RTS d pt dg ntmd d ntdun Impmntng Thn Stndd ITS) stumnt d vgnz nt, nm dttt d Cmmssn Eup su su gstn d sh d qudtà su ppst d Auttà up d vgnz. ntnmnt d v fnnz. In mbt nzn nuv dspn In pt, Tz st (n sgut G u pp M n t s h

8 8 Intduzn nh ), s bs su psuppst vntu nsstà d pubb n h Dspn d Mt (Mkt mgg fqunz nfmzn tv Dspn) pss ntbu ffz Fnd pp (t. 47) Rqust d gmntzn d pt qund pt (t. 48), nnhé nfmzn pmuv stbtà sdtà d su spszn sh su t mnt Bnh d stt fnnz. susttb d pd mbmnt. L sp d Tz st è ptnt qu L EBA (Eupn Bnkng Authty) h d ntg qust ptmn mnm sussvmnt mnt dg ntmnt (m st) pss d nt (EBA/GL/04/4 d 04), pudnz (Snd st), ttvs sns d t. 6 d gmnt UE ndvduzn d un nsm d qust n.09/00, su nsstà d pubb d tspnz nfmtv h nsntn nfmzn n fqunz mgg g pt d Mt d dsp d qu nnu. nfmzn vnt, mpt ffdb A u d suddtt nmtv Gupp, dgutzz ptmn, spszn n tt d tspnz d ntnutà, sh ttsth gn d sstm pubb ppst dntfzn, msuzn tmst nfmzn d snts su gstn d t sh. Fnd p, Rqust d Cpt su L Infmtv ubb () è dss Lv Fnnz ntgt n sn dspnt dttmnt d Rgmnt d ndnt smst n ut Eup n.7/0, d 6 gugn 0 nfmzn su spszn sggtt d mnt Eup d Cnsg, md ntn. t Ott t D, Tt I, Cp I (n sgut nh Rgmnt ppu ggnmnt mpt Dmb CRR ). 0 psnt nuv shm nfmtv È ptnt d tns nn pù ppb pvst d nuv fmwk nmtv. pdnt nmtv (C Bn d It L nfmzn sn d ntu quttv 6/06, Tt IV) pdnt shm g quntttv, stuttut n md t n qust sptt. d fn un pnm pù mpt In bs CRR, Bnh pubbn pssb n mt sh ssunt, nfmzn mn su bs nnu ttsth d tv sstm d gstn ntstumnt dumnt d bn nt dgutzz ptmn d vutn nsstà d pubb un Gupp Mntpsh. tutt nfmzn pù fquntmnt L Infmtv ubb vn h un vt nn u d dtt v nsdt u d ttsth vnt d ttvtà. Cpgupp Bn. G nt dvn vut, n pt, Lddv nn dvsmnt spft, tutt d n sn psnt m b d ndnt dumnt fns 0

9 9 Intduzn g mpt sn d ntnds spss n su pp st Intnt sgunt mg d Eu. ndzz: I dt Dmb 04 ptt n psnt dumnt pssn, n un Ut nfmzn hst d CRR s, dff d qu pubbt n sn pubbt nh n Bn Annu pubbzn pdnt n gn dg Dmb 0, n Rzn su ggustmnt nnss ntbzzzn Cpt Gvnn n Rzn su d pzn Axnd sd hus, Rmunzn. Su bs d t. 44 d ffttut su hst Cnsb. In pdnz CRR, h pvd pssbtà d ffttu t pzn stt ntbzzt un mnd d t nfmtv pubb, sd pt. I v spst fttn Gupp s vv d t pssbtà p t vzn ffttut n nfmtà mpt dspszn IAS 8 (np ntb, pptunmnt mnd dumnt mbmnt n stm ntb d ) dvs d psnt. In pt Gupp m ustt n pgf Rttf d pt dvs tpg d sh d sd d sz pdnt mbmnt Gupp bn nh n t E d d stm n nfmtà dspszn d Nt Intgtv d bn nsdt IAS 8 (np ntb, mbmnt su bs d dspst d IFRS 7 d d stm ntb d ) d Nt tv stuzn spstv mnt d Intgtv Bn d It (C 6 tv nsdt d Bn nfmzn, ndnd Cnsdt d Gupp Dmb ggnmnt). In t sd, sn ptt: 0. sh d dt (t E Infmzn Cm us ttu p h mg su sh su tv pth d un tmn d bbvzn utzzt n ptu: Szn. Rsh d tst, s può f fmnt Gss, dt); ptt n psnt dumnt. sh d mt (t E Atts vnz pubb d psnt Infmzn su sh tv pth nfmtv, dumnt è sttpst d ptu: Szn Rsh d d Dgnt pst dzn d gupp bn:. Rsh d mt); dumnt ntb st g Ogn sh d qudtà d gupp bn St mptnt p ppvzn. (t E Infmzn su sh I dumnt è dunqu sggtt, sns tv pth d ptu: Szn d t. 4bs d D. Lgs. 8/98 (Tst Rsh d gupp bn:. Rsh Un su Fnnz, TUF ), tv d qudtà). ttstzn. I pubb nfmzn hst d t.4 d gmnt Infmtv ubb CRR n mt us d md ntn G Gupp I Gupp Mntpsh nn pubb u Mntpsh pp M n t s h

10 0 Intduzn p sh d mt phé pp qust utm s è unt; mtdg stnddzzt fn d dszn d fuss d nfmzn dtmnzn d qust ptmn p su sh sh d mt. gstn. N Rzn su Gvn St, N nsutb nsutb szn Cpt ndzzt Rzn su gn d Rmunzn szn Cpt Gvnn d st ntnt d Gupp, Gvnn/Sstm d y/th Rmunzn vngn ptt nfmzn hst st ntnt d Gupp, d pgf d t. 4 d CRR: nvsts/ptgvnn/sstm num d nh d mmnstt dgvnnpy, sn nus tutt ffdt mmb d gn d gstn; nfmzn n mt pt pss pt d nggg p szn d munzn d Gupp tv d mmb d gn d gstn tg d psn u ttvtà hnn ffttv nsnz, mptnz un mptt vnt su pf d sh spnz; d nt hst d t. 40 d CRR. pt d dvstà dttt n su Su st ntnt d Gupp, sgunt szn d mmb d gn d ndzz: gstn, tv bttv d vntu snn nt pubbt nt 0 tgt stbt n qud d dtt pt Ap 06 nnhé msu n u t bttv ndt utzzt fn 0 fn tgt sn stt ggunt; d d nfmzn dg ndvduzn d bnh d Systmy Imptnt Bnks GSIBs). sh dstnt num d vt n u vnz sstm v gb (Gb s nt h sttut un mtt d d Gvnn m b 0

11 Obttv pth d gstn d sh. Obttv pth d gstn d sh Exutv Summy np mth gmnt Cpt m d ss Cpt d ss Tt Fnd p 8, md up % D4: 6, md 9, md up 4% D4: 6, md, md up 6% CET Rt T Rt Tt Cpt Rt,0%,8%,9% Tt RWA EAD Rsh d Cdt 70,8 md dwn 7% D4: 76, md D4: 97, md D4: 8,4% D4: 9,8 md D4: 8,4% D4:,8% 78,9 md dwn 9% L bttv pnp d nfmtv g n tmp munt Gupp sgut nt è qu d dsv n md sustv d SRE ut sv d pt pf d sh d Gupp Mntpsh ntdtt d nuv fmwk nmtv. dvugnd ut nfmzn su gs L ttmzzzn dg RWA d ttv tn d pt su dv sttstnt vn psgut mdnt mntg ttvtà d sh, sptt qu gà p g ntstu d dnm d vum tt n Bn Annu. d vuzn d tv mth d L nfmtv nnu tsmtt nftt n sh. I Gupp tn smp pù u fmzn dttgt su dgutzz psd vuzn d qutà dtz ptmn gmnt (n tt d ptfg n funzn d sn I) d Gupp Mntpsh su vutz mnm. n d sh zzt n md d Rsk A pt d Dmb 04 nfmtv Mngmnt. I Gupp gsts pt g nt è dtt su bs d nuv ds ssunds h dtzn d pt pn mnzzt p bnh mps t ts sn nt n pf d d nvstmnt ntnut n CRR n sh ssunt spttn qust g CRDIV. Qust utm (d sgut nuv mnt. L vutzn d dgutzz pt fmwk nmtv), m dtt n p mn n tt gmnt s bs su dnz, psn n mbt munt stnt mntgg d fnd pp, d sddtt fmwk Bs h dfn Rsk Wghtd Assts (RWA) su nfnt s g pù stngnt p v d dg n qust gmnt mnm nus utzz ptmn d bnh. g ut qust n ss d mntns L ntduzn d g d nuv fm G u pp M n t s h

12 Obttv pth d gstn d sh wk nmtv CRR/CRD IV (d n, s ggungn sgunt sv p nh nuv fmwk nmtv) (Buff): è sggtt d un gm tnst h d gnn 04 un sv d n pttà ngss d g gm (fuy svzn d pt p,% (d g pptn) 09 (0 p phsut gungs qust d CET); d tun stumnt ptmn) dunt d 06 un sv d pt nt qu nuv g snn ppt n spf d bn n pd d s ppzn snt. In pt, un sv st d dt mmnt fn mnt h gm snn mputb pm tmst 06 p 0%; ddub ntgmnt n Cmmn un sv d pt p GSII (% Equty, ttumnt mpttn su Cpt,%; pt d 06) d sv pm d Css s p un qut d pt p OSII (0% %). I pntu; d nm pntu sdu Gupp Mntpsh nt t gupp sptt qu ppb è mputt/ vnz sstm (OSII) p qu ddtt d Cpt gguntv d Css Bn d It h fsst un ffnt (AT) d Cpt d Css (T) p 0% p 06; d un sv d dtn fnt d nsdt n ttvtà pndt p sh. sh sstm mpudnz nn Anh p g stumnt subdnt h nn d ung pd p mn spttn qust pvst d nuv ds %. pszn nmtv, sn pvst spfh L sv (Buff) vngn dtmnt, n dspszn tnst, vt susn nfmtà nuv fmwk nmtv, gdu d Fnd p (n un tm u dg Stt mmb (Bn d It) p d 8 nn) dg stumnt nn pù sn d ggungs Cpt pm d mputb. ss. A qust s ggung un ut I t pudnz Dmb 0 mpnnt d pt pm d ss 04 pubbt n psnt dumnt d dtn fnt d sh d tngn, ptnt, nt d tv t stbt sgut d pss nnu SRE. tfh pvst d dspszn tnst. I mnt sptt mbnt d qust A pt d Gnn 04 bnh, s d pt mpt mtzn ds nd nmtv pudnz, sn tnut tbuzn d dvdnd nsstà d dt sptt un t d CET p mn t un pn d nsvzn d pt. 4,%, un ffnt d T mn p A dt d dumnt, n d n 6% (,% p 04) un Tt p qunt pvst v nmtv qus t Rt mn p 8% d spszn t d pt d ss (CET) d Gupp mpssv sh d Gupp. A qust è dtmnt, m smm d sgunt mnm, d dtn fnt d sh d mpnnt: d m b 0

13 Obttv pth d gstn d sh, m dfnt d t. 9 d CRR; Sstm Rsk Nn Dt. pt OSII / GSII = 0% Rsv Ant = 0% CET d,%, fsst d Bn d It, n CET un sv d nsvzn d pt CET CET d 4,% fnt d sh d d n t. 9 CRDIV, p tutt bnh pt d 04; Buff fsst dg Stt Mmb (Bn d It),% ss CET fnt d sh d Rgmnt UE n. 04/0 stbt sgut d pss nnu SRE, p,0% p 06,7% pt Addn SRE (),% Cpt Cnsvtn Buff 8,0% d u 4,%,%,0% CET, hst n d n t.6 d CET un mpnnt d CETI d dtn n CET AT T d Dmb 06; un sv d pt nt fsst d tnt Gupp MS dunt 06 Bn d It p 0% p pm dv mntn un CET SRE t tmst 06. d 0,% (h dvntà 0,7% d fn A pt d 06 s ggungn sgunt dmb 06) sptt nh g t sv: qust mnm d. ut un sv d pt gguntv d CET dttg su st d pss SRE s p sttuzn vnz sstm mnd pt 4 d psnt du OSII, m Gupp MS, fsst d mnt. Bn d It p 06 p 0%; un sv d pt d dtn fnt d sh sstm d ggungs CET d stbs u dg stt mmb mmnt nn n dtmnt d Bn d It. G u pp M n t s h CET Rt SRE Lv 0,% (0,7% d //06)

14 4 Obttv pth d gstn d sh N tb d sgut s pgn nn 0 p nn 04 tv qust ptmn d Gupp MS p vzn. Snts Fnd pp Rqust d Cpt Dt n mg d Eu Vzn vs. 04 tmn d vgnz d Cpt m d ss (CET) Cpt Agguntv d ss (AT) Fnd pp Assut %.0.90,8% ,9% ,6% ,8% ,% Cpt d ss (T) 9 d4** d u Dt A* Rqust ptmn Rsh d Cdt Cntpt 9 d u Stndd ,6% d u Ab ,7% ,0% ,0% ,8% ,4% ,% ,7% ,0% Rqust ptmn mpssv ,% Attvtà d sh pndt (RWA) ,% 9 Rsh d Mt 9 d u Stndd 9 d u Md Intn Rsh Optv 9 d u Mtd Bs 9 d u Mtd Avnzt Rsh CVA Rsh d Cnntzn Vzn vs. 04 Cffnt d pt n bp n % CET Rt,0% 8,4% 6,6% T Rt,8% 8,4% 440 4,4% Tt Cpt Rt,9%,8% 4,% * I v ppsnt ntbut mpssv d Dt A, nts m smm dg mnt pstv d mnt d ddu, dtmnzn d Fnd p snd nuv fmwk nmtv. L mpt mpssv d dt A è p.084 /mg (74.84 /mg dmb 04). ** I dt fn dmb 04 dffsn d qu pubbt n pdnz phé fttn vzn dvnt d ntbzzzn d pzn Axnd sd hus. d m b 0

15 Obttv pth d gstn d sh A Dmb 0 Gupp MS sptt Dmb 04 pvntmnt vdnz un v d ptmnzzzn p duzn d sh d dt dgut p qust mnm n ntpt (7,%) gt vuzn mt d Fnd pp pvst nuv d ptfg pfmng nvsn fmwk nmtv, m ppsntt d DTA tsfmb n dt d mpst n gf d sgut, n un dnz vvnut n snd tmst 0. L ptmn d, md (+0 bps) mpszn dg RWA p tpg d sptt v mnm d CET (4,%) sh sut stbmnt nntt su d, md (+80 bps) sptt v Rsh d Cdt (8,6%), pu gstnd CET SRE t (nus sv d mpssvmnt un duzn d 7,% n nsvzn d pt). tmn ssut sptt nn pdnt. RWA p tpg d sh CET Rt 0,% 8,% Δ+80 bps Optv,4% (04:,6%),0% CVA,% (04:,6%) Mt 4,8% (04: 4,7%) SRE,% Cns. Buff.,% Cdt 8,6% (04: 8%) CET 4,% D. 4 tnstn* SRE Rt 0 D. tnstn I Gupp Mntpsh h dnt p *D 4 tnstn: pst sttmnt 0 qud mpssv ntn d I ffnt d pt vdnzn nt fmnt p dtmnzn d un sgnftv nmnt sptt nn su ppnsn sh: Rsk Apptt pdnt, n gn pt gt umnt Fmwk (RAF). d pt ffttut Gugn 0 sgut I RAF h bttv d ssu nz dg st AQR, umnt d pt n ntnu t pf d sh ffttv ddt MEF fnt d pgmnt d Gupp (sk pf) ppnsn d d d Nuv Stumnt Fnnz sh dbt xnt d CdA (sk (NSF) mtut n 04 ut gnt pptt), tnut nt d vntu sg d n pd. In ngtv hnn gt tnz (sk tn) munqu nt mbs d utm tnh d NSF mt mssm mmssb (sk pty) dsttvzn d mnsm d xss h dvn d qust gmnt t ddutns dg mnt d AT pnt vn mpst d Auttà d Vgnz n 04. G RWA, p mn (s. SRE Dsns d BCE). d u, sn sutt mpssvmnt I RAF p nn 0 s è ntzzt n d.474 mn d u n un sttmnt ppvt d CdA G u pp M n t s h

16 6 Obttv pth d gstn d sh n mpmntzn d un pss ntn stt tvzzt sptt spndnt vt dfnzn, sg tgt (sk pptt); v sup msuzn mntgg d un Ky 00% ndn supmnt dg Rsk Indts (KRI) v d Gupp. bttv d sk pptt qund mgg gn KRI sn stt fsst xnt sg gn nh d spndnt v d tgt d pptt sup pù nsvtv sk pty. sptt sg mnm d pty. Anh gz pzn d ffzmnt Tutt tgt RAF sn stt ntt fn ptmn vvnut fn d pm 0. Mt KRI hnn nt vdnzt smst, pf d sh mpssv d v nh d mt sup sg Gupp Mntpsh n s d 0 è pgmmt, spttutt qu d qudtà sutt ptnt nt n g bttv bv tmn. ntn sttg znd d sstm D sgut s ptn un ndt RAF d gstn msuzn d sh s sn 0 sznt, dv p mgntà d dmstt dgut mntgg d t ppsntzn v ffttvmnt pf. dntfzn, vt d gn tmst (sk pf) sn d m b 0

17 7 Obttv pth d gstn d sh. I Gvn d Rsh n Gupp Mntpsh I Gupp Mntpsh pn mssm ttn p mbt sttg d Gupp: zn pss d dntfzn, mnt Adgutzz tmn d I II st; gg, msuzn, nt mtgzn f d Lqudtà d bv ung t d sh. mn; L sttg d gvn d sh sn dfnt n nz n md d busnss Lv d Lv Fnnz; d Gupp, n g bttv md t fmn RskAdjustd, Rputzn sznmnt. mn d n Indust n vn stn d ntu nmtv gmnt. L pth tv ssunzn, gstn, I mpssv mpnt d RAF è dnt ptu, mntgg nt d p pnp Busnss Unt Lg En sh sn dfnt d CdA d Cpgup tty d Gupp, nh n tmn d mt p. In pt CdA dfns p ptv su v mpt d busnss f pv pdmnt g ndzz sttg mzzt n pth d gvn pss n mt d gvn d sh d spm d gstn su v sh znd. quntttvmnt v mpssv d ppnsn sh d tutt Gupp, n I ss d Rsk Apptt è stuttut nz n Budgt nnu pzn n md d ss nt n pss punn. ICAA ILAA n pss d nf I Gupp Mntpsh h ftt vv u zn Budgt d Rvy, s n tmn tmnt fn 0 qud mps d gvn, u, spnsbtà, mth, sv ntn d fmnt p dtmn mtdg d stss tst mntgg d zn d su ppnsn sh: Rsk ky sk ndts. Apptt Fmwk (RAF). I RAF h bttv d ssu nz I Gvn d sh d Gupp è gntt n ntnu t pf d sh ffttv n md ntt d CdA d Cpgup d Gupp (sk pf) ppnsn p, stt u supvsn spnsbtà sh dbt xnt d CdA (sk p sn ndtt nh ggnmnt ptt), tnut nt d vntu sg d mnzn d py gmntzn tnz (sk tn) munqu nt ntn, n tt d pmuv gnt mt mssm mmssb (sk pty) un smp mgg pù p dffu h dvn d qust gmnt sn d utu d sh tutt v t vn mpst d Auttà d Vg d stuttu gnzztv. L nspv nz. zz d sh tt nsnz p I RAF pnd n nsdzn tutt pn pzn d pss d md ntn G u pp M n t s h

18 8 Obttv pth d gstn d sh psd d t sh spttutt p qu I Gupp Mntpsh nt t bnh vdt fn gmnt sttusn tn h sn ssggttt Mnsm psuppst fndmnt p un ff, Un d Vgnz d BCE (Sng Sup sn pudnt gstn znd. vsy Mhnsm). L npzn n pth d mun un tttzn pù sustv d pù zn nntvzn d psn d gn sstt d pt gvnn d m ndt d sh d pfmn Gupp p nfmzn d dttg x skdjustd, nt n RAF, pp At. 4 pgf d CRR, s nv snt un ut v p pmuv Rzn su Cpt Gvnn ds nspvzz d mptmnt gt d pnb su st Intnt ( pt d tutt ss smnt d t/nvsts/ptgvnn). un sn utu d sh.. Sstm d Cnt Intn ss d Rsk Mngmnt L sstt gn d nt d Gupp fvs dffusn d un tt è dspnt ntnmnt d y su utu d sh, d gtà d v Sstm d Cnt Intn, h dfns znd. nsm d g, d funzn, d stuttu, d ss, d pss d t ttsth Sstm d pdu vt d ssu sn Cnt Intn ssum un u sttg pudnt gstn d mps. p Gupp utu d nt I Sstm d Cnt Intn vst un ssum un pszn d v n s u nt n gnzzzn znd d v znd, nvgnd tutt n qunt: gnzzzn znd (Ogn Aznd, ppsnt un mnt fndmnt stuttu, v gh, psn) n d nsnz p g Ogn Aznd n svupp n ppzn d mtd, g md d gnt pn nspvzz sstmt, p dntf, msu, d stuzn d ff psd d mun gst sh. sh znd d ntzn; I pss d sk mngmnt è fnzzt nt mutmnt d n sttgh dntf mpp ttmnt tutt d pth znd nsnt d sh ttu psptt h Gupp dtt n md nt ntst Mntpsh n ptbb tvs gnzztv; fntgg, md msu t psd funzntà d sstm sh, gnt un ff v d gstn sptt dg sttut d nt un dgut fuss d ptng vgnz pudnz; ptv dzn, suppt tt d m b 0

19 9 Obttv pth d gstn d sh zn d mtgzn gstn d sh. d sh. In pt: I pnp bs h ttzzn pss I Cmtt Gstn Rsh d d sk mngmnt ntn d Gupp Cpgupp pdspn py n Mntpsh s bsn su un h ntt mt d sk mngmnt vf dstnzn d u spnsbtà t g mpssv sptt d mt ssgnt Ogn Aznd, Funzn d Cnt v v d ptvtà. A Cmtt d pm, snd tz v t qust Gstn Rsh sptt tsì mpt Funzn d Busnss. d pp zn d pt d A Cnsg d Ammnstzn d sttp ppvzn d Cnsg Cpgupp sptt mpt d dfn d Ammnstzn d vut v ppv g ndzz sttg pth mpssv d sng stà d gvn d sh, n fqunz pf d sh ggunt qund d mn nh nsum d pt s d Vgnz quntttvmnt n tmn d Cpt h Intn sì m ndmnt ntn, v mpssv d ppnsn dg ndt d pfmn d sh sh d tutt Gupp (Rsk Apptt). ndmnt. nnu, d spm A Cg Snd (CS) d Cmtt A Cmtt Fnnz Lqudtà d Rsh (CR) ntnmnt CdA sptt Cpgupp nv spnsbtà d vut gd mpt n mt d fmuzn d d ffnz d dgutzz d Sstm d pnp dg ndzz sttg n Cnt Intn, n pt gud mt d Fnnz pt. Ess nt d sh. nt db ppn n mt d A AD/DG sptt mpt d gnt spszn d sh tss qudtà d sptt d pth d pdu n tfg Bn d dfnzn d mt d sh. zn d Cpt Mngmnt. L Ammnstt Int d sstm d I Cmtt sn nv Cdt, ttbut th nt ntn d gstn d sh Cdtz Vutzn Cdt spm (AI), sttut n ttmpnz Cd d g ndzz n mt d pss d utdspn d stà qutt, h dt d un p mn nnu su spnsbtà d sttu mntn un pth ff sstm d nt ntn d sstnbtà mm nz gstn d sh. n Rsk Apptt, d ppv mn A fn d fv ffnz fssbtà nnumnt py znd su n vutzn d dt nh fn d pss dsn gv I u pp M Cmtt Cdt Affdmnt Rvnt h spnsbtà, su bs Cmtt d Gstn spnsb n mt G vfndn sussv ppsntzn n bn. ntzn t dffnt funzn znd nvt, sn ptv spf dtz, n t s h

20 0 Obttv pth d gstn d sh d pt dgt, d db n mt n ndntzn d gzn d dt gstn d Ogn) d mptnz nss p dt sst pbmt. svgmnt d mpt; Rmunzn: pd fn g d nn bttvtà N mbt d Sstm d Cnt mpmttn Intn sn stt sttut nqu Funzn ndpndnz, g sstt tbutv d Aznd d Cnt (FAC) pmnnt Rspnsb d FAC sn dbt ndpndnt: dg gn znd, tmt un sstm Funzn d Cnfmtà Nm d nntv spf, dffnt d qu pvst p t funzn znd, (Cmpn); nt n fntà d funzn Funzn d Cnt d Rsh (Rsk svt nn t ggungmnt Mngmnt); dg bttv znd. Funzn d Cnvd Intn; Funzn Antgg; N Gupp Mntpsh Dzn Funzn d Rvsn Intn (Intn Rvsn Intn svg nt d tz Audt). ssu tt svgmnt d v (Intn Audt), Dzn Rsh ttvtà svt d Funzn Aznd d A Cmpn nt pvst p Cnt (FAC), Gupp Mntpsh Funzn Aznd d Cnt d snd h dfnt sgunt qust ssnz d v BCU (Busnss Cnt Unt) sptt, vv p sun FAC: nt d pm v. Nmn Rv d Rspnsb d A Dzn Rvsn Intn, pt dtt d CdA, sptt mpt d p FAC d pt dg gn znd; Indpndnz utvzz: ttvs ndpndnt d spnsb d FAC sn t n bttv d ssun nsunz, dtt pszn gh funzn dgut d un t nt nh n vfh nn hnn spnsbtà dtt d n gtà d ptvtà ptv sttpst nt, ndmnt d sh, d t vut né sn ghmnt subdnt funzntà d mpssv sstm d spnsb d t ; nt ntn, fn d psgu nh Sptzz funzn: ndpndnz mgmnt d ff d ffnz bttvtà d v d gnzzzn. FAC sn gntt d un sggzn L Dzn Rsh, pt dtt gnzztv d stss; d Ammnstt Dgt, uns su ntn funzn d nt d Rss: FAC dspngn d uttà, nmh sh (sk mngmnt), funzn d vntumnt ttvb n utnm ntgg funzn d nvd d un ttvtà ss (nh d m b 0

21 Obttv pth d gstn d sh ntn. L Dzn h ptnt mpt L Busnss Cnt Unt pfh d: (BCU), gnt funznmnt mpssv ntt pnp d busnss d d sstm d gstn d sh, dst pss Cpgupp, ttun bnh nv ptmn nt d nfmtà su pzn n mbt d pss ICAA ppsntn pm psd gnzztv dgutzz d qudtà n mbt su ptvtà, n mbt d pù gn d pss ILAA; Sstm d Cnt Intn. vf dgutzz ptp dfnzn d vf ndmnt d Rsk Apptt u n sptt d qust d utnm Fmwk (RAF); d ndpndnz d sun funzn gnt nz d Opzn d p Cdnmnt d Funzn Mgg Rv n RAF; dfn g ndzz ptpnt, è nt ptv Cmtt sttg su n mpt d nt. I Cmtt h bttv d pmuv ndvd ptfg dt; ssv funzn d nvd sptt ptv mtdg p ndvdu pssb sng n ttvtà ntn; ssv funzn ntgg d nt d pt d Funzn d snd tz v, dn mdtà pvst d Lgg; ssu nss ptng g tmpsth n mt d pnfzn Ogn Aznd At Dzn d ndntzn g Ogn Aznd d Gupp. nztv pgttu nnss Sstm L A Cmpn ssv funzn d Cnt Intn, ndvd d nt d nfmtà nm p d mgmnt vdnzt d tutt Cpgupp Bn. L funzn h Funzn n mpt d nt d spnsbtà dtt d gstn d Auttà d Vgnz. sh nnt vzn d nm ppt N s d 0 è stt nt sttut bnnt pt pdmnt g Stff Rguty Rtnshp, pt gn d vt znd uttà d dtt d Ammnstt Dgt, vgnz n dn mpssv stt d fn d psd n ntt gstn nfmtà d sstm d pt d d ppt d mmnt d vf n Bn. In ttmpnz dspszn Auttà d Vgnz, dnnd d vgnz, funzn d Cmpn mntnd pgmmzn dg è stt nut d Dzn Rsh mpgn ssunt pnp dtt pst pt dtt d Ammnstt d vuzn d ntst gmnt Dgt. up. mggmnt G u vnt pp n M n t s h

22 Obttv pth d gstn d sh. np Ftt d Rsh pt Md Intn fn gmnt L pnp tpg d sh u su md ntn p sh d dt Gupp Mntpsh n n s d ptv. A sns d C Bn d su nm ptvtà pssn d It 6/006, n dt Gugn 008 shmtmnt n pvvdmnt n.647, Gupp ss ndtt sgunt: Mntpsh è stt fmmnt utzzt sh d dt; d Ogn d Vgnz utzz d sh d mt (Tdng Bk); md vnzt p msuzn sh ptv; gstn d sh d dt (AIRB sh d tss d ntss d Bnkng Advnd Intn Rtng Bsd) ptv (AMA Advnd Msumnt Apph), Bk; sh d ntpt; v d pm sgnzn nsdt sh mmb; Bs tv sh mttnt; N sh d nntzn; utmnt svuppt n è stt sts sh d ptfg ptpzn; pmt d ppzn nttà d sh sttg; Gupp nn mps n pmt sh d qudtà; nz d vdzn. A 0 sh putzn. Gupp Mntpsh sut vdt fn Sn nt psdt sh nnt gmnt su sgunt ptfg/nttà: tmp t md sn stt pdtt/svz d nvstmnt dstnt Rsh d Cdt: tttmnt gmnt nt d Gupp n tt s d tut nt s d pvnzn d ptnz Lg Entty mptt d tp putzn. Cpt AIRB Rt AIRB Ad gn ftt d sh spnd un Bn MS D, LGD D, LGD md svuppt utzzt ntnmnt MS CS D, LGD D, LGD fn gstn gmnt. un MS L&F D, LGD D, LGD tttzn d sttg, pss md d gstn d v sh, s nv pgf stnt nttà/spszn su sh sussv. d dt, fn gmnt, Gupp D un punt d vst gmnt, n dtt mtdg stnddzzt. n n pnp pvst d Nuv Ad su Adgutzz tmn n tm d sh d m st, Gupp Mntpsh, gà d pm smst d 008, h ptt mpmnt v d m b 0

23 Obttv pth d gstn d sh Rsh Optv: tttmnt gmnt sh d mt, fn gmnt, Gupp dtt mtdg stnddzzt. Lg Entty Mtd AMA Mtd BIA Bn MS Su sh d ntpt, fn gmnt, MS CS Gupp utzz mtd d v d MS L&F mt p dvt OTC pzn COGMS LST mtd ntg p pzn At Entty SFT..4 Ognzzzn d Funzn d Gstn d Rsh N s d 0 Dzn Rsh è funzn n g Ogn Cg vnt stt ggtt d un ut vuzn funzn d supvsn sttg, gstn gnzztv, n tt d mpn nt. nmtv ptnzmnt d u, pt, In pt è pvst nmn/v gn znzzzn d stuttu, d Rspnsb d Dzn Rsh d n n n snt mptnz d Cpgupp d pt d CdA, su ppst nt d gstn d sh n d Gupp Mntpsh. ntbut d Cmtt Nmn, sntt A 0 Dzn Rsh s t Cg Snd. n sgunt stuttu: L dtmnzn d sstt tbutv A Rsk Mngmnt, d Rspnsb d Dzn Rsh d A Vdzn Rsk Rptng, Cpgupp è dbt d pt d CdA, Svz Antgg, su ppst d Cmtt Rmunzn, Stff Dzn Rsh. qusnd p d Cmtt Rsh, L Dzn Rsh, n su sstt ttu sntt Cg Snd. mpnd ptnt tutt Funzn I Rspnsb d Dzn Rsh, t Aznd d Cnt d snd v, d ss Rspnsb d Funzn d d zn d Funzn d Cnfmtà Rsk Mngmnt d Gupp, pmuv nm (Cmpn), sì m dfnt dnmnt d tutt Funzn d nmtv d Vgnz n mbt d Aznd d Cnt d snd v, Sstm d Cnt Intn (SCI). n bttv d ttmzz smb L utnm ndpndnz sn ssut d fuss nfmtv t stss, suppt d mnsm zn d d pnfzn d ttvtà d nt G u pp M n Cmtt t Rsh, vvnds s h d

24 4 Obttv pth d gstn d sh d gv zzzn dg ntvnt Rsk Mngmnt d Funzn d ttv. Cnvd Intn sn ppsntt d Rspnsb d Dzn Rsh, d N psnt dumnt stuttu stuttu d A Rsk Mngmnt d Dzn Rsh vnt fn d A Vdzn, Mntgg Rsk d ndvduzn d Funzn d Rptng. Dzn Rsh Svz Antgg Stff Dzn Rsh Rsk Mngs d F Est A Vdzn Mntgg Rsk Rptng A Rsk Mngmnt Svz Rsh d Lqudtà Fnnz Sv. Rsh d Cdt Intgzn Rsh Svz Vdzn Mntgg Svz Wth Rsk Mngmnt Sv. Rsh Optv putzn Svz Rsk Rptng Stff sd Qutà Rsk Mngmnt Svz Cnt Espsz. Cdtz Funzn Rsk Mngmnt Cnvd Intn: U.O. vnt d m b 0

25 Obttv pth d gstn d sh L A Rsk Mngmnt (nh ARM md (D, LGD, EAD, Mtuty d n sgut) d Cpgupp Bn hut) p msuzn d sh d psd mnt mpss d sh dt psdnd md ntn d Gupp Mntpsh. L A Rsk n sptt d qust quttv Mngmnt quntttv ndt d Vgnz; pgtt d mpmnt sstm d msuzn, gstn psd msuzn d Cdt VR gmnt d sh, s ppt h v d sng untà d busnss tv nt, vfnd sptt v mpssv d Gupp; dgutzz d msu d mtgzn. quntf g fftt su pdt tts Int A gvn vuzn d ntts su sh d dt, qund, su sstm d md d msuzn, ntn pt ntn ssbt, d ptfg gmnt, sp d dtmn d Gupp d sng untà d busnss qust d pt ntn gstn pp vntu zn ttv, d pt gmnt, su bs d vutnd tsì g fftt d vntu pzn gmnt. zn d mtgzn; A ntn d A Rsk Mngmnt sn dfn, svupp d ggn ndtt nh spnsbtà d psd mtdg sttstnt v md d t d vf d dgutzz MFID ntn gstn nnt pf d d pdtt ptfg d nvstmnt sh d ntpt d Gupp; fft nt d msuzn psd vd pduzn d mntgg d sh d pfmn msu d sh d ntpt v vv d pdtt ptfg d qust d sng untà d busnss, d stà dtnut. d Gupp v mpssv d A Dmb 0 ARM s t n Gupp; dfn, svupp d ggn sgunt stuttu: md ntn d spszn sh Svz Rsh d Cdt Intgzn d ntpt, n sptt d qust Rsh; Svz Rsh d Lqudtà Fnnz; quttv quntttv ndt d Svz Rsh Optv Rputzn; Vgnz; dtmn msu d pt ntn Svz Wth Rsk Mngmnt; Stff sd Qutà Rsk Mngmnt, utzzt fn d bzn d n funzn d suppt Rspnsb msu d pfmn ggustt p d A d ttvtà tsvs. sh; L funzn d gstn d Rsh d dfn g ndzz sttg su Cdt Intgzn Rsh h mpt ptfg dt ndzz ttvtà d: dtz d Gupp; dfn, svupp d ggn G u pp M psd pss d d n t s h

26 6 Obttv pth d gstn d sh svutzn ttv dg gggt vut dgutzz d png dtz p sussv szn ndust ggustt p sh Bn; vdnznd pnp mpnnt d ptp pss d dfnzn d sh d pdtt p znd; vut Opzn d Mgg Rv Rsk Apptt mpssv d Gupp; svupp psd mtdg ts (OMR); dntfzn mpptu d sh dn ttvtà d gstn d Gupp vnt nn, s p untà mtgzn d sh d dt (CRM) ptv s p nttà g, p fntà g Stss Tst mpssv. d ntgzn sh d suppt L funzn d gstn d Rsh d pss ICAA; Lqudtà Fnnz h mpt d: ffttu msuzn d sh d dfn, svupp d ggn mptnz v d Gupp d mtdg sttstnt v md sng untà d busnss; ntn gstn nnt pf d dfn, svupp d ggn sh d mt d Gupp; md d ntgzn t dvs sh, psd vd pduzn d vt quntfzn d Cpt msu d sh d mt v d ntn mpssv; sng untà d busnss, d stà d svupp mpmnt ptvmnt Gupp v mpssv d Gupp; mtdg d sn stss dfn stuttu d mt ptv tstng d Snd st supptnd su sh d mt, n nz n dnnd mtdg p g sstm d msuzn d sh d sn pvsn fn d pss Gupp n fntà d dtnzn ICAA; dg stumnt fnnz, vfnd dg nz mtdg d stuttu ssbmnt d pt ntn gstn mpssv dg stss mptbtà t d ssbt (ttu, psptt n g bttv d sh d Gupp; d n ndzn d stss) p sng sgu mntgg d mt stbt nttà g, p busnss unt v d CdA d Cpgupp su tutt mpssv d Gupp; v dgt vf ppzn ffttu msuzn n qust d pt ntn d n ttv dbt fnt n qu ptmn gmnt p d vntu snfnmnt d t sng sh d mptnz; stuzn d vunbtà vt n sd vut mpnnt d sh d d mntgg d sh; mptnz d pdtt dunt fs dfn mdtà d vutzn d pgttzn ntn d pss msuzn d sh su nuv stumnt d pduzn d nuv pdtt; fnnz (pdut ppv pss); d m b 0

27 7 Obttv pth d gstn d sh dfn, dtmn vd st mt ptv ttv pptun mtdgh sug sptt tv f nztv fnzzt mpssv vu dg stumnt fnnz ngzt ttmzzzn, nh su bs d d Gupp: md d vutzn, pptun ns d sn; t d utzz gh d fnt psd pss ILAA; pzz, g, fnt mtdg d quntf ns d sn g mntzn d pmt d mt, stss tst su sh d mt, ALM t g p ssfzn n qudtà. L funzn d gstn d Rsh Optv f vu hhy; nt vd vzzzn Rputzn h mpt d: f vu dg stumnt fnnz dfn, svupp d ggn psnt n ptfg d ngzzn md p msuzn d sh d vgnz n ttvtà fnnz d ptv, psdnd md ntn ptfg bn; n sptt d qust quttv quntttv ndt d Vgnz; nt vd pmt d mt utzzt p vutzn dn pss d t msuzn d sh dg stumnt d pdt ptv, pss d fnnz dtnut d Gupp; sk ssssmnt qu fnzzt vd dt d &L mktmkt; dntfzn d mgg d dfn, svupp d ggn ttà ptv su bs d ns d sn; md ntn su sh d mt p tfg d Ngzzn d Vgnz psd msuzn d pt ntn fnt d sh ptv v (NV); quntf ns d sn g d sng untà d busnss v stss tst su sh d mt, fn mpssv d Gupp (Optn gstn gmnt; VR); svg nt fnnz su quntf g fftt su pt ntn ssbt d pzn d mtgzn stuttu d busnss; d sh ptv d Gupp; dfn, svupp d ggn md p msuzn d sh dfn, gst, g nnt pf d sh tss d gn g gtm mtmt/sttst qudtà d bnh d Gupp (ALM sttstnt v md d msuzn Bnkng Bk); quntf ns d sn g stss tst su sh ptv; ffttu msuzn dg ndt gmnt d Lqudtà (LCR, NSFR); dfn u pp M d mtgzn mt d IT Rsk; d qudtà, nt sptt d sttg dn svupp d md n msu spszn d sh d tss G mpmnt, n t s h

28 8 Obttv pth d gstn d sh ndvdu sh putzn nst d mssm gd d sh (sddtt n mpss d ttvtà svt d Lst MLR ), u tv stumnt Gupp; fnnz sn d nsds nn svupp md p mntgg dg t sh msub d snd pst; ppnb n gm d nsunz nn pppt n gm d ppptzz; dfn mnt stuttu d svupp md sttst mtmt mt ptv d sh pfmn n tm d sh nh suppt d vntumnt ppt pdtt, t stuttu. ptfg, n d gstn, stt d L funzn d Wth Rsk Mngmnt h mpt d: ffttu nt vnt psd dfn mth d msuzn mntgg nt. d d ptvtà d nt (mt p sh/pfmn tv, nntzn, sstmnt,.); d pdtt, ptfg svz d mnt vzn d ss nvstmnt fft nt; d sh d pdtt/stumnt d dfn svupp mtdg md d vutzn d sh d nvstmnt p fntà d nfmtv nt; pfmn d pdtt, ptfg ffttu nt mntgg d svz d nvstmnt, gntndn ptnnz su ttvtà d nt d msuzn mntgg n tmp; t d mzn Fnnz; dfn svupp mtdg d vf d ppptzz/dgutzz pdsp tv ptst dzn d ptv. d pdtt, ptfg svz d L A Vdzn, Mntgg Rsk nvstmnt, t d gnt nz Rptng (nh AVMRR n sgut) d t pf d sh d nt Cpgupp Bn vf n ntnu shstà dg stumnt fnnz; ffdbtà d sutt d sstm d ms ttbu pdtt ggtt d fft uzn d sh mntnmnt d ttv d pt d Gupp ss d nz n pszn nmtv. sh g t pmt vnt p Cnvd md, nus qu nn utz vf d dgutzz; zt fn gmnt. Rdg nfmtv gnt h tutt pdtt ggtt d bbgt nfmtv dzn su nvstmnt su nztv d nt sh. Svg nt d snd v su sn ttzzt d un ss d sh spszn dtz d Gupp. d t pmt vnt fn d A 0 AVMRR s t n vf d ppptzz; sgunt stuttu: dfn ggn pdmnt st d stà/mttnt ttzzt d Svz Vdzn Mntgg; Svz Rsk Rptng; m b 0

29 9 Obttv pth d gstn d sh nt p tm d sk mngmnt. Svz Cnt Espszn Cdtz. L funzn d Vdzn Intn h mpt d: L funzn d Cnt Espszn ffttu pss d nvd ntn Cdtz h mpt d: d Sstm d Rtng Intn dg svg mntgg d nt d zn nnu su Md Intn d snd v su spszn dtz; Rsh d Cdt p fn gmnt, d spm gudz d nfmtà ququntttv su ptfg dtz sttp ppvzn dg Ogn; nvd stm vv v nss, p ntn dg zn nnu su tnut nn dgut, g ntvnt Md Intn d Rsh Optv ttv n mbt d pù mp p fn gmnt, d sttp fmwk d nt. ffttu pss d L stuttu d Dzn Rsh d ppvzn dg Ogn; ffttu pss d nvd ntn Cpgupp Bn h svgn dg t md d sh nn utzzt Funzn d Rsk Mngmnt Cnvd fn gmnt; Intn m sp ustt, Dmb nzz sutnz d ttvtà d 0 nstn mpssvmnt d vf d tt funznmnt d untà. L ss hnn un tà ngf sstm vnzt vut dgutzz md p 9 nn d un nzntà d zn ttv d mpmnt. md spf n stt bn ttn L funzn d Rsk Rptng h mpt d: nn. L ss vdnzn ps dfn psd mtd mdtà pfssn nh d fu d sk d pduzn d nfmtv su sh mngmnt, n spnz sgnftv d Gupp; n funzn dt, fnnz, pnfzn dn, pdsp dg mm d Gupp. Cm bkgund fmtv, s v un pvnz d u nfmtv pubb p ; dg n dspn d tp nmbn nfmtv d sh p fntà stn znd (%), sgut d u n dspn uff d tp mtmtsttst (7%), u n dn, (s. pdsp Bn, Cmmssn nggn (9%), u n fs nfmt Eup, Stà d Rtng); dg (4%), dpm snd u n t nfmtv dzn su sh d dspn (%). Bun pt d ss Gupp p g Ogn At Dzn; mnznt pssd un spzzzn psd ndzz nmtv pstu (Mst Dttt d R), n mbt sk mngmnt fung un tfzn pfssn st d d d n Sgt Gn gnsm ntnzn (s. Ctfzn d Ammnstt Int d FRM d GAR). dn, G u pdsp pp M n t s h

30 0 Obttv pth d gstn d sh. Rsh d Cdt I pss d Budgtng, nfzn, g (py) d ttzn d nt, Cpt Mngmnt Rsk Mngmnt d nntt su ttsth d ns Gupp Mntpsh sn bst su g d svbtà psptt d nt. d msuzn tt p sh S dp v ndvdut nt n (RAM Rsk Adjustd fmn qust d mt d dt stbt, Mngmnt). N svupp d qust sn ps n nsdzn t ftt d pss gstn dfnzn d dgut ttnuzn d sh d dt (gnz). pth d dt, stt spnsbtà L nfmzn su qutà d nt d Dzn Rsh, ssum un u su ttsth d sh d pzn vnt h tv ppzn ptv dtmnn ndvduzn d gn n zzzn d sttg, n tmn dbnt mptnt p nssn d bttv d qutà d ptfg dt, dtz. d pp pss d dt. L sttg d sgumnt sn nv L sttg d Gupp Mntpsh n mpst d tutt sstm d vzn, n mbt d gstn d Rsh d Cdt dnz gn/mns, d mutt hnn bttv pnp d mt g ttsth d nt. L vzn d mptt nm su ptfg dt vnt n gd d mdf sh d d fnmn d nsvnz, ttvs, n dt nns un s d dmpmnt pt, tutt ptnztà fft d d pt d t mm, u vn md d Rtng ntn d stm d ssgnt mptnt mpt d mntn pdt n s d nsvnz. L dfnzn pt n d munzn n d sttg è nnu, n nmtnz nt d p tutt nfmzn n dfnzn d Rsk Apptt, sv ut vf d vzn d sh vzn stdn s nss d d dt. In s d nfm, è pvst ndzn sgn. ffnmnt gst d zn È pssb ndvdu du mbt d d fgu spzzt n gstn d dfnzn: qutà d dt d n mbt g p sttg d Egzn d Cdt dfnzn d mdtà d gstn d (dfnzn d tgt d qutà p sh d dt. ss dt); L vzn quntttv d sh d sttg d Mntgg d Cdt dt tv pnp ppzn (dfnzn d tgt d qutà mnm ptv n msuzn d ddtvtà p mntnmnt d dt gt). ggustt p sh d sng untà ssum ptv. T pss è zzt ttvs pt mptnz dfnzn d g stumnt d nt d gstn. G N sttg d gzn d m b 0

31 Obttv pth d gstn d sh stumnt d vzn quntfzn db vn nsdt m gntt d sh d dt nsntn Gupp s pt d fnnzmnt pt d v Mntpsh dfnzn d pth d d bn ntt d st. N fs d ptu h vvngn pnpmnt mntgg vn hst dgumnt n dfnzn d png sk djustd, d gnz p qu v d mt ttvtà h np ptu d sh sut nf v d db ntt pgmmzn d ddtvtà d d st; ntf d t dmpmnt pt. vn nzzt n pss zztv L pth n mbt d ttnuzn d d sttg d mntgg d dt. sh sn dfnt n pss d ut ppfndmnt su Tnh Cdt Rsk Mtgtn (CRM), n qu d Attnuzn d Rsh, s vd nh sn ndt sddsftt ttsth sussv gf.. (g, ptv gnzztv) nss I pss d gzn py d gstn p utzz d gnz ss d Rsh d Cdt sn dspnt d fn d ttnuzn d sh d dt. ppst Dttv d Gupp. N pss sn dntft t nsm d gnz h spttn qust d L ns d sh d dt vn zzt mtgzn: sn, R Fnnz, ntnmnt p fntà gstn mdnt R Ipt. At tp d gnz utzz ptzn d dt nn pdun Cdtz, svuppt ntnmnt un fftt d ttnuzn d sh d Cpgupp, h pdu m utput dt. In pt, p gnz d dttg msu d sh ssh è stt zzt un sstm d mntgg d dt Atts Intts s gstn d v d bn n gnz, bst su (dvsft vzn d v d mt (gn tmp nnu d ntv d nfdnz p tt nnu p g mmb). bt tng tgt d Gupp stss) A ntn d pss d gzn d s gmnt. G nput sn nums: dt Gupp Mntpsh dtt un pbbtà sstm d ndvduzn d pndt sk tmt md vdt nn, tss d LGD djustd, h è snsb Rtng d nt (gstn gmnt), num psnz d gnz. N s n tpg d gnz h ssstn sng u v d bn n gnz s sggtt ppt dtz, CCF gmnt sh d mt d mb s utzz gstn su bs d qu vn stmt ntt d st d gnz, msu spttvmnt EAD gmnt spss n pntu su v puntu gstn. d gnz fft, h è funzn d I Gupp Mntpsh, nh n zn vttà d v d tt. In fs d qunt pvst d Snd st G u pp M n t d Md ntsk d dfut s d tfg n (D), zznt ttnut h

32 Obttv pth d gstn d sh d Bs, è mpgnt n ntnu d sh pdtt d Dzn Rsh vuzn d mtdg d md, ptt ttnzn d Cmtt Gstn fn d vut g mptt su ptfg Rsh d Cpgupp Bn, d At dtz d ndzn d stss, ttnut Dzn dg Ogn znd. ttvs ns s d snstvty sng ftt d sh s d sn. ut nfmzn n mt L sutnz d ns d qust mpt spttutt ttsth d Md d sh vngn gmnt nst n Intn AIRB, s mnd sussv pù gn fuss d ptng n mt gf...6 Rsh Optv I Gupp Mntpsh h dttt un N pss sn nt nvt fgu sstm vnzt d gstn d sh gnzztv ptv fn d gnt un ff Stà ntt d Gupp. zn d pvnzn d ttnuzn d L nmtv znd ttbus funzn sh stss. d nt d sh ptv A I sstm d gstn s sstnz n un Rsk Mngmnt. Cm gà ptt n pss stuttut p dntfzn, pdnz, ntn d qust è sttut vutzn d nt d sh Svz Rsh Optv Rputzn, ptv, d è dfnt n Dttv d u mptn: Gupp n mt d Gvn Gstn ndvdut dfnzn, n dvs svupp d Rsh Optv. ggnmnt d sstm d gstn I sstm d gstn dttt d Gupp s msuzn d sh ptv; dnmnt d sstm d t t n sgunt m pss: nsvzn d dt; dntfzn, msuzn, sstm d ptng su sh ptv; mntgg, vutzn d pf d sh gstn nt, ptv msuzn d mnutnzn, spndnt qust ptmn nvd ntn, v ndvdu nsdt; gnt psd gstn su sh vsn. putzn d nfmt. Csun pss è hmnt dumntt d ttbut spnsbtà d un I md d gstn msuzn dsgnt funzn znd. d mpmntt d Gupp Mntpsh d m b 0

33 Obttv pth d gstn d sh np qutt mpnnt nt d mpt d dt d pdt stn, sgut: nztv DIO vn nh utzzt n dt ntn d pdt ptv; fntà mtdgh d suzn d dt stn d pdt ptv; dubb ntpttv. ftt d ntst ptv d sstm L ns d ftt d ntst d nt dtmn ndvduzn d ttà d nt ntn; ns d sn. ptv u bn è spst. L ssfzn d t dt ps gnutà d ns, ndtt n sng md dg vnt qu d busnss pss wns tmt ndgn nnu d sf ns stbt n nmtv d Bs ssssmnt su psd d sh ptv, ggung ut ssfzn qu d ss ppsnt un mpnnt psptt smp pss, untà gnzztv, h tnd d vdnz ttà gt ggf t. L bn h dfnt ptvtà dybydy. un pss d Lss Dt Ctn I Gupp Mntpsh, nfn, ndu (LDC) fnzzt t nnumnt ns d sn vt nsvzn d dt su sh ptv: pp tp mngmnt: ns hnn qust mpndn s nfmzn fn d vzz n tmn d pt ft qutt mpnnt stttmnt spszn d gn ttà, n tt pvst d sstm d msuzn s t (fwd kng) d g vuzn d nfmzn munqu sgnftv p ntst gnzztv d busnss. fntà gstn. A fn d ssu tt ppzn d I pss d Lss Dt Ctn è t mtdg su mpn sptt npt n md d ssu qust nmtv n vg, A Vdzn, d mptzz, ffdbtà ggnmnt Mntgg Rsk Rptng è ttbut d dt,, qund, ff d sstm d spnsbtà d pss d nvd gstn msuzn h t dt utzzn. ntn su sh ptv. L qutà d L pptv un d gstn d sh sstm d gstn d msuzn d sh ptv tv bs dt ntn ptv vn vutt su bs ntnutv, nt t qu sggtt pn d sì m spndnz n tmp ntnutà ptv dsst vy. pszn nmtv, sgnz znd qunt ttn dt stn d pdt d vuzn d mt d fmnt. ptv, Gupp Mntpsh h ds In qust ntst, è nt ptmnt p un pp ftmnt pudnz. qufnt nn s vf ffdbtà I dt stn sn dvt d Cnsz d mtdg p d qust DIO (Dtbs Itn dt Optv) ptmn, m nh t ffttv u Gupp Mntpsh ds fn d utzz d t sstm d msuzn su sttuzn n 00. Ot utzz n mbt d pss dsn d G u pp M n t s h

34 4 Obttv pth d gstn d sh sstm d gstn qutdn d sh d sstm d gvn gstn d sh ptv. ptv d Gupp Mntpsh, fn L A Rsk Mngmnt pvvd, nt, d un vutzn ndpndnt d gn pduzn d ptst su sstm d dgutzz, n tmn d ff d gstn msuzn d sh ptv, d ffnz. Cn dnz nnu, dstnt s funzn ntn h Dzn Rvsn Intn pdspn un Ogn d Vgnz. zn dstnt tn nfmt g Csun d m pss n u è gn znd, n qu ust ttvtà tt sstm pvd un pp svt n mt d vsn, dnd spf ptst ntn d un pù mp vdnz ttà vt, g ntvnt ntst d ptng. Obttv d t ttv ppst d tv st. ttvtà, mdnt dfnzn d un L sutnz d ns d qust mpt gg d ntnut, dstnt fqunz d d sh vngn gmnt nst n ggnmnt, è ssu un tmpstv pù gn fuss d ptng n mt munzn zznt vt d d sh pdtt d Dzn Rsh nfmzn n mt d sh ptv ptt ttnzn d Cmtt Gstn t dvs funzn znd ntsst. Rsh d Cpgupp Bn, d At L nmtv znd ndvdu p Dzn dg Ogn znd. funzn d vsn ntn n Dzn ut ppfndmnt su Rsh Rvsn Intn, u mptn vfh Optv, s vd nh sussv pdh su funzntà mpssv Cpt..7 Rsh d Mt d Tdng Bk I tfg d Ngzzn d Vgnz ntmdt fv d stss nt, (NV) d Gupp Mntpsh Tdng pvd ntmnt d psd d Bk sut sttut d nsm d sh d pt d MSCS. tfg d Ngzzn d Vgnz I sh d mt d tdng bk gstt d Cpgupp Bn (BMS) vngn mntt p fntà gstn d MS Cpt Svs (MSCS). I pnpmnt n tmn d VutRsk ptfg d t ntt vzn (VR). mm sn hus sh d mt, L ssunzn, gstn d mntgg ntnnd unmnt tt bbgzn d sh d mt sn dspnt pp, dtnut svz d nt v d Gupp d un spf Dttv t. ppvt d CdA. Anh ptvtà n dvt, d m b 0

35 Obttv pth d gstn d sh I Cmtt Fnnz Lqudtà d Gupp mb. In gn pszn vngn h mpt d ndzz dn ssunt s mdnt qust vndt mpssv pss d gstn d d tt zn/bbgzn fnd, fnnz ppt d Gupp, ssund s ttvs stuzn d pszn n nz t g ntvnt gstn d stumnt dvt qutt (s. Futus) dvs busnss unt. OTC (s. IRS, Optns). L ttvtà vn I mt ptv ttvtà d ngzzn, svt susvmnt n nt pp, n sn dfnt dbt d CdA d bttv d tn ssut, n sptt d Cpgupp n nz n Rsk Apptt mt dgt n tmn d VR d Stp sn spss p sun v d dg Lss mns d nnu. n tmn d VR dvsft t ftt d In pt AFTCM p nh su sh ptfg d Stp Lss mns ttt bv d pnp uv d tss, d nnu. I mt sn mntt su bs pvntmnt tmt bbgzn gn. dvt qutt. Int sh d dt d Tdng qunt gud n pt sh Bk, t d ss mps n d dt psnt n ptfg d bzn VR n spttv mt ngzzn, n gn pszn su p pt d sh nnt vttà tt vngn gstt mdnt qust d mttnt vndt d tt bbgzn mss d (dt spd sk), vn ssggttt stà ttvs stuzn d pszn nh spf mt ptv d sh sntth n stumnt dvt. L ttvtà mttnt nntzn bbgzn, è vt d ttn un psznmnt h pvdn mssm nzn p ung t su sng mttnt ppu tpg d gunt ss d tng un spszn ung t su pt su tutt g nvstmnt n tt d dbt stt mg. L ttvtà vn svt (bbgzn dt dvtvs). susvmnt n nt pp, n mt dtz dg bttv d tn ssut, n sptt d Cpgupp, d busnss u è ut spf mt d sh mttnt dmndt ttvtà d ngzzn è A nntzn dbt d CdA. Fnnz, Ts Cpt Mngmnt I tfg d Ngzzn d Gupp (AFTCM), stuttu dtt pt Mntpsh è ggtt d mntgg d Ammnstt Dgt. MSCS ptng gn d pt d A Rsk ttvtà d ngzzn sn svt d Mngmnt d Cpgupp, su bs Dzn Gb Mkts. d sstm ppt. I VR gstn vn L Busnss Unt gstsn un ptfg t n mn utnm sptt d pptà h ssum pszn d tdng funzn ptv, svnds d md su tss, su dt, su zn, nd, m ntn gstn d msuzn d Cn G fmnt u n pp spf M n t s h

36 6 Obttv pth d gstn d sh sh mpmntt d funzn d Rsk pù gn fuss d ptng n mt Mngmnt stss, n n n bst d sh pdtt d Dzn Rsh pt ntnzn. s fntà ptt ttnzn d Cmtt Gstn sgnth, n tm d Rsh d Mt, Rsh d Cpgupp Bn, d At Gupp s vv d mtdg Dzn dg Ogn znd. stnddzzt. ut ppfndmnt su Rsh d L sutnz d ns d qust mpt Mt, s vd nh sussv Cpt d sh vngn gmnt nst n 7..8 Rsh d Cntpt I sh d ntpt è gt ptn Tnstns) z pdt dvut ndmpnz d tmn ttv pssv su tt m, ntpt d tnszn fnnz pm pzn d nssn ssunzn d d gmnt d tnszn stss d tt m n pstt fnnzmnt è t qug stumnt fnnz h n mgn; psntn un v pstv mmnt qu: pnt nt pzn n gmnt ung d nsvnz d ntpt. G stu tmn mnt fnnz h dtmnn t sh Tnstns) qu: tnszn tmn psntn sgunt ttsth: n qu un ntpt s mpgn gnn un spszn p f nsgn (v) un tt, un m vu pstv; (LST Lng Sttmnt un vut st nt vmnt hnn un v d mt h vv (nsgn) d ntnt, t stumnt n tmp n funzn d vb d fnnz m n gmnt mt sttstnt; un dt ntttu dfnt, sussv gnn un smb d pgmnt sptt qu pvst d pss d ppu smb d stumnt fnnz mt p tnszn d mdsm m nt pgmnt. sp. I tttmnt pudnz d Rsh d I pmt d msuzn d Rsh d Cntpt s pp sgunt tpg Cntpt è sttut d tutt bnh d stumnt fnnz: ntt d Gupp, n fmnt stumnt dvt fnnz dtz pszn dtnut n tfg Bn ngzt fu bs (OTC Ov Th n tfg d Ngzzn. Cunt); I Gupp Mntpsh, m pvst pzn SFT (Suts Fnnng d d nmtv d vgnz, fn d m b 0

37 7 Obttv pth d gstn d sh msuzn d spszn Rsh d spszn Rsh d Cntpt d utzz Cntpt utzz pp pp gmnt d gmnt d v d mt p v d mt p dtmnzn dtmnzn d Expsu t Dfut d Expsu (EAD) p pzn OTC LST d pzn OTC LST d mtd mtd ntg p dtmnzn ntg p dtmnzn d EAD p d EAD p pzn SFT. pzn SFT. L sutnz d ns d qust mpt L sutnz d ns d qust mpt d sh vngn gmnt nst n d sh vngn gmnt nst n pù gn fuss d ptng n mt pù gn fuss d ptng n mt d sh pdtt d Dzn Rsh d sh pdtt d Dzn Rsh ptt ttnzn d Cmtt Gstn ptt ttnzn d Cmtt Gstn Rsh d Cpgupp Bn, d At Rsh d Cpgupp Bn, d At Dzn dg Ogn znd. Dzn dg Ogn znd. ut dttg quntttv su sh ut dttg quntttv su sh Cntpt su tv pss d gstn, Cntpt su tv pss d gstn, s vd sussv Cpt 6. msuzn s vd sussv Cpt 6. t Dfut (EAD) p.9 Rsh Tss d tfg Bn I Bnkng Bk dntf, n d n ptv fnt d sh d tss d bst pt ntnzn, nsm Bnkng Bk d Gupp. d ptvtà mm d Bn S ps h n mbt d tfg nnss tsfmzn d sdnz Bn sn ndtt nh tt d ttv d pssv d bn, d bbgzn ttv dtnut p fntà Ts, d f st d dvt d d nvstmnt, ssft ntbmnt ptu d fmnt. L dfnzn d m AFS L&R. qust gggt sn pmt d Bnkng Bk (nt stt sts stss mth d msuzn qu d tfg Bn d Vgnz) d sh tss ALM, utzzt p t d pss d ntmnt d pst mm. gstn d ALM sn dspnt d un L st gstn sttgh d Bnkng ppst db d CdA d Cpgupp Bk, dttt d Cmtt Fnnz h h p ggtt ntmnt d Lqudtà mntt d Cmtt gstn d Asst & Lbty Mngmnt Gstn Rsh d Cpgupp, s bsn pss A Fnnz Ts Cpt n pm ug su spszn sh Mngmnt d Cpgupp mt d tss d ntss p un vzn d G u pp M n t s h

38 8 Obttv pth d gstn d sh v nm d ttvtà pssvtà fnzzt p n ss nztv d Bnkng Bk ns d Mgn d dgut d ttmzz pf d Intss, ppnd sn dffnzt sh d ttv vntu nss su uv d tss. ntvnt ttv. I Gupp dtt un sstm d gvn L sutnz d ns d qust mpt gstn d sh d tss h, n d sh vngn gmnt nst n nfmtà dspszn d Auttà d pù gn fuss d ptng n mt Vgnz, s vv d: d sh pdtt d Dzn Rsh un md quntttv, su bs d ptt ttnzn d Cmtt Gstn qu vn t spszn d Rsh d Cpgupp Bn, d At Gupp d sng stà/stuttu Dzn dg Ogn znd. d stss sh d tss d ntss, n tmn d ndt d sh; ppfndmnt n mt pss d mntgg d sh, ts mtdg svuppt p sh d tss vf sptt d mt ptv d ntss d tfg Bn (ALM ssgnt Gupp n mpss Bnkng Bk) tv sutnz sng untà d busnss; quntttv, s mnd sussv pss d nt gstn d sh, Cpt 8..0 Rsh d Lqudtà In mt d Rsh d Lqudtà, Gupp Mntpsh ffnt stuttumnt t tmth n un py fm d gstn, s psptth; dtt mntn stumnt d ttnuzn d sh. nh fn d mpn n qunt N mbt hst d Snd st d Bs. Cpgupp nt spnsbtà d: I Gupp dtt un sstm d gvn dfnzn d pth d gstn gstn d sh d qudtà h, n d qudtà d Gupp d nt nfmtà dspszn d Auttà d d tv sh; Vgnz, psgu g bttv d: d dnmnt ssu svbtà d Gupp d suddtt sstm d ttuzn d suddtt pth pss stà tutt su ntt, n ndzn s ntnt n pmt d fmnt; d nm s dg ff s d s; gvn d pszn d qudtà ttmzz st d fundng n bv, md ung tmn d Gupp, zn ndzn d mt n s v mpssv s d sng d m b 0

39 9 Obttv pth d gstn d sh stà, ttvs gstn ptv d bv tmn. D punt d vst d ntzzt; bvssm tmn, n s d nn è gvn gstn d sh d qudtà, stt fmzzt sstm d ns d s bv s md ung tmn, mntgg d qudtà Intdy n gntnd, m pstt d utm bttv d gnt nm svupp stnz d tutt ntt, svbtà d gnt d ts d bn su d stss. ptà d f fnt pp mpgn d N su funzn d gvn Cpgup pgmnt nfgn. p dfns ptnt t, pth, L gstn d Lqudtà Stuttu d spnsbtà, pss, mt stumnt p Gupp m d ssu qub gstn d sh qudtà, n ndzn fnnz d stuttu p sdnz s d nm s dg ff s d stss su zznt tmp sup nn, / d s d qudtà, fmzznd L v s d Gupp s d sng Stà. qudty Rsk Fmwk d Gupp. I mntnmnt d un dgut ppt I Lqudty Rsk Fmwk d Gupp dnm t pssvtà ttvtà md/ung è nts m nsm d stumnt, tmn è fnzzt d vt pssn su mtdg, sstt gnzztv d fnt d t bv tmn s ttu gvnn h ssu s mpn s psptth. L mth d fmnt, sptt u vn ppt sstm d mtgzn ntnzn s un dgut gvn d mdnt spf mt ptv ntn sh d qudtà n bv n md/ fsst d CdA, sn gp ts h msun ung pd, n ndzn d nm s ppt t tt dg mpgh s dg ff d tubnz. t n sdnz t nn t L gstn d Lqudtà Optv nn s ppt t mpgh t d Gupp h bttv d ssu mm ptà d Gupp d f fnt sdnz. N s d nn, Gupp g mpgn d pgmnt p ss h dfnt fmzzt fmwk n zznt tmp d bv tmn. d L ndzn ssnz p nm Enumbn n bttv d nzz: ntnutà ptv d ttvtà bn è gd mpssv d mpgn d tt nmtv nzn gstn ndpndntmnt mntgg d d Asst dg ttv; mntnmnt d un sbn sstnb t fuss d qudtà n ntt n ust n sussstnz d un qunttà suffnt bv tmn. L mt d fmnt n d ttv mpgnb m b sptt t mbt è dffnz t fuss ntt qunt dfnt n Lqudty Rsk umut d ss Cuntbng Tn; Cpty, vv sv d qudtà h ptà d Gupp d tsfm pmtt d fntgg ndzn d stss ttv bn n ttv gb ( G u pp M n t s h

40 40 Obttv pth d gstn d sh quvntmnt d mpgn ttv nn nsntn d vdnz tmpstvmnt gb n pzn bt). vvnmnt mt ptv vv L pszn d qudtà vn mntt mssm ppnsn sh d qudtà tnt n ndzn d nm s dg dfnt n pss nnu d Rsk ff qunt stt Sn d Stss d Tn. ntu spf / sstm. G sz hnn dup bttv d vdnz d nsgnz d vunbtà n pszn tmpstvmnt pnp vunbtà d Bn, Gupp h pdspst un d Bn sh d qudtà d st d Ey Wnngs, dstngund n nsnt un pudnz dtmnzn gn spf snd h fntà d v d svgnz n tmn d d sng ndt s qu d v Cuntbnng (qudty pssb ttà h gudn nt buff). N s d nn sn stt nt ntst nm d fmnt ppu dfnt g stss tst d qudtà ntdy. tà d Gupp. L ttvzn d un I Cntngny Fundng n, u stsu è pù sgn d y wnng ppsnt un u d A Fnnz, Ts Cpt pm v d t ntbus Mngmnt, è dumnt h dsv vutzn mpssv d psznmnt nsm dg stumnt, d pth d qudtà bv d Gupp. d pss d ttv n s d stss d L Stà d Gupp ntnt n s d qudtà. pmt N mbt d pss d budgt, d n psntn un sh d qudtà putt pt ntn d Rsk Apptt, sgnftv, sn spnsb d sptt Lqudty Rsk Fmwk pvd d pth d mt d qudtà ndvduzn d sg d tnz dfnt d Cpgupp d qust sh d qudtà, nts m mssm ptmn spszn sh tnut sstnb n Auttà d Vgnz. un ntst d nm s dg ff L sutnz d ns d qust mpt d ntgt d stuzn d stss. D d sh vngn gmnt nst n dfnzn d t sg d ppnsn pù gn fuss d ptng n mt sh dsndn mt d bv tmn d sh pdtt d Dzn Rsh d md/ung tmn p sh d ptt ttnzn d Cmtt Gstn qudtà. Rsh d Cpgupp Bn, d At I sstm d mt d bv tmn Dzn dg Ogn znd. Cpty un ndvduzn d tmpstv ppzn, mpst d n qunt mptnt è dnt n t dvs v h d m b 0

41 4 Obttv pth d gstn d sh. Rsh d tfg tpzn I Rsh d tpzn è sh d sgnftv n stumnt d CET, n dt vnt d ggtt spszn n stumnt d AT n stumnt d T n stumnt d pt. t sggtt d stt fnnz, mpt dtmnzn d Cpt Intn n dtzn s dtmn nfntnd fnt d t spszn, Gupp tt d gggt n fnhg s Mntpsh dtt, pts p n ppzn d ps % d fmwk sun tpg d nvstmnt su tt mtdg d stm d Cpt Intn, d ss mpt n fnhg vn mtd stnddzzt. T mtd pndt 00% 0% s d t sh. pvd h spszn n stumnt gggt dg nvstmnt sgnftv d pt vng ssgnt un ftt d (>0%) n t sggtt d stt fnnz pndzn d sh d 00% d nuv nmtv pvd un mnsm 0% p qu pszn sst d un d dpp fnhg (nsm n DTA sh ptmnt vt, mn h nn tsfmb tmpn) p ss nn dbbn ss dttt d Fnd dtmnzn d mpt n dtzn p. un pndzn 0% d mpt nn L ptpzn nus n pmt n dtzn. d sn qund susvmnt L quntfzn d Cpt Intn ptpzn h nn ntn n vvn u d A Rsk Mngmnt mnsm d dduzn d Fnd p. d Cpgupp. T mnsm sn stt nnvt d L sutnz d ns d qust mpt nuv g d vgnz (CRD4/CRR) h d sh vngn gmnt nst n hnn utmnt mpt pmt pù gn fuss d ptng n mt d dtzn nudnd nh g d sh pdtt d Dzn Rsh nvstmnt n sggtt d stt fnnz ptt ttnzn d Cmtt Gstn nn sgnftv (<0%) d ffnnd g Rsh d Cpgupp Bn, d At nvstmnt dtt nh qu ndtt Dzn dg Ogn znd sntt. L nuv nmtv pvd ut nfmzn d ntu ntb nt d fnhg dtzn. n mt ptfg tpzn s gggt dg nvstmnt nn mnd sussv Cpt 9. ntmnt G u h ds d nuv pp M n t s h

42 4 Obttv pth d gstn d sh. Rsh Sttg I Rsh Sttg è dfnt m sh un msu sntt d pdt dvnt gt d un ptnz fssn dg ut d dvs sn. d pt dvnt d mbmnt d L quntfzn d Cpt Intn ntst ptv d dsn znd vvn u d A Rsk Mngmnt t, ttuzn ndgut d dsn, d Cpgupp. ss ttvtà vzn d ntst L sutnz d ns d qust mpt mpttv. d sh vngn gmnt nst n L mtdg d fmnt p pù gn fuss d ptng n mt dtmn qust fnt d Rsh d sh pdtt d Dzn Rsh Sttg è qu d smu tmt ptt ttnzn d Cmtt Gstn ns d sn mptt d mnt Rsh d Cpgupp Bn, d At suzn d gn pts vnt nus Dzn dg Ogn znd. n pn ndust dv qust d. Rsh Immb I Rsh Immb è sh d sub Cntpt. d pdt fnt d szn ntts L quntfzn d Cpt Intn d v dg mmb psnt n vvn u d A Rsk Mngmnt ptfg, dvut gn ndmnt d Cpgupp. d mt mmb. I Cpt Intn L sutnz d ns d qust mpt p sh mmb è ppsntt d sh vngn gmnt nst n d pt gmnt. L st d pù gn fuss d ptng n mt nn utzz mtdg ntn dv d sh pdtt d Dzn Rsh d un pnp gn h Gupp ptt ttnzn d Cmtt Gstn Mntpsh h ds d pp Rsh d Cpgupp Bn, d At tutt fttsp nus d punt d Dzn dg Ogn znd. vst nmtv n Rsh d Cdt.4 Rsh nnt pdtt/svz d nvstmnt psd d Rsh Rputzn nnss svz d nvstmnt I sh nnt svz d nvstmnt s d ndtt d sh ns d Cnt gnn p Gupp m fss dtt n mbt d pstzn d svz d m b 0

43 4 Obttv pth d gstn d sh ttvtà d nvstmnt. tz v pn pt vnz I psd d t sh è, d nsgunz, Cmunzn Cnsb n /009 fnzzt tut d Cnt, n (Lv ntmp, pvn ptnz mptt Ln Gud Intsstv d 009 n ngtv p Gupp n tmn d sh mt d pdtt fnnz qud, ptv putzn. Cmunzn Cnsb n /04 L spnsbtà gnzztv v su dstbuzn d pdtt fnnz d Gupp d psd d ttvtà d mpss Cnt t. msuzn, nt I pdtt d nvstmnt (d Gupp tv sh fnnz, qund d tz), fnt mn pt d fft d d mpssv dstnt Cnt d nvstmnt fn d vfh d Gupp, sn ggtt d un spf dgutzz MFID, è pt ntgnt d mpptu d sh h dtt msuzn spnsbtà d sk mngmnt ntgt d tp quntttv d ftt d sh d d Gupp d è ssgnt v ntt mt dt d ffttu vutzn d Svz Wth Rsk Mngmnt, qudtà mpsstà d t pdtt. L n mbt d A Rsk Mngmnt d mpptu d pdtt ppsnt qund Dzn Rsh d Cpgupp. Cò fn un d t gud su bs d qu d gnt un un psd d gvn vngn ffttut vfh d dgutzz d sh, dtt d ndtt, h dn dg nvstmnt n mbt d svz d su Gupp n s d su mpssv nsunz fft. ptvtà. L mpptu d sh d pdtt d mntgg mpptu d pdtt/svz Iqud), untmnt mngmnt nvstmnt, ffttut n fmnt gud, n spf, nsm d sng m ftt d sh, vn pss ptv gstn, dg stumnt p smptà nfmtv ndtt d mtd d msuzn mntgg spfh ss d sh. fnzzt gnt nz mpssv t ttnzn vn vt d t pf d sh d Cnt Bn mntgg d pvnzn ttsth d shstà pp d ptnz sh fnnz putzn d pdtt ptfg d nvstmnt h ptvtà n svz d nvstmnt, fft Cnt munqu d qust spttutt n un ntst d s fnnz dtnut. qu qu ffntt ng utm nn, L pnp nmtv d fmnt può gn n nsgunz d sut è sttut d dttv munt vttà d mt. L v nn smp MFID d tv gmnt ttutv pvdb dnmh d mt pssn, (n pt, Rgmnt Intmd nftt, d un t mpt pd Cnsb n.690/007). Cm nmtv d vzn d shstà d pdtt L ttvtà G d u wth pp sk M n t s h

44 44 Obttv pth d gstn d sh gn ptnz pdt fnnz, d Cnt n su mpss. In t d t fv mutv ttggmnt d mbt, n pm ms d 0 è stt pt d Cnt stss n nfnt d mss n pduzn nuv md d pp nvstmnt fnnz. dgutzz tnszn, h dtt un L Cnt è ggtt d g nfmtv g d nt mutvt su sng n tmp vzn d shstà ftt d sh d h m fmnt dg stumnt fnnz dtnut, gnz sh d ptfg d Cnt d nss tspnz nfmtv mpnsv d pdtt d nvstmnt suppt d vntu dsn vt ggtt d mndzn; nsunz vnzt h, nv, qub pf d sh dg nvstmnt dtnut. p ggtt vf d dgutzz I svz d nsunz fft, pf d d nsm d pzn nsgt sh d Cnt shstà d n zn mptt su d un pdtt/ptfg d nvstmnt ptfg d nvstmnt nsgt L st sttg d Bn MS è qu d d bbn sstmtmnt svz d un sst tn ttm h m nsunz qu d mnt d p mssmzz ndmnt psptt, dtt fnnz, fn d gnt ms dt pf d sh d Cnt, su un sm v d tut p nvstt d dtmnt zznt tmp. Cnt, n fmnt d vzz n ntmp ttvtà svt d L ttvtà d wth sk mngmnt gst d zn. Smp n tt d tu pn nt pmt dstbutv d t d Cnt, bbg d vf d t f d Bn MS, ptvtà n dgutzz è sts nh ngzzn svz d nvstmnt d Bn Wdb d su mt snd d bbgzn MS Cpt Svs. d tft mss d Gupp. Attvs spst fnt qustn I svz d nsunz vn fft d d pftu MFID, Cnt fns Bn MS snd du dffnt mdtà: Bn ndzn pp tt nsunz bs, d tp tnszn, sth d sgnz (n pt su: bt h p ggtt vf d dgutzz tv d nvstmnt, nsnz, spnz; d un sng spf mndzn zznt tmp), nfmzn h vn d n dtmn pù gn pf d nvstmnt tvmnt sh d nt. shstà d ptfg d nvstmnt. L ns d Cpt Intn Md d Intgzn Rsh I Cpt Intn Cmpssv ( Cpt nts m mmnt gstn d Intn Cmpssvmnt Assbt) è ss ptmn mnm nss d m b 0

45 4 Obttv pth d gstn d sh ptu d pdt nmh dvut nst n pssgg d un pp d vfs d vnt ntts gnt ttmnt bst su md ntn d spszn d un pp m dnmnt n smutn dvs tpg d sh. tttu m us. In sstnz, Cnn quntfzn d Cpt qust d p Rsh d Cdt Intn Cmpssv tutt suddtt Cntpt (h gà nudn qu tv tpg d sh n zn d sh Rsh Emttnt su tfg Bn, d qudtà d sh putzn, h Rsh tpzn Rsh Immb) sn nv mtgt tmt py pss p Rsh Optv, vngn ggunt d ntu gnzztv. qust d md ntn tv Rsh d Mt, Rsh tss d ntss d L A Rsk Mngmnt quntf n Bnkng Bk, Rsh Cnntzn gtà Cpt Intn tv Rsh Sttg. I Cpt Intn sun tpg d sh n dà nt Cmpssv è t snz nsd pdmnt Cmtt Gstn Rsh dvsfzn ntsh smmnd g Ogn d Vt n mbt d fuss dttmnt ntbut d sng sh. pdspst d Dzn Rsh. T pp tnd d np Rtvmnt mtdg d stm d ndzn psnt n dumnt d SRE Cpt Intn, n s d pm smst (Supvsy Rvw nd Evutn ss) d 0 sn stt ntdtt vzn Gudns pubbt d EBA n Dmb mtdgh sgnftv. L pnp L Ans d Stss Tst L dspszn d vgnz pudnz m h, pu vnd un bss pbbtà d p bnh, ntmnt n qunt zzzn, è n gd d gn mptt ndt d ngud d Cmtt d nm sgnftv p Gupp. Bs d bst pt, pvdn h g T g vnt h vngn tnut pusb sttut d dt ffttun dgut pv p dfnzn d sn gnt d d stss tstng. L pvnt dfnzn tnsn pssn ss nsdt: n tttu d stss tstng è nsm d sn st: s ptzzn shk p tnh quntttv quttv n qu mbnzn d ftt d sh ssvt bnh vutn pp vunbtà d stmnt n psst, h nsvn vnt zn m pusb. L bttv un t gd d ttutà ptbtà; è ptnt qu d vut mptt d sn dszn: s ptzzn shk un stt d mnd nsdt stm, p mbnzn d ftt d sh G u pp M n t s h

46 46 Obttv pth d gstn d sh h pssn mnfsts n pssm Rsh Optv vngn dfnt futu, n zn pvdb ntst pptun sn st h hnn vnz n mbnt, s d nm. tmn s d svty s d fquny, vutnd vngn n qust md pp vunbtà d nsdt g vnt ttzzt d bss vnt zn n s d svty fqunz h s mnfstn n stm pusb, n s d fquny. gvtà p Gupp bn. Rtvmnt Rsh d Mt, In t mbt, pp mtdg d pv d stss nsstn n dfnzn stss tst d Gupp Mntpsh, è bst d sn d ntu st (pnp su ndvduzn d pnp ftt d sh, s ssvt stmnt n mt vnd m bttv szn d vnt d ntnzn), mbnzn d vnt (sn) h vdnzn snd mpnnt sptt qu pt vunbtà v d Gupp. Gupp sut ptmnt spst A t fn, sn stt pst n ss spf pn, qund, pù vunb. T stss sn d stss tst su sng sh stnd n s stss ppt smut gnmnt su ftt ngunt pt d sn mnm Equty, Cmmdty, Cdt Spd, Fx su tutt Rsh d m Snd st, Intst Rt. n mbt d qunt dfnt n pss qunt gud Rsh Cntpt, ICAA n Rsk Apptt Fmwk. Rsh d Cnntzn d Rsh In pt, tvmnt Rsh d Emttnt, sn d stss è stt dfnt Cdt, Gupp Mntpsh h dfnt n md nt sn utzzt un md gssv mnm p n mbt d Rsh d Cdt. S ps stm d vzn d bbtà d h su Rsh d Cntpt vn nt Dfut m funzn d vzn d ppt un stss d mt p EAD pnp dt dv. Vngn dppm su bs d un sn dszn d ndvdut dt dv h spgn n vzn d pmt d mt. md sgnftv vzn d D. In bs Rsh Tss d Intss d tfg md gssv vngn p stmt Bn vngn dfnt sn d stss, ptubzn dg stss, ntmnt n ppnd shk dffnzt su sng stuzn nm ttu psptt. nd d uv tmn d fmnt. T shk mpss dt dv dtmn G st d pv d stss tst sn ptt vzn d D d ptfg ttnzn d At Dzn d CdA. dtz, nnsnd smuzn d un Vngn smnt fmmnt d CdA vntu dwngdng d ntpt, n n mbt d ppvzn d Rndnt nsgunt vzn d sh n tmn Annu ICAA, n tt d utvutzn d dt Atts, dt Intts d ngss d dgutzz ptmn ttu d nuv Dfut. psptt d Gupp Mntpsh. Rtvmnt zntà d m b ppu dszn, 0

47 47 Obttv pth d gstn d sh.7 I ss d Infmtv Rsh L mptnz d fmzzzn d un pd vs CdA. T fuss d dgut pss ntn n mt ptng è d ntnds n mbt munzn d nfmzn vnt d g nfmtv su ttvtà è hst sptmnt d nmtv d nt d sh pvst p nzn gnsm Dzn Rsh. In qust md s è ntnzn, fn d ffz nts ffz utmnt pss nspvzz dg gn znd n d munzn n tm d sh vs mt d gstn d sh v d g gn p d Gupp. d pnp gupp bn. A ntn d Dzn Rsh è I Gupp Mntpsh, n fmnt Svz Rsk Rptng d v mpt pss d Infmtv Rsh, h d svntnd, svupp dn pdspst n s dg nn qud Md d Infmtv Rsh d Gupp, mpssv d fmnt n mt, tmt dntfzn d tutt g tt, ttvs sgunt suzn gnzztv sstm, pss, d pt vnt. I d gvn: Md è stuttut su du v. Ad un zn d stuttu spsth ntn Dzn Rsh p pm v: sun d A Rsk gvn d nfmtv (Svz Rsk Mngmnt pdu vd pp Rptng); mth d Rsh, su bs d pp dspn d funznmnt d md ntn gstn pdu Cmtt Gstn Rsh d Cpgupp, n pvsn spt d g gvnt n utnm; sun Svz d A Rsk munzn CdA d mt Mngmnt pdu pp Rsk dsuss d pnp dbzn Rptng Optv p fntà gstn ssunt; ntn (s. pt d vdzn, nt pvsn d dgut sk ptng p mt ptv, ) d d n fntà ntn d stn n pnp BU. y d Gupp n tm d Rsh, Ad un snd v, Svz Rsk Md Intn, Bn, Infmtv Rptng, pt d sutnz pdtt ubb. d A Rsk Mngmnt: pvsn d fuss nfmtv d snttzz Rsk Rptng Dzn h tm d sh d nzz G Svz p fntà Intn d Estn; sdnt d CdA, Cmtt Rsh ntg Rsk Rptng Dzn ndns, Cg Snd n ky sk mssgs vdnznd Ammnstt Dgt, n snts gmnt u pp M n t d pt s vnz/ h

48 48 Obttv pth d gstn d sh tn, vut; ttà, d pt ttnzn d Tp ns d pst vst d pzntà Mngmnt dg Ogn Aznd; s ntf n Invst Rtns, mpt; stuttu d Dgnt pst/ pszn d qudtà ptv stuttu; CFO, A Sgt Gn, p ndt gmnt d qudtà, tmth d sk ptng. N mbt d tutt fuss nfmtv d Asst Enumbn; sh, è pvst mn un Rpt dtt Stss Tst d qudtà; v d Gupp ( Rsk Mngmnt mntgg mt ptv d sh tss d qudtà. Rpt ) n sgunt ntnut pnp. qunt gud Cpt Intn qunt gud Rsh d Mt gstn ns svt su bs tmst d Tdng Bk, pnp ns svt sn tv : sn tv : quntfzn ssbmnt d Cpt ndmnt d pf d sh d Intn d Gupp Mntpsh, p mt d tfg d Ngzzn sk ft Bn/BU. d Gupp: VR gstn ns d &L; ffnt n pd pdnt. dsgggzn d VR p Enttà Lg ffnt n sk pptt d budgt. qunt gud Rsh d Cdt, Rsk Ft, VR dvsft nn pnp ns svt sn tv : dvsft; pnp spszn d ptfg; sh d tfg n Bns d n Dfut, p Enttà Lg, Sgmnt ns d sh mttnt; d Cnt, Msts Gupp Bktstng ffttv d VR; ndust; Stss tst; mntgg d mt ptv. dnm d Rsh d tfg qunt gud Rsh Optv, Cdtz n Bns Dfut; quty dstbutn d sh pnp ns svt sn tv : d vdnz d dt d pdt (nfmzn tfg n Bns stuttu d quntttv); ptfg n Dfut; pdt d mgg mptt vt n ns gstt d nntzn tmst d ns d us; su v m d ttvtà nm. Optn VR su dvs vnt typ qunt gud Asst & Lbty gmnt. Mngmnt d Rsh Lqudtà, pnp ns svt sn tv : N s d 0 è stt svuppt un mptt su v nm su nuv szn tv Mntgg mgn d ntss, p Enttà Lg, ndmnt dg ndt RAF, su bs p BU, p Bukt d uv, p fm tmst, m pvst d nmtv d m b 0

49 49 Obttv pth d gstn d sh d py pss ntn n mt d su pnp tmth punt d Rsk Apptt Fmwk. ttnzn d vt n vt mggmnt I Rsk Mngmnt Rpt vn ntgt vnt. pdmnt n spfh ns su I ntnut bs d Rpt nsnt At mntgg d Rsh nnt pdtt/ Dzn g Ogn znd d qus svz d nvstmnt d nt un pnm suffntmnt mpt (Wth Rsk Mngmnt). In pt nhé sntt d pnp sh sn ustt pf d sh d nt d Gupp Mntpsh, vdnznd d pdtt d dtnut, snd vntumnt ttà n pf d sh ssfzn ntn d md d mpssv n su vuzn tmp, svz dttt d Gupp Mntpsh. nntzn su spf mpt Vngn fnt dttg su mss gstt Busnss Unts, stuzn d tnsn mmnstt n fus su pdtt ggtt su ssbmnt d mt ptv dgt d fft ttv d pt d MS. Sn d CdA, spszn nuv mt/ nt psntt dttg su nsunz sk fts. L ns d Cpt Intn d ptfg n tmn d sst tn nsnt n md pt d vut ttm nsgt g st d nt d ssbmnt ffttv psptt v dgutzz d ptfg mntgg gggt su gn sng sk ft, nh d gstn ptmn. n fmnt sh d Snd st I Rsk Mngmnt Rpt vn d vt h ntn n vutzn d Adgutzz n vt ntgt n gmnt/mnt d tmn d Gupp fn ICAA. ttnzn spf (s. smuzn d h, I Ans d Sn/Stss,...). ntnumnt p gntn un smp Vngn nt fnt nfmzn mgg spndnz sgnz d stt vnzmnt v su pnp nt, ndzz gstn gvn pgtt n s pss stuttu, znd ptng vn ftt vv ggnmnt nmtv ppfndmnt.8 L Gvnn d ss d Infmtv ubb (Tz st d Bs) I Gupp Mntpsh dspn I CdA, n qutà d Ogn d Supvsn ntnmnt Tz st d Bs Sttg d Gupp: ( Infmtv ubb ) n dfns pss d Infmtv Rgmnt n. d Cpgupp Bn n un ppst Dttv d Gupp. G u pp M ubb; ppv pth, pdu psd n t s h

50 0 Obttv pth d gstn d sh gnzztv ndvdut n gud mptnz. d Gupp n mt dfnzn d I dumnt d Infmtv ubb ntnut d nfmtv; d Gupp Mntpsh pvd ppv g ggnmnt Dhzn d Dgnt pst pd sns d mm d t. 4 bs d d Infmtv ubb. L Ogn n Funzn d Gstn, Tst Un d dspszn n mt d ppsntt ntmdzn fnnz. d AD/DG d Cpgupp, n fmnt pss I Rpt vn ndvs gbmnt d pduzn d Infmtv ubb d Dzn Rsh nsm CFO d : Dgnt pst. Sussvmnt vn dfns g ndzz, u ntt AD h psnt CdA p spnsbtà d stuttu d Gupp ppvzn dfntv. nvt n pss; Un vt vut ppvzn d pt vut s Infmtv ubb d CdA, Rpt vn pubbt su st tsmtt suntmnt ptpnt Intnt d Gupp, m pvst d mt pf d sh d Gupp; nmtv d Vgnz. L funzn d dnmnt suppt s dhzn pvst d At. Invst Rtns su tmth nnt 4 d CRR; b gstn dg psnt CdA g ggnmnt vntu fdbk pvnnt d Mt pd d Infmtv. I Svz Rsk Rptng, p Dzn su mt. Rsh, h spnsbtà d supvsn L Dzn Rvsn Intn sttpn mpssv d dnmnt gn vsn nt pss, n nz d d n dspszn stn n md dzn fn d Rpt. A t fn s d sstm d nt ntn dttt vv d suppt d Funzn Bn, p Gupp Mntpsh, vfndn Sgnzn Cnt mpstzn, tt d ff Adgutzz tmn d tutt ppzn vutndn vdtà t funzn d Gupp ndvdut, h ttzz d sutnz. suddtt pss, d nnhé Vgnz, ntbusn vdn nfmzn d d m b 0

51 Ambt d ppzn. Ambt d ppzn L Infmtv ptt n psnt nsdmnt n mtd d dumnt s fs Gupp Bn ptmn ntt n vgnz pudnz; Mnt d sh d Sn nts snd nsdmnt n mtd d dfnzn d Vgnz. L d ptmn ntt n bn IAS/ nsdmnt pudnz è stut IFRS snd nmtv pudnz dffs snt ttvtà fnnz ntt d d nsdmnt vnt nguntmnt. fn d Bn nsdt, h è dtt nsdt snd pnp ntb IAS/IFRS. A vgnz pudnz. d stà T Intg S.p.A. stà ppznmnt è n fn d d pt gmnt S ps nt, h ntn d Gupp d qust pudnz v d Mntpsh, nn sn psnt stà nsdmnt pudnz qust può ntt (fzn) nn nsdt. gn dsnmnt t dt psnt S ps h ntn d Gupp nn v n qust dumnt qu nst n sn mpdmnt h stn pd Bn nsdt. tsfmnt d ss ptmn d L dffnz sn ndub fnd. ssnzmnt : nsdmnt n mtd ntg D sgut s ptn znd d n bn IAS/IFRS d stà nn d nsdmnt vnt fn d bn stt Ab d Gupp Bn fn pudnz Dmb 0. G u pp M n t s h

52 Ambt d ppzn Tb.. A d nsdmnt..0 % d tpz Tp d Rppt () Sd Stt BANCA MONTE DEI ASCHI DI SIENA S.p.. Sn Attvtà bn MS LEASING E FACTORING S.p.. Sn Egzn sng ftng 00,00 Buxs Attvtà bn 00,00 MONTE ASCHI BANQUE S.A. g Attvtà bn MS CAITAL SERVICES BANCA ER LE IMRESE S.p. Fnz WISE DIALOG BANK S.p.. WIDIBA Dspnb. Tttmnt Tttmnt Vt % Fn Fn (b) d Bn d Vgnz Intg Intg 00,00 Intg Intg 00,00 Intg Intg 00,00 00,00 Intg Intg Attvtà bn 99,9 99,9 Intg Intg Mn Attvtà bn 00,00 00,00 Intg Intg Sn Stà fdu 00,00 00,00 Intg Intg Fnz Cdt nsum 0,00 7 0,00 Mtd d tmn Ntt pzn Sn Ctu vt znd vtvn 00,00 00,00 Intg Mtd d tmn Ntt MS REFERRED CAITAL I LLC Dw V fnnz 00,00 00,00 Intg Intg MS CAITAL TRUST I Dw V fnnz 4 Intg Intg MS REFERRED CAITAL II LLC Dw V fnnz 00,00 00,00 Intg Intg MS CAITAL TRUST II Dw V fnnz 4 Intg Intg g Intmd fnnz 00,00 00,00 Intg Intg Lussmbug V fnnz 00,00 00,00 Intg Intg ANTONVENETA CAITAL LLC I Dw V fnnz 00,00 00,00 Intg Intg ANTONVENETA CAITAL LLC II Dw V fnnz 00,00 00,00 Intg Intg ANTONVENETA CAITAL TRUST I Dw V fnnz 00,00 00,00 Intg Intg ANTONVENETA CAITAL TRUST II Dw V fnnz 00,00 00,00 Intg Intg BANCA MONTE ASCHI BELGIO S.A. MONTE ASCHI FIDUCIARIA S.p. INTEGRA S.p. MS TENIMENTI OGGIO BONELLI CHIGI SARACINI SOCIETÀ AGRICOLA S.p. MONTE ASCHI CONSEIL FRANCE SOCIETE AR ACTIONS SEMLIFIEE MONTEASCHI LUXEMBOURG S.A. CIRENE FINANCE S.. Cngn MAGAZZINI GENERALI FIDUCIARI MANTOVA S.p. Mntv CONSORZIO OERATIVO GRUO MS Sn ERIMETRO GESTIONE RORIETÀ IMMOBILIARI S..p.. Sn MS COVERED BOND S.. Cngn MS COVERED BOND S.. Cngn V Ctzzzn dt Mgzzn d dpst ustd (p nt tz) Svz nfmtv/ nfmt p stà d gupp 60,00 60,00 Intg Intg 00,00 00,00 Intg Intg 99,9 99,9 Intg Intg Stà mmb 00,00 00,00 Intg Intg 90,00 90,00 Intg Intg 90,00 90,00 Intg Intg V Ctzzzn dt V Ctzzzn dt G.IMM.ASTOR S.. L Lzn d bn mmb,00,00 Intg Intg IMMOBILIARE VICTOR HUGO S.C.I. g Attvtà mmb 00,00 00,00 Intg Intg d m b 0

53 Ambt d ppzn Tb.. A d nsdmnt..0 (sgu) Sd Stt % d tpz Tp d Rppt () AIACE REOCO S... Sn Attvtà mmb 00,00 00,00 Intg Intg ENEA REOCO S... Sn Attvtà mmb 00,00 00,00 Intg Intg CO.E.M. COSTRUZIONI ECOLOGICHE MODERNE S.p.. Rm Attvtà mmb 40,0 4 40,0 Intg Mtd d tmn Ntt 00,00 00,00 Intg Intg 7,00 4 7,00 Intg Intg 7,00 4 7,00 Intg Intg 7,00 4 7,00 Intg Intg 0,00 4 0,00 Intg Intg 0,00 4 0,00 Intg Intg 0,00 4 0,00 Intg Intg 0,00 4 0,00 Intg Intg 4 Intg Intg 4 Intg Mtd d tmn Ntt CONSUM.IT SECURITISATION S... Cngn SIENA MORTGAGES 07 S.p.. Cngn SIENA MORTGAGES 096 S... Cngn SIENA MORTGAGES 07 S... Cngn SIENA CONSUMER S... Cngn SIENA CONSUMER 0 S... Cngn SIENA MI 0 S... Cngn SIENA LEASE 0 S... Cngn CASAFORTE S... Rm ATAGONIA FINANCE S.A. Lussmbug V Ctzzzn dt V Ctzzzn dt V Ctzzzn dt V Ctzzzn dt V Ctzzzn dt V Ctzzzn dt V Ctzzzn dt V Ctzzzn dt V Ctzzzn dt V fnnz Dspnb. Tttmnt Tttmnt Vt % Fn Fn (b) d Bn d Vgnz () Tp d ppt. mggnz d dtt d vt n ssmb dn nfunz dmnnt n ssmb dn d n t s 4 t fm d nt dzn unt x t. 6, mm, d DLgs 87/9 6 dzn unt x t. 6, mm, d DLgs 87/9 7 nt ngunt (b) Dspnbtà d vt ffttv n Assmb Odn. G u pp M n t s h

54 4 Fnd pp. Fnd p I fnd pp, mnt d, sn qunttà nfm qust hst d t snd g d Bs pt gszn up vgnt. I fnd pp n Eup ttvs un tt nmtv sn sttut d Cpt d ss (T ppsntt d Cpt Rqumnts T), su vt sttut d pt Rgutn (CRR, Rgmnt up n. pm d ss (Cmmn quty T 7/0), d tv suppmnt, d CET) d pt gguntv d ss Cpt Rqumnts Dtv (CRD IV), (Addtn T AT), d Cpt d d Rguty Thn Stndds dg Css (T T). Impmntng Thn Stndds mnt un dszn dttgt dg mnt d EBA d stuzn d vgnz h mpngn Fnd p (CET, mnt d Bn d It (n pt AT, T) s n fmnt gm C 8 86). L ntduzn d tnst h gm fn d NSF s nuv fmwk nmtv è sggtt d un mnd t F d Bn Cnsdt gm tnst h pttà ngss d Dmb 0. S vdnz, h g gm (fuy pptn) 09 (0 Gupp, n ms d Gnn 04, m p phsut d tun stumnt ptmn) pvst d C. 8 d Bn d It dunt qu nuv g snn ppt d 7//0, h stt ftà d n ppzn snt. sud d CET pftt pdt I fnd pp, t snd gm nn tnst d vs mmnstzn nt ssft ptmn ntt ntb dtmnt n tg AFS, fn ppvzn n pnp d IFRS d pt d Cmmssn ntb ntnzn IAS/IFRS phé Eup h ssttus IAS 9, p fftt nmtv pudnz psgu bttv d ttvzn d dszntà nzn d svgud qutà d ptmn pvst d dun ptnz vttà, ndtt dspszn tnst ffttut d Bn d ppzn G d It. G ut nn zzt tv mnt h sttusn fnd pp spszn vs mmnstzn nt dvn ss, qund, n pn d ssft n tg AFS nn nus dspnbtà d Gupp, n md d pt n d fnd pp mmntn ss utzzt snz mtzn p u, mn d u. ptu d sh d pdt znd. Cn fmnt g vnt d 0, L sttuzn dvn nftt dmst s vdnz h n ms d gugn d pssd fnd pp d qutà Cpgupp h pfznt un umnt bs vgnt, dffsn ppzn dg d IAS/IFRS. d zzt m d b tv CRR spszn n mbt 0 d

55 Fnd pp d pt n pzn p un ntv Int n dt ug sn stt mss mpssv p md d u. fv d Mnst d Enm d fftt d t umnt d pt d Fnnz (MEF), tt d ntss mtut utzzzn vut d Bn d It Dmb 04 sns d nmtv d Mnst d Enm d Fnnz, tv NSF, n zn Cpgupp h sttt.07 mn d dn, p 4% d pt s, n u n v nmn d Nuv Stumnt ntstu umnt d pt s p Fnnz (NSF) p un spttv d 4 mn d u. D sgut s ptn.6 mn d u, mmnt nusv pnp ttsth dg stumnt h dg fftt d pvsn d psptt ntn n d Cmmn Equty d mssn n sgut vndt d T. Fndzn Mnt d sh d Sn. Cttsth dg stumnt CET N. Od. Cttsth dg stumnt Tss d ntss Stp up N.A. NO Cpt vst Rmbs Dt d Dt mssn d sdnz ntpt pt d N.A. N.A. N.A. Vut Gndfthng EUR NO Appt Impt d gn ptmn vgnz ( /mg) ( /mg) Stumnt d pt pm d ss (Cmmn Equty T CET) D sgut s ptn pnp n d Addtn T. ttsth dg stumnt h ntn G u pp M n t s h

56 6 Fnd pp Cttsth dg stumnt Addtn T N. Od. Cttsth dg stumnt Rmbs Dt d Dt mssn d sdnz ntpt pt d Tss d ntss Stp up N.A. NO N.A. N.A. Appt Impt d gn ptmn vgnz ( /mg) ( /mg) Vut Gndfthng () EUR n F.R.E.S.H. 008 qut pt nn mputb n CET F.R.E.S.H. (Ftng Rt EqutyLnkd Subdntd Hybd) Eub m + 88 bps. NO 0//0 N.A. (b) EUR n Cpt fd Suts I^ tnh Eub m +6,% SI //00 N.A. () EUR s m Cpt fd Suts II^ tnh Eub +6,% SI 7/06/0 N.A. () EUR s fd Cpt I LLC Eub m +6,% SI 07/0/0 N.A. (d) EUR s Stumnt d pt gguntv d ss (Addtn T AT) 6.96 () I F.R.E.S.H. 008 s fs umnt d pt p 90 mn d u svt J Mgn. fftt d un nttt d usufutt stput t Bn J Mgn, qust utm h s nud pptà d zn mnt dtt d vt dvdnd spttn Bn. In fz d t nttt, n psnz d ut dstbub Bn è tnut spnd un nn ntpt. A sgut d umnt gtut d pt s p 70 mn d u dbt n 0 v su sv svppzz zn, qut d umnt d pt svt d 008 h psnt ttsth d AT Dmb 0 sut p 8 mn d u. (b) G stumnt nn nnvtv d pt F.R.E.S.H., mss d pt d v MS fd Cpt II LLC, p un v nmn gn d 700 mn d u, sn pptu nn sn pvst us d mbs né us d stpup, m sn nvtb n zn. Dunt ms d sttmb d gn nn d nus munqu, d gn tmp, pt d sttmb 00 g stumnt sn nvtb d nztv d nvstt. E pvst nt un us d nvsn utmt, n s n u dp sttm nn d mssn, pzz d fmnt d zn dn sup un v pstbt. qunt nn qut n n zn s vdnz h munzn è nn umutv, n ftà d nn spnd munzn stss s n sz pdnt Bn nn h vut pftt dstbub / nn h pgt dvdnd g znst. L munzn nn spst s ntnd dfntvmnt ps. I dtt d ptt dg stumnt sn gntt su bs subdnt. Inftt, n s d qudzn d Cpgupp, dtt dg nvstt sutnn subdnt sptt qu d tutt dt d Cpgupp nn ugumnt subdnt, mps ptt d tt ntnt n ptmn suppmnt sutnn svdnt dtt dg znst d Cpgupp. fftt d t ttsth g stumnt pssn ss ntggt n mbt d t. L stuttu h pvst sttuzn d un mtd bty mpny d un busnss Tust h hnn mss spttvmnt pfd suts nvtb tust suts nvtb. L Cpgupp h sttstt un nttt d nndng stt fm d nttt d dpst subdnt. I nttt d nndng h ndzn sstnzmnt ngh pfd Suts nvtb. t tt mttnt h stt ftà d nn pd pgmnt dg ntss mtut dt d pgmnt d pvst, pt d 0 sttmb 0. () L Cpt fd Suts, Antnvnt Cpt Tust I Antnvnt Cpt Tust II, sn tt dmb. t tt mttnt h stt ftà d nn pd pgmnt dg ntss mtut dt d pgmnt d pvst, spttvmnt, d sttmb 0 d 7 sttmb 0. (d) L fd Cpt Shs I LLC sn dmb. t tt mttnt h stt ftà d nn pd pgmnt dg ntss mtut dt d pgmnt d pvst, pt d 7 fbb 0. D sgut s ptn pnp n d T. ttsth dg stumnt h ntn d m b 0

57 7 Fnd pp Cttsth dg stumnt T N. Od. Cttsth dg stumnt Tss d ntss Stp up Rmbs Dt d Dt mssn d sdnz ntpt pt d Vut Gndfthng Appt Impt d gn ptmn vgnz ( /mg) ( /mg) stt bbg. subdnt 4,87% fss NO /0/06 /0/6 N.A. EUR n stt bbg. subdnt,70% fss NO /0/06 0/09/6 N.A. GB n stt bbg. subdnt Eub 6m+,0% NO /0/08 /0/8 N.A. EUR n stt bbg. subdnt,6% fss NO 09/09/0 09/09/0 N.A. EUR n stt bbg. subdnt Eub m+0,40 % fn 0//0, p Eub m+% NO 0//0 0//7 0// EUR n stt bbg. subdnt 7% fss NO 04/0/09 04/0/9 N.A. EUR n stt bbg. subdnt % fss NO /04/0 /04/0 N.A. EUR n Dbt subdnt Eub m+,8% NO 0/0/06 0/0/6 0/0/ EUR n Stumnt d pt d ss (T T).7.6 Stumnt d pt sggtt Gndfthng g nmn n zn p 04, n duzn d 0% nn fn mpt stumnt d pt mss susn n 0. pdntmnt mputt fn D sgut s ptn tmn Dmb 0 n Fnd p h ndzn mpt d tutt g stumnt nn spttn qust pvst d d Cpt m d Css, d Cpt nuv fmwk nmtv è pvst, Agguntv d Css d Cpt d t ndzn, un susn gdu Css, snd shm ntnut d ptnnt v d fnd pp. In n Rgmnt d Esuzn (UE) n. pt mputbtà n CET, AT 4/0 d 0//0. Qust utm T dg stumnt mss mputt stbs nm tnh d ttuzn n Fnd p pm d Dmb d nfmtv su qust d Fnd p 0 h nn sddsfn nuv qust, sns d Rgmnt n. 7/0 d è mmss n msu d 80% d v mnt Eup d Cnsg. G u pp M n t s h

58 8 Fnd pp Shd ttsth pnp dg Stumnt d Cpt N. Od. Emttnt MS Cpt Tust Antnvnt Cpt Tust Antnvnt Cpt Tust Cd dntftv () XS XS08 XS0796 Lgszn ppb stumnt () Stumnt: Lgg d stt d Dw. Cus d subdnzn: gg Itn Stumnt: Lgg d stt d Dw. Cus d subdnzn: gg Itn Stumnt: Lgg d stt d Dw. Cus d subdnzn: gg Itn Tttmnt gmnt 4 Dspszn tnst d CRR Addtn T Addtn T Addtn T Dspszn d CRR psttnst Addtn T Nn mmssb Nn mmssb 6 Ammssb v: d sng; nsdt; d sng nt nsdt Cnsdt Cnsdt Cnsdt 7 Tpg d stumnt Mndty nvtb At fd Suts At 484 CRR fd Suts At 484 CRR 8 Impt mputt n Fnd p (mn d u) Impt nmn d stumnt: mpt gn vut d mssn (untà d u) zz d mssn,8 98,% 00,00% 9b zz d mbs 00,00% 00,00% 0 Cssfzn ntb Spt: pssvtà st mmtz ssvtà Cst mmtzzt zt stumnt d pt Dt d mssn gn 0//0 //00 7/06/0 Idmb sdnz Idmb Idmb Idmb Dt d sdnz gn snz sdnz snz sdnz snz sdnz 4 Rmbs ntpt dszn d'mttnt sggtt d utzzzn pvntv d'auttà d Vgnz S S S 7/09/ Tx Evnt p Rguty Evnt p Invstmnt mpny t vnt p gn dt d pgmnt ntss ssvtà Cst mmtzzt Dt d mbs ntpt fttv vntu mpt d mbs Tx Evnt p Rguty Evnt p Chng n w vnt p /0/ Tx Evnt p Rguty Evnt p Invstmnt mpny t vnt p 6 Dt sussv d mbs ntpt, s ppb gn dt d pgmnt ntss Cd / Dvdnd 7 Dvdnd/d fss vb Ftng Ftng Ftng 8 Tss d d d vntu nd t Eu M + 88 bps Eu M + 60 bps Eu M + 60 bps 9 snz d un mnsm d "dvdnd stpp" N N N pzmnt dszn pzmnt dszn pzmnt dszn mnnz d ut dstbub, dvt mpst d nmtv ppb, mnt sptt d qust ptmn mpssv; "dvdnd push" mnnz d ut dstbub, dvt mpst d nmtv ppb, mnt sptt d qust ptmn mpssv; "dvdnd push" mnnz d ut dstbub, dvt mpst d nmtv ppb, mnt sptt d qust ptmn mpssv; "dvdnd push" pzmnt dszn pzmnt dszn pzmnt dszn dszn, pzmnt dszn bbgt n 0 nmnt tmn d tmp nmnt dszn, pzmnt dszn bbgt n tmn d tmp mtv dszn, pzmnt dszn bbgt n f0b nmnt mnt 'mpt snz d "stp up" d t nntv mbs S S Cumutv nn umutv nn umutv nn umutv nn umutv Cnvtb nn nvtb nvtb nn nvtb nn nvtb 4 S nvtb, vnt() h dtmn(n) nvsn hst d Bndhd: utmtmnt n s d dtmnt ndmnt d pzz d mt d'zn; 'pt dfny vnt' S nvtb, n tutt n pt n tutt n pt 6 S nvtb, tss d nvsn,9 7 S nvtb, nvsn bbgt fttv Obbgt / fttv hst d bndhds 8 S nvtb, ps tp d stumnt n qu nvsn è pssb zn dn 9 S nvtb, ps 'mttnt d stumnt n qu vn nvtt Bn Mnt d sh d Sn 0 Mnsm d svutzn (wt dwn) S S In s d mnsm d svutzn (wt dwn), vnt h dtmnn dfnz ptmn dfnz ptmn In s d svutzn (wt dwn), svutzn tt pz tt tt In s d svutzn (wt dwn), svutzn pmnnt tmpn pmnnt pmnnt 4 In s d svutzn (wt dwn) tmpn, dszn d mnsm d vutzn szn n gh d subdnzn n s d qudzn (spf tp d stumnt d ng mmdtmnt sup (sn)) Cttsth nn nfm dg stumnt h bnfn d dspszn tnst n s d qudzn n s d qudzn T T T N S S 6 7 N stp up; pgmnt d nn pnstp up; pgmnt d nn pnmnt dszn ("dvdnd push") mnt dszn ("dvdnd push") In s ffmtv, ps ttsth nn nfm : L nfmzn nn s pp stumnt. d m b 0

59 9 Fnd pp N. Od. 4 6 Emttnt MS Cpt Tust Bn Mnt d sh d Sn S.p.A. Bn Mnt d sh d Sn S.p.A. Cd dntftv () XS0487 XS XS08768 Lgszn ppb stumnt () Stumnt: Lgg d stt d Dw Stumnt: Lgg Ings. Cus d subdnzn: gg Itn Stumnt: Lgg Ings. Cus d subdnzn: gg Itn Tttmnt gmnt 4 Dspszn tnst d CRR Addtn T T T Dspszn d CRR psttnst Nn mmssb T T 6 Ammssb v: d sng; nsdt; d sng nt nsdt Cnsdt Indvdu Cnsdt Indvdu Cnsdt 7 Tpg d stumnt fd Suts At 484 CRR T At 6 T At Impt mputt n Fnd p (mn d u) Impt nmn d stumnt: mpt gn vut d mssn (untà d u) zz d mssn 00,00% 99,% 99,9% 9b zz d mbs 00,00% 00,00% 00,00% 0 Cssfzn ntb ssvtà Fv ssvtà Cst mmtzzt ssvtà Cst mmtzzt Dt d mssn gn 07/0/0 /0/06 /0/06 Idmb sdnz Idmb A sdnz A sdnz Dt d sdnz gn snz sdnz /0/6 0/09/6 4 Rmbs ntpt dszn d'mttnt sggtt d utzzzn pvntv d'auttà d Vgnz S S Dt d mbs ntpt fttv vntu mpt d mbs 07/0/ Tx Evnt p Tx Evnt p Rguty Evnt p Invstmnt mpny t vnt p Tx Evnt p 6 Dt sussv d mbs ntpt, s ppb gn dt d pgmnt ntss 9 S Cd / Dvdnd 7 Dvdnd/d fss vb Fxd t Ftng Fxd Fxd 8 Tss d d d vntu nd t Eu M + 60 bps 4,87%,7% 9 snz d un mnsm d "dvdnd stpp" N N N pzmnt dszn pzmnt dszn pzmnt dszn mnnz d ut dstbub, dvt mpst d nmtv ppb, mnt sptt d qust ptmn mpssv; "dvdnd push" Mnt pgmnt d dvdnd Mnt pgmnt d dvdnd dszn, pzmnt dszn bbgt n f0b nmnt mnt 'mpt pzmnt dszn pzmnt dszn pzmnt dszn snz d "stp up" d t nntv mbs S Cumutv nn umutv nn umutv umutv umutv Cnvtb nn nvtb nn nvtb nn nvtb nn nvtb 4 S nvtb, vnt() h dtmn(n) nvsn S nvtb, n tutt n pt 6 S nvtb, tss d nvsn 7 S nvtb, nvsn bbgt fttv 8 S nvtb, ps tp d stumnt n qu nvsn è pssb 9 S nvtb, ps 'mttnt d stumnt n qu vn nvtt 0 Mnsm d svutzn (wt dwn) In s d mnsm d svutzn (wt dwn), vnt h dtmnn dfnz ptmn In s d svutzn (wt dwn), svutzn tt pz tt pz In s d svutzn (wt dwn), svutzn pmnnt tmpn tmpn 4 In s d svutzn (wt dwn) tmpn, dszn d mnsm d vutzn szn n gh d subdnzn n s d qudzn (spf tp d stumnt d ng mmdtmnt sup (sn)) Cttsth nn nfm dg stumnt h bnfn d dspszn tnst vutt qund vn pstnt Cpt Mnm n s d qudzn T Lw T Lw T S N N In s ffmtv, ps ttsth nn nfm Stp up; pgmnt d nn pnmnt dszn ( dvdnd push ) dszn, pzmnt dszn bbgt n 0 nmnt tmn d tmp nmnt dszn, pzmnt dszn bbgt n tmn d tmp mtv 6 7 S : L nfmzn nn s pp stumnt G u pp M n t s h

60 60 Fnd pp N. Od Emttnt Bn Mnt d sh d Sn S.p.A. Bn Mnt d sh d Sn S.p.A. Bn Mnt d sh d Sn S.p.A. Cd dntftv () IT XS XS06480 Itn Stumnt: Lgg Ings. Cus d subdnzn: gg Itn Stumnt: Lgg Ings. Cus d subdnzn: gg Itn Lgszn ppb stumnt () Tttmnt gmnt 4 Dspszn tnst d CRR T T T Dspszn d CRR psttnst T T T 6 Ammssb v: d sng; nsdt; d sng nt nsdt Indvdu Cnsdt Indvdu Cnsdt Indvdu Cnsdt 7 Tpg d stumnt T At 6 T At 6 T At Impt mputt n Fnd p (mn d u) Impt nmn d stumnt: mpt gn vut d mssn (untà d u) zz d mssn 00,00% 99,0% 99,68% 9b zz d mbs 00,00% 00,00% 00,00% 0 Cssfzn ntb ssvtà Cst mmtzzt ssvtà Cst mmtzzt ssvtà Cst mmtzzt Dt d mssn gn /0/08 09/09/0 0//0 Idmb sdnz A sdnz A sdnz A sdnz Dt d sdnz gn /0/8 09/09/0 0//7 4 Rmbs ntpt dszn d'mttnt sggtt d utzzzn pvntv d'auttà d Vgnz S S S 0// Tx Evnt p 9 Dt d mbs ntpt fttv vntu mpt d mbs Tx Evnt p 6 Dt sussv d mbs ntpt, s ppb Cd / Dvdnd 7 Dvdnd/d fss vb Ftng Fxd Ftng 8 Tss d d d vntu nd t Eu 6M + 0 bps,60% Eu M + 00 bps 9 snz d un mnsm d "dvdnd stpp" N N N pzmnt dszn bbgt bbgt pzmnt dszn bbgt bbgt dszn, pzmnt dszn bbgt n 0 nmnt tmn d tmp nmnt dszn, pzmnt dszn bbgt n tmn d tmp mtv dszn, pzmnt dszn bbgt n f0b nmnt mnt 'mpt Andmnt ngtv d gstn, n msu nss d vt mt pdt d sz snz d "stp up" d t nntv mbs Cumutv nn umutv umutv nn umutv nn umutv Cnvtb nn nvtb nn nvtb nn nvtb nn nvtb 4 S nvtb, vnt() h dtmn(n) nvsn S nvtb, n tutt n pt 6 S nvtb, tss d nvsn 7 S nvtb, nvsn bbgt fttv 8 S nvtb, ps tp d stumnt n qu nvsn è pssb 9 S nvtb, ps 'mttnt d stumnt n qu vn nvtt 0 Mnsm d svutzn (wt dwn) In s d mnsm d svutzn (wt dwn), vnt h dtmnn In s d svutzn (wt dwn), svutzn tt pz In s d svutzn (wt dwn), svutzn pmnnt tmpn 4 Lw T Sn Sn 6 In s d svutzn (wt dwn) tmpn, dszn d mnsm d vutzn szn n gh d subdnzn n s d qudzn (spf tp d stumnt d ng mmdtmnt sup (sn)) Cttsth nn nfm dg stumnt h bnfn d dspszn tnst N N N 7 In s ffmtv, ps ttsth nn nfm : L nfmzn nn s pp stumnt. d m b 0

61 6 Fnd pp N. Od. 0 Emttnt Bn Mnt d sh d Sn S.p.A. Bn Mnt d sh d Sn S.p.A. Bn Mnt d sh d Sn S.p.A. (pvusy BAV n fm ABN) Cd dntftv () XS04970 XS00608 Sub Ln Lgszn ppb stumnt () Stumnt: Lgg Ings. Cus d subdnzn: gg Itn Stumnt: Lgg Ings. Cus d subdnzn: gg Itn Stumnt: Lgg Onds. Cus d subdnzn: gg Itn Tttmnt gmnt 4 Dspszn tnst d CRR T T T Dspszn d CRR psttnst T T T 6 Ammssb v: d sng; nsdt; d sng nt nsdt Indvdu Cnsdt Indvdu Cnsdt Indvdu Cnsdt 7 Tpg d stumnt T At 6 T At 6 T At Impt mputt n Fnd p (mn d u) Impt nmn d stumnt: mpt gn vut d mssn (untà d u) zz d mssn 00,00% 99,0% 00,00% 9b zz d mbs 00,00% 00,00% 00,00% 0 Cssfzn ntb ssvtà Cst mmtzzt ssvtà Cst mmtzzt ssvtà Cst mmtzzt Dt d mssn gn 04/0/09 /04/0 0/0/06 Idmb sdnz A sdnz A sdnz A sdnz Dt d sdnz gn 04/0/9 /04/0 0/0/6 4 Rmbs ntpt dszn d'mttnt sggtt d utzzzn pvntv d'auttà d Vgnz S S S Dt d mbs ntpt fttv vntu mpt d mbs Tx Evnt p Tx Evnt p 0/0/ Tx Evnt p Rguty Evnt p 6 Dt sussv d mbs ntpt, s ppb gn dt d pgmnt ntss 9 Cd / Dvdnd 7 Dvdnd/d fss vb Fxd Fxd Ftng 8 Tss d d d vntu nd t 7,00%,00% Eu M + 80 bps 9 snz d un mnsm d "dvdnd stpp" N N N bbgt bbgt bbgt bbgt bbgt bbgt dszn, pzmnt dszn bbgt n 0 nmnt tmn d tmp nmnt dszn, pzmnt dszn bbgt n tmn d tmp mtv dszn, pzmnt dszn bbgt n f0b nmnt mnt 'mpt snz d "stp up" d t nntv mbs Cumutv nn umutv nn umutv nn umutv nn umutv Cnvtb nn nvtb nn nvtb nn nvtb nn nvtb 4 S nvtb, vnt() h dtmn(n) nvsn S nvtb, n tutt n pt 6 S nvtb, tss d nvsn 7 S nvtb, nvsn bbgt fttv 8 S nvtb, ps tp d stumnt n qu nvsn è pssb 9 S nvtb, ps 'mttnt d stumnt n qu vn nvtt 0 Mnsm d svutzn (wt dwn) In s d mnsm d svutzn (wt dwn), vnt h dtmnn In s d svutzn (wt dwn), svutzn tt pz In s d svutzn (wt dwn), svutzn pmnnt tmpn 4 Sn Sn Sn 6 In s d svutzn (wt dwn) tmpn, dszn d mnsm d vutzn szn n gh d subdnzn n s d qudzn (spf tp d stumnt d ng mmdtmnt sup (sn)) Cttsth nn nfm dg stumnt h bnfn d dspszn tnst N N N 7 In s ffmtv, ps ttsth nn nfm : L nfmzn nn s pp stumnt. G u pp M n t s h

62 6 Fnd pp Infmtv quntttv D sgut s ptn nfmzn pgf Rttf d sd d sz quntttv d Fnd p, spst pdnt mbmnt d stm n snd md tnst p nfmtà dspszn d IAS 8 pubbzn d nfmzn su Fnd (np ntb, mbmnt d stm p (Agt VI d Rgmnt ntb d ) d Nt Intgtv d Esuzn (UE) n. 4/0 d nsdt d Bn Cnsdt d Cmmssn Eup. Gupp Dmb 0. I dt Dmb 04 ptt n A Dmb 04 dt uff, snz psnt dumnt dffsn d qu tn nt d sttmnt Axnd, pubbt n pubbzn pdnt vdnzvn un Cpt pm d ss n gn dg ggustmnt nnss, un Cpt gguntv d ss un ntbzzzn d pzn Axnd Cpt d ss p spttvmnt sd hus, ffttut su hst Cnsb ,6 mn d u, z.9,6 mn d In pdnz t pzn stt u. ntbzzt sd pt. I v spst (pst sttmnt) fttn t vzn ffttut n nfmtà dspszn IAS 8 (np ntb, mbmnt n stm ntb d ) m ustt n d m b 0

63 6 Fnd pp Tb... Md tnst p pubbzn d nfmzn su Fnd p d0 (A) Impt dt d nfmtv Cpt pm d ss : stumnt sv d0 (C) Impt sggtt tttmnt pgmnt (UE) N. 7/0 Impt sdu pstt d Rgmnt (UE) N. 7/0 d04 (C) Impt sggtt d04 tttmnt pg(a) Impt dt mnt (UE) N. 7/0 d nfmtv Impt sdu pstt d Rgmnt (UE) N. 7/0 Stumnt d pt tv sv svppzz zn d u: Cpt vst Ut nn dstbut At mpnnt d nt nm mpssv umut ( t sv, nud g ut pdt nn zzt sns d dspn ntb ppb) 4 Impt dg mnt mmssb d u 't 484 () tv sv svppzz zn, sggtt mnzn pgssv d pt pm d ss Cnfmnt d pt pubb h bnfn d us d gndfthng fn gnn Intss d mnnz (mpt nsntt n pt pm d ss nsdt) Ut d pd vft d psn ndpndnt ntt d tutt g n dvdnd pvdb Cpt pm d ss (CET) pm d ttfh gmnt Cpt pm d ss (CET): ttfh gmnt 7 Rttfh d v suppmnt Attvtà mmt ( ntt d tv pssvtà fs) Attvtà fs dfft h dpndn d ddtvtà futu, sus qu dvnt d dffnz tmpn ( ntt d tv pssvtà fs p qu sn sddsftt ndzn d u 't 8, pgf ) Rsv d v qu tv g ut pdt gnt d ptu d fuss d ss Impt ngtv sutnt d dg mpt d pdt tts 4 Ut pdt su pssvtà vutt v qu dvut 'vuzn d mt d dt 6 Stumnt pp d pt pm d ss dtnut d'nt dttmnt ndttmnt Stumnt d pt pm d ss d sggtt d stt fnnz dtnut d'nt, qund t sggtt dtngn n 'nt un ptpzn nt p npt p umnt tfmnt fnd pp d'nt Stumnt d pt pm d ss d sggtt d stt fnnz dtnut d'nt dttmnt, ndttmnt snttmnt, qund 'nt nn h un nvstmnt sgnftv n t sggtt (mpt sup sg d 0% ntt d pszn t mmssb) Stumnt d pt pm d ss d sggtt d stt fnnz dtnut d'nt dttmnt, ndttmnt snttmnt, qund 'nt h un nvstmnt sgnftv n t sggtt (mpt sup sg d 0% ntt d pszn t mmssb) Attvtà fs dfft h dpndn d dffnz tmpn (mpt sup sg d 0%, ntt d tv pssvtà fs p qu sn sddsftt ndzn d u 't 8, pgf ) Impt h sup sg d % d u: stumnt d pt pm d ss d sggtt d stt fnnz dtnut d'nt dttmnt ndttmnt, qund 'nt h un nvstmnt sgnftv n t sggtt d u: ttvtà fs dfft h dpndn d dffnz tmpn dt tv 'sz n s 6 Rttfh gmnt ppb pt pm d ss n zn g mpt sggtt tttmnt pcrr gmnt tv g ut pdt nn zzt sns dg t 6 Rttfh d u: pdt nn zzt su OICR.084 d u: pdt nn zzt su tt gvntv UE 7. d u: pdt nn zzt su Tt d dbt 64.4 d u: pdt nn zzt su tpzn d u: pdt nn zzt d u: ut nn zzt d u: t d ddu d d ggung pt pm d ss n zn ft 6b Impt dduzn gguntv pvst p tttmnt pcrr 7 Dduzn mmssb d pt gguntv d ss h supn pt gguntv d ss d'nt 8 Tt d ttfh gmnt pt pm d ss (CET) 9 Cpt pm d ss (CET) G u pp M n t s h

64 64 Fnd pp Tb... Fnd p: Cpt gguntv d Css d0 (C) Impt sggtt tttmnt pgmnt (UE) N. 7/0 Impt sdu pstt d Rgmnt (UE) N. 7/0 d0 (A) Impt dt d nfmtv Cpt gguntv d ss (AT): stumnt d04 (C) Impt sggtt d04 tttmnt pg(a) Impt dt mnt (UE) N. 7/0 d nfmtv Impt sdu pstt d Rgmnt (UE) N. 7/0 0 Stumnt d pt tv sv svppzz zn d u: ssft m ptmn ntt sns d dspn ntb ppb d u: ssft m pssvtà sns d dspn ntb ppb Impt dg mnt mmssb d u 't 484, pgf 4, tv sv svppzz zn, sggtt mnzn pgssv d pt gguntv d ss Cnfmnt d pt pubb h bnfn d us d gndfthng fn gnn 08 4 Cpt d ss mmssb nus n pt gguntv d ss nsdt (mps g ntss d mnnz nn nus n g ) mss d fzn dtnut d tz d u: stumnt mss d fzn sggtt mnzn pgssv Cpt gguntv d ss (AT) pm d ttfh gmnt 6.96 Cpt gguntv d ss (AT): ttfh gmnt 7 Stumnt pp d pt gguntv d ss dtnut d nt dttmnt ndttmnt 8 Stumnt d pt gguntv d ss d sggtt d stt fnnz dtnut d'nt, dv t sggtt dtngn n 'nt un ptpzn nt p npt p umnt tfmnt fnd pp d'nt 9 Stumnt d pt gguntv d ss d sggtt d stt fnnz dtnut d'nt, dttmnt, ndttmnt snttmnt, qund 'nt nn h un nvstmnt sgnftv n t sggtt (mpt sup sg d 0% ntt d pszn t mmssb) 40 Stumnt d pt gguntv d ss d sggtt d stt fnnz dtnut d'nt, dttmnt, ndttmnt snttmnt, qund 'nt h un nvstmnt sgnftv n t sggtt (mpt sup sg d 0% ntt d pszn t mmssb) 4 Rttfh gmnt ppt pt gguntv d ss n zn g mpt sggtt tttmnt pcrr tttmnt tnst, sggtt mnzn pgssv sns d gmnt (UE) N 7/0 (ss mpt sdu CRR) Impt sdu ddtt d pt gguntv d ss n zn dduzn d 4 pt pm d ss dunt pd tnst sns d't 47 d gmnt (UE) N 7/0 d u: Stumnt fnnz sgnftv d u: dt tv 'sz n s d u: mpt sdu tv 'dnz d pdt tts sptt ttfh d v p pszn IRB.799 Impt sdu ddtt d pt gguntv d ss n zn dduzn d 4b pt d ss dunt pd tnst sns d't 47 d gmnt (UE) N 7/0 d ddu d d ggung pt gguntv d ss n zn 4 Impt ft dduzn gguntv pvst p tttmnt pcrr Dduzn mmssb d pt d ss h supn pt d ss d'nt 4 Tt d ttfh gmnt pt gguntv d ss (AT) 44 Cpt gguntv d ss (AT) 4 Cpt d ss (T = CET + AT).647 d m b 0

65 6 Fnd pp Tb... Fnd p: Cpt d Css d0 (C) Impt sggtt tttmnt pgmnt (UE) N. 7/0 Impt sdu pstt d Rgmnt (UE) N. 7/0 d0 (A) Impt dt d nfmtv Cpt d ss (T): stumnt ntnmnt d04 (C) Impt sggtt d04 tttmnt pg(a) Impt dt mnt (UE) N. 7/0 d nfmtv Impt sdu pstt d Rgmnt (UE) N. 7/0 46 Stumnt d pt tv sv svppzz zn Impt dg mnt mmssb d u 't 484, pgf, tv sv svppzz zn, sggtt mnzn pgssv d pt d ss Cnfmnt d pt pubb h bnfn d us d gndfthng fn gnn 08 Stumnt d fnd pp mmssb nus n pt d ss nsdt (mps g ntss d mnnz stumnt d pt gguntv d ss nn nus n g n g 4) mss d fzn dtnut d tz d u: stumnt mss d fzn sggtt mnzn pgssv 0 Rttfh d v su dt Cpt d ss (T) pm d ttfh gmnt Cpt d ss (T): ttfh gmnt Stumnt pp d pt d ss dtnut d'nt dttmnt ndttmnt pstt subdnt Stumnt d pt d ss pstt subdnt d sggtt d stt fnnz dtnut d'nt, qund t sggtt dtngn n 'nt un ptpzn nt p npt p umnt tfmnt fnd pp d'nt 4 Stumnt d pt d ss pstt subdnt d sggtt d stt fnnz dtnut dttmnt ndttmnt, qund 'nt nn h un nvstmnt sgnftv n t sggtt (mpt sup sg d 0% ntt d pszn t mmssb) Stumnt d pt d ss pstt subdnt d sggtt d stt fnnz dtnut d'nt dttmnt ndttmnt, dv 'nt h un nvstmnt sgnftv n t sggtt ( ntt d pszn t mmssb) Rttfh gmnt ppt pt d ss n zn g mpt sggtt tttmnt pcrr tttmnt tnst, sggtt mnzn pgssv sns d gmnt (UE) N 7/0 (ss mpt sdu CRR) Impt sdu ddtt d pt d ss n zn dduzn d pt p6 m d ss dunt pd tnst sns d't 47 d gmnt (UE) N 7/0 d u: dt tv 'sz n s d u: Stumnt fnnz sgnftv d u: mpt sdu tv 'dnz d pdt tts sptt ttfh d v p pszn IRB Impt sdu ddtt d pt d ss n zn dduzn d pt g6b guntv d ss dunt pd tnst sns d't 47 d gmnt (UE) N 7/0 d ddu d d ggung pt d ss n zn ft 6 Impt dduzn gguntv pvst p tttmnt pcrr d u: ut nn zzt 7 Tt d ttfh gmnt pt d ss (T) 8 Cpt d ss (T) 9 Cpt tt (TC= T+T) G u pp M n t s h

66 66 Fnd pp Tb...4 Fnd p: Cffnt sv d pt d0 d04 (A) Impt (A) Impt dt dt d nfmtv d nfmtv Cffnt sv d pt 60 Tt d ttvtà pndt p sh Cpt pm d ss (n pntu d'mpt d'spszn sh),0% 8,4% 6 Cpt d ss (n pntu d'mpt d'spszn sh),8% 8,4% 6 Cpt tt (n pntu d'mpt d'spszn sh),9%,8% 64 Rqust d sv d pt spf d'nt (qust tv pt pm d ss nm d't 9 () ()), qust d sv d nsvzn d pt, d sv d pt nt, d sv d pt fnt d sh sstm, d sv d pt dg nt vnz sstm (sv dg GSII OSII), (n pntu d'mpt d'spszn sh) 7,00% 7,00% 6 d u: qust d sv d nsvzn d pt,0%,0% 66 d u: qust d sv d pt nt 67 d u: qust d sv fnt d sh sstm u: Rsv d pt d Gb Systmy Imptnt Insttutn (GSII nt vnz sstm v gb) dg Oth 67 d Systmy Imptnt Insttutn (OSII nt vnz sstm) 68 Cpt pm d ss dspnb p sv (n pntu d'mpt d'spszn sh) 7,% 4,7% Cffnt sv d pt 7 Cpt d sggtt d stt fnnz dtnut dttmnt ndttmnt, dv 'nt nn h un nvstmnt sgnftv n t sggtt (mpt nf sg d 0% ntt d pszn t mmssb) Stumnt d pt pm d ss d sggtt d stt fnnz dtnut d'nt dttmnt ndttmnt, qund 'nt h un nvstmnt sgnftv n t sggtt (mpt nf sg d 0% ntt d pszn t mmssb) Attvtà fs dfft h dvn d dffnz tmpn (mpt nf sg d 0%, ntt d tv pssvtà fs p qu sn sddsftt ndzn d u 't 8 ()) Mssm ppb p 'nusn d ntnmnt n pt d ss 76 Rttfh d v su dt nus n pt d ss n zn spszn sggtt mtd stnddzzt (pm d'ppzn d mssm) 77 Mssm p 'nusn d ttfh d v su dt n pt d ss n qud d mtd stnddzzt 78 Rttfh d v su dt nus n pt d ss n zn spszn sggtt mtd bst su tng ntn (pm d'ppzn d mssm) Mssm p 'nusn d ttfh d v su dt n pt d ss n qud d mtd bst su tng ntn Stumnt d pt sggtt mnzn pgssv (ppb stnt t gnn 0 gnn 0) 80 Attu mssm sug stumnt d pt pm d ss sggtt mnzn pgssv 8 Impt sus d pt pm d ss n gn mssm (supmnt d mssm dp mbs sdnz) 8 Attu mssm sug stumnt d pt gguntv d ss sggtt mnzn pgssv Impt sus d pt gguntv d ss n gn mssm (supmnt d mssm dp mbs sdnz) 84 Attu mssm sug stumnt d pt d ss sggtt mnzn pgssv 8 Impt sus d pt d ss n gn mssm (supmnt d mssm dp mbs sdnz) d m b 0

67 67 Fnd pp Tb.. Rnzn t tmn ntt ntb Cpt pm d Css V d0 d04 tmn ntt d Gupp tmn ntt d tz Cpt pm d Css (CET) pm d ttfh gmnt Rttfh gmnt (nus ttfh d pd tnst) Cpt pm d Css (CET) ntt d ttfh gmnt tmn ntt d Stt tmn tmn ntt pst dstbuzn g znst Rttfh p stumnt mputb n'at n T Qut Cpt mputb n'at Intss d mnnz mputb Azn pp nus t ttfh gmnt At mpnnt nn mputb gm Tb.. Rnzn mpt dg mnt d pt pm d ss, d pt gguntv d ss d pt d ss, nnhé ft dduzn ppt fnd pp d nt, stt ptmn d bn V (mn d u) ATTIVO 00. tpzn d u vvmnt mpt 0. Attvtà mmt d u vvmnt d u t mmt 40. Attvtà fs d u bst su ddtvtà futu m nn dvnt d dffnz tmpn Bn Cvst Bn gmnt Rf. Tv Ammnt Infmzn vnt "Md fn tnst su dffnz d p fnd pp pubbzn" , 4, , ,, 46,,, 6, 6, 6, 6, ,, ASSIVO 0. Tt n zn 0. ssvtà fnnz vutt FV 40. Rsv d vutzn d u AFS d u CFH d u gg sp d vutzn d u t 70. Rsv 80. Svppzz d mssn 90. Cpt 0. Ut/pdt d pd Ut pdt d v qu dvnt d sh d dt pp d'nt t pssvtà dvtv Rttfh d v d vgnz (udnt Vutn) Ednz d pdt tts sptt ttfh d v mpssv (md IRB) Ednz d ttfh d v mpssv sptt pdt tts (md IRB) Ft su dpp ffnmnt Ft IAS Stumnt d pt d ss pstt subdnt d sggtt d stt fnnz dtnut dttmnt ndttmnt, qund 'nt h un nvstmnt sgnftv n t sggtt Invstmnt ndtt Tt fnd pp , 4, b L nfmzn sn stt pgt 4/0 h stbs nm tnh d snd mtdg dstt n Agt ttuzn p qunt gud nfmtv I d Rgmnt d Esuzn (UE) n. su Fnd p. G u pp M n t s h

68 68 4 Rqust d pt, ndt d qudtà v fnnz 4. Rqust d pt, ndt d qudtà v fnnz I Gupp Mntpsh psgu bttv I Gupp Mntpsh dfns g bttv sttg ffzmnt d budgt su bs d un mtdg d quntttv quttv d pt, su msuzn d pfmn znd qub stuttu d qudtà tt p sh, Rsk Adjustd fmn su ggungmnt d v sstnb d Msumnt (RAM), tmt qu ddtvtà. In t tt ttvtà d pt sutt ddtu sn dtmnt ntt d mngmnt, pnnng tn vstn st d pt d dtn fn g un mptnz fndmnt p gnt mnt fnt d v d sh ssunt. sptt n tmp s d qust mnm I ntt d ptmn mpgt sn d d qu gmnt d vgnz: Cmmn nmtv d uttà d vgnz h d Equty T, T Fnd p; gd d ppnsn sh (sk pptt) nt n mbt d mth RAM ppvt s utzz nh Cpt Invstt h fzzt su ptmnzzzn d gn stbt d supvsn sttg d Gupp. nsst n mmnt d pt pp A t fn vn utzzt Rsk Apptt d ptnnz dg znst (quty) h Fmwk qu p nsgu v d Cmmn nnumnt s stmn v bttv d Equty T, s stbt x nt m v ptmnzzzn s pt tgt h zzt x pst nsuntv. I untà d busnss n funzn d tts ntt d pt sh mpgt sn d svupp d v d sh stmt, qust gmnt spndn vfnd h dtzn ptmn s sk wghtd ssts (RWA), dtmnt su suffnt gnt sptt d qust bs d g pvst d nmtv mnm s n ndzn nm h d stss. d vgnz, d pt ntn stmt N mbt d RAF s ffttun vutzn su bs d.d. pp us. d dgutzz ptmn psptth N mbt d mth RAM sn su un tmp punn s n utzzt ntmb msu. (RAF) ttvs ndzn nm h d stss. I mntgg su ggungmnt dg A sgut d pss d mpmntzn bttv su sptt d qust mnm d nuv fmwk gmnt, gmnt vvn n ntnu n s m st è stt ffzt ttvs d nn. un dfnzn mnzzt d pt I pss znd fm n u tv pù vt qust d ptmn. tnt, ppzn RAF su bs mn nnu fn qust ptmn gnmnt sn budgt, sk pptt ICAA. pù gd p ftt n md pù ut d m b 0

69 69 4 Rqust d pt, ndt d qudtà v fnnz ptnz shstà d tun ttvtà (d un ffnt d pt pm smp, tzzzn tdng bk), d ss mn p 4,% s ggung d t d ss pp d spszn mpssv sh d un dfnzn d ptmn d qutà Gupp; pù vt ssnzmnt nntt su un ffnt d pt d ss mmn quty; u s ggungn sv mn p 6% d spszn ptmn h pn funzn mpssv sh d Gupp (n d nsvzn d pt pm, 04 sg d,%); funzn d sv nt d nfn un ffnt d pt tt mn funzn d ptu d mgg pdt p 8% d spszn mpssv p sttuzn vnz sstm. T sh d Gupp. sv snn pvst dszn d In ggunt Cpgupp è tnut Auttà d Supvsn, ntt d dtn sv gguntv d pt. sv p nsvzn d pt h ù n pt nuv dspn pvd dvà ss smp psnt p,%. h bnh dvn dtn nh In ggunt sstm d qust ptm sgunt sv: n vt fntgg sh d dt, sv d nsvzn d pt nsvtn buff); ntpt, mt ptv, è p (pt vst ntduzn d un mt v f sv è vt psv v nnz (nus spszn fu bn mnm d pt gmnt n ) n funzn d bkstp d qust mmnt d mt vvs ttvs ptmn bst su sh p nt ntnmnt d ss ptmn n st d v v d sstm. d vt qutà n pd nn I nuv fmwk nmtv ntdu, ttzzt d tnsn d mt. tsì, d Ess è bbgt d è p,% qudtà, d spszn mpssv sh nntt su un qust d qudtà bv d Bn; t sv è sttut d tmn (Lqudty Cvg Rt LCR) pt pm d ss ; nuv supvsn qust d sh sstm d su un g d qub stuttu pù t sv d nsvzn d pt (unty pt ung tmn (Nt Stb Fundng Rt nt NSFR), t h su pnp p gstn buff); t sv h sp d supvsn d sh d qudtà v ptgg stt bn n d sng sttuzn d sstm. fs d ssv st d dt; su mpszn, nftt, nsnt Rqust mnm d fnd pp d sz 0 sn pvst sgunt susdmnt d d dt, qust d fnd pp: pt pm d ss h sà p G u pp M n t umu, dunt s fs h d

70 70 4 Rqust d pt, ndt d qudtà v fnnz dstnt d ssb pdt n fs, hst n d n t.6 dsndnt d. A dffnz d d Rgmnt UE n. 04/0 sv d nsvzn d pt, stbt sgut d pss nnu sv d pt nt è mpst SRE, p,0% fn Dmb stnt n pd d st d dt 06,7% fn 06. d è t snd dtmnt t; mmnt fn pm tmst Adgutzz ptmn 06 ffnt d sv d pt Cn fmnt dfnzn d qust nt è stt pst p z; gmnt, Gupp Mntpsh è sv d pt p g nt vnz stt utzzt n gugn 008 utzz sstm gb (GSII buff) p d sstm ntn d tng vnzt (AIRB g t nt vnz sstm (OSII Advnd Intn Rtng Bsd) p buff); t sv sn vt mp dtmnzn d qust ptmn qust ptmn pù vt qu fnt d sh d dt, d md sggtt h pp p vnz AMA (Advnd Msumnt Apph) sstm, v gb dmst, p sh ptv. I pmt d pngn sh mgg p sstm ppzn d mtd AIRB stt fnnz un vntu s ttu mpnd Cpgupp Bn ptbb v mptt su ntbunt. MS, MS Cpt Svs Bn p I Gupp nn nt t g ntmd Imps MS Lsng & Ftng, vnz sstm gb (GSII), tvmnt ptfg gmnt m nt t g t ntmd d Espszn Dttg d Espszn vnz sstm (OSII), m dfnt vs Imps. stnt ptfg d Bn d It. L dntfzn h stnt nttà d Gupp qust ps n nsdzn, p sun ptmn fnt d sh d dt bn gupp bn, ntbut sn t snd mtdg d qutt ttsth (dmnsn, stnddzzt. I qust ptmn vnz tn, fnt d Rsh d ntpt sn mpsstà ntnnssn n t ndpndntmnt d ptfg sstm fnnz) ndt d n d pptnnz. In pt s pp gud d EBA p stb vnz mtd d V d mt dvt sstm d sun nt v d OTC d mtd ntg p tttmnt sng gusdzn. L dsn d d gnz fnnz pzn Bn d It h pvst un OSII buff n p, pt suty ndng. p z p nt p 06; I qust ptmn fnt d sh p nm d CVA sn t snd pp un mpnnt d CETI d dtn stnddzzt. n ss CET fnt d sh d d m b 0

71 7 4 Rqust d pt, ndt d qudtà v fnnz I qust ptmn fnt d Rsh sstnzmnt ngh qu ntnut Optv t snd mtd AMA n SRE Fn Dsn d ss 0 pn qus nt pmt d Gupp Fbb 0. Bn. Su stnt pt d pmt () suzn ttv d nztv s pp mtd bs. vt fntgg nnpfmng I qust ptmn fnt d sh xpsus (NE), nsm d nztv d d mt sn nv t p tutt stuttuzn, v nus pzn d nttà d Gupp ppnd mtdg gggzn. A gud, m nt, Stndd. Bn è d tmp mpgnt n du S è nus Supvsy Rvw nd pntu d dt dtt, nh Evutn ss (SRE) d pt d ttvs spfh pzn d ssn, BCE p nn 0. L dsn d st nt spnd pssb pts d vgnz dttt d BCE (.d. SRE gggzn. Dsn ), ntft BMS n dt () Rffzmnt d sttg d Nvmb 0, pvd mntnmnt pss p vut, mntn dstbu d qust ptmn mnm n pt ntn. tmn d Cmmn Equty T Rt su (v) Mss n tt d nztv fnzzt bs nsdt 0,0% d Gnn mnt ffmnt, d gnt su 06 Dmb 06 d 0,7% bs ntnutv, dgutzz ptmn pt d Dmb 06. d ntt MS Cpt Svs MS Ot sp tt qust ptmn Lsng & Ftng, nnhé ttuzn d mnm tv CET Rt, n SRE msu ttv p sptt d mt Dsn BCE h nfmt nz gmnt pvst n mt d Gnd d psuppst p ntnu d st Espszn. pt d vgnz d ss ttbut d t. (v) Mss n tt d un dumntt 6, mm, d Rgmnt (UE) n sttg su sh d qudtà d fundng 04/0 d ttb 0, fnzzt nt 8 fbb 06. A gud, mntnmnt d stndd d dgutzz m vdnzt n ndnt pd, ptmn sup qu pvst d Bn h gà gstt un ntv dspn pudnz d ffzmnt mgmnt d pf d qudtà d è d dspstv, d pss, d mnsm mpgnt ntnu ung t ps d sttg d Bn, hdnd, n n u mbt pvvdà fn BCE pt: nfmzn hst. () Rstzn pgmnt d dvdnd I Gupp MS h psntt Cpt dstbuzn su zn t stumnt n 0 Auttà d Vgnz fn fnnz d pp mssn. A gud Dmb 0 h nn pvd msu Bn sgn h t pvsn sn stdn p ggungmnt d G u pp M n t s h

72 7 4 Rqust d pt, ndt d qudtà v fnnz un CET Rt p 0,7% nt I tgt ts hst d BCE dvnn Dmb 06 hst n SRE ss spttt n gn mmnt n u Dsn, n qunt ggnmnt d Dsn d Auttà è n vg; pvsn p pd ngmnt n t pd, Bn nn nfm dgutzz ptmn d può dstbu dvdnd g znst né Bn, nsntnd pt nh d spnd fuss d ss dtnt d dsp d un buff ung zznt d stumnt d pt gguntv d ss. pzn. Tuttv sn stt munqu I dt d dgutzz ptmn d sgut dntft un zn mng h, spst sn stt t nudnd n s d nsstà, pssn ss ttvt fftt pstv d ut d pd. D p sstn ggungmnt d sg sgut s ptn nfmzn tv hst. S ttt n pvnz d zn d dgutzz ttmzzzn tt du v d sh d Gupp snd g shm nfmtv sttstnt h ptbb un up ntdtt d nuv fmwk nmtv. ptmn vdnzt n tmn d RWA. d m b 0

73 7 4 Rqust d pt, ndt d qudtà v fnnz Infmtv quntttv Tb. 4 Rqust ptmn ffnt d vgnz Rqust tmn d Vgnz Rsh d Cdt Cntpt d d Mtdg Stndd Mtdg IRB Avnzt Rsh d Mt Mtdg Stnddzzt Md Intn Rsh Optv Mtd Bs Mtd Stnddzzt Mtd Avnzt Rsh d CVA Mtd Stndd Mtd Avnzt Rsh d Cnntzn.06 Mtd d'espszn Ogn Rsh d Rgmnt Rqust ptmn mpssv Attvtà d sh pndt CET Cpt Rt,0% 8,4% T Cpt Rt,8% 8,4% Tt Cpt t,9%,8% N tb h sgun, sn spst p spszn n pszn vs dttg d dvs qust ptmn tzzzn sggtt mtd d Gupp Dmb 0. Ut stndd mtd AIRB n szn dttg,. tvmnt spszn (mpt nn pndt) g RWA (mpt pndt), sn ptt: I qust ptmn fnt d Rsh p spszn sggtt mtd d Cntpt è p /mg, stndd sh d dt n Szn d è t, t h su tfg d spf. (v pt g mpt Ngzzn nh su Bnkng Bk. T d pzn fu bn sn qust, pgt p mtdg n ptt pst pndzn p ftt d tb 4., è ptt, n p sng nvsn dtz FCC); ptfg gmnt d Mtdg p spszn sggtt md ntn d sh d dt n szn stndd d Mtdg IRB vnzt pgt n tb 4...; G u pp M n t s h

74 74 4 Rqust d pt, ndt d qudtà v fnnz Tb. 4. Rqust ptmn p Rsh d Cdt d Cntpt d d4 Rqust Rqust Mtd Stndd Tt Mtd Stndd d u Rsh d Cntpt Mtd IRB Tt Mtd IRB d u Rsh d Cntpt Tt d u Rsh d Cntpt L tb 4. pg qust ptmn ntpt suddvs p mtg p fnt d sh d dt sh d ss d spszn. d m b 0

75 7 4 Rqust d pt, ndt d qudtà v fnnz Tb. 4. Rqust ptmn p Rsh d Cdt d Cntpt Mtd Stndd d0 d04 Espszn vs mmnstzn nt bnh nt Espszn vs mmnstzn gne uttà Espszn vs gnsm d stt pubb Espszn vs bnh mutt d svupp Espszn vs gnzzzn ntnzn Espszn vs ntmd Vgt Espszn vs mps Espszn dttg Espszn gntt d pth su bn mmb Espszn n stt d dfut Espszn d t sh Espszn stt fm d bbgzn gntt Espszn vs mps bv tmn Espszn vs OIC Espszn n stumnt d pt At spszn Espszn vs tzzzn Espszn vs Cntpt Cnt n fm d ntbut pfnnzt fnd d gnz Tt Mtd Stndd Mtd IRB Avnzt Espszn vs gntt d mps: MI At Imps Fnnzmnt spzzt sttng t 0.46 Espszn dttg: gntt d mmb: MI gntt d mmb: sn fsh Tt Mtd AIRB Tt Rsh d Cdt Cntpt Rttv dttg quft At Espszn: MI At Espszn: sn fsh Emnt h ppsntn pszn vs tzzzn D sgut Dttg d qust spzzt sttng t, p Rsh ptmn p Rsh d Cdt d d Mt p Rsh Optv. ntpt (Mtd IRB) Fnnzmnt G u pp M n t s h

76 76 4 Rqust d pt, ndt d qudtà v fnnz Tb. 4. Rqust ptmn p Rsh d Cdt d ntpt (Mtd IRB) Fnnzmnt spzzt sttng t Ftt d pndzn d0 d04 Ctg 70% n vt sdu, nn 978 Ctg 70% n vt sdu <, nn Ctg 90% Ctg % Ctg 4 0% Ctg 0% Ctg 0% Tt Fnnzmnt Spzzt Tb. 4.4 Rqust ptmn p Rsh d mt Mtdg Stnddzzt d0 d04 Rsh d pszn su stumnt d dbt Rsh d pszn su stumnt d pt Rsh d mb Rsh d pszn su m Tt Mtdg Stnddzzt Md Intn Tt Md Intn Tt Rsh d Mt I qust ptmn nus n Rsh d Mt fnt d pszn vs tzzzn mps n tfg d ngzzn d Vgnz sn p. (spss n mg d Eu) p nn 0. Tb. 4. Rqust ptmn p Rsh Optv Rqust p Mtdg d0 d Mtd Bs Mtd Stnddzzt Mtd Avnzt Tt Rsh Optv Indt d qudtà Lvg Rt 00% n 09. I Lqudty Cvg Rt Cn fmnt g ndt d qud //0 è sutt p,%, tà, Lqudty Cvg Rt Nt Stb mpmnt sup mnm d 60% Fundng, d mz 04 è nzt p hst p 0. qunt gud d d ssvzn d pt d Auttà Nt Stb Fundng Rt qust mn d Vgnz. D ttb 0 è ntt n m bbgt và dfnt pt d vg qust mnm d Lqudty Cv gnn 08. In ggunt sstm d q g Rt n un v snt n md ust ptmn vt fntgg sh gdu ng nn: 60% n 0; 70% d dt, ntpt, mt, ptv, n 06; 80% n 07; 90% n 08 CVA gmnt, n nuv fmwk d m b 0

77 77 4 Rqust d pt, ndt d qudtà v fnnz gmnt è pvst ntduzn d un d Auttà d Vgnz sg mnm d mt v fnnz (nus sp sptt. Tuttv, d d gnn szn fu bn) n funzn d un 0, bbg d sgnzn gà pnt, pt, d mt umu d ndbtmn s è ggunt bbg tmst d nfm t n stt bn p vt pss tv pubb. L Bnh pt d p d dvgng dstbzznt h pssn m tmst snn tnut pubb g dnngg sstm fnnz pù n mnt nss d ndt: gn nm, d t d nfz numt, dnmnt nd d v sstm d qust ptmn sst fnnz (f. tb. 4.). A //0 sh n un smp msu d bkstp, vg t d gupp è sutt p nn bst su pf d sh.,%. Utzznd ptmn d vgnz A t sp C n. 8 d 7 t ppnd g pvst Dmb 0 d Bn d It, Dsp gm nd s ttst 4,9%. szn d vgnz p bnh, pvd In ttmpnz g bbgh d nfm h bnh n pp nd d tv pubb, vngn d sgut f v fnnz. nt g mnt d bs nss p su L nd d v fnnz, Lvg Rt, è. L nfmtv vn s mdnt dtmnt m un ppt t T d ppzn d g d d un dnmnt bst su ttvtà n ss Lvg Rt vgnt fn sgnt. G nn pndt p gd d sh, shm utzzt p nd suddtt n t fn tmst. L spszn dvn fmtv sn qu pvst dg ITS su ss ptt ntt dg ggustmnt Dssu (f EBA FINAL dft Imp gmnt pvst n dtmnzn mntng Thn Stndds n dssu d T fn d vt dpp mput, f th vg t und At 4() nftt pst ddtt ntgmnt d f Rgutn (EU) N 7/0 (Cpt ptmn nn ntbusn v f Rqumnts Rgutn CRR) Snd nnz vnn ddtt nh d msu submssn fwng th EC s Dgtd d spszn. L bs d è md At spfyng th LR nk) pubbt tmt smp dg nd d v mn d EBA /06/0. s d tmst, n pd tnst h L tb d sgut ptn ndt nt t pm gnn 04 d v fnnz Dmb 0 Dmb 07 può ss utzzt dt d ptu d spszn tt n pn fn tmst n ug d md tmt p tg, snd qunt dspst d smp. L ndt dvà vnnt n g t 4()(), 4()(b) 4()(). 08, fs tnst d ssvzn duà L gndzz spst sn tv fn Dmb 07. A mmnt p d nd d v fnnz snd ds Lvg t nn sn n stt stbt pszn tnst vgnt. G u pp M n t s h

78 78 4 Rqust d pt, ndt d qudtà v fnnz Tb Lv fnnz: LR Sum (Snts d nzn t ttv ntb spszn fn d ndt d Lv Fnnz) // Tt ttv d bn pubbt Aggustmnt p nvstmnt n stà mps n pmt d nsdmnt ntb m sus d nsdmnt pudnz (Aggustmnt p ttvtà fdu nst n bn snd vgnt pnp ntb, m sus d'spszn fn d d Lv Fnnz n bs 't 49 () d Rgmnt (UE) N. 7/0) 4 Aggustmnt p stumnt fnnz dvt.9.0 Aggustmnt p "Suty Fnnng Tnstns" (SFT) Aggustmnt p ttvtà fu bn (d smp 'mmnt pst ftt d nvsn d'spszn fu bn) EU6 (Aggustmnt p spszn nfgupp sus d d Lv Fnnz snd 't 49 (7) d Rgmnt (UE) N. 7/0) EU6b (Aggustmnt p spszn sus d d Lv Fnnz snd 't 49 (4) d Rgmnt (UE) N. 7/0) 7 At ggustmnt 8 Tt Espszn fn d C d Lv Fnnz L v At ggustmnt nud E/mg d Dduzn d Cpt d Css tv d ttv d bn, psnt g d Tb d m b 0

79 79 4 Rqust d pt, ndt d qudtà v fnnz Tb Lv fnnz: LR Cm (Infmtv su Indt d Lv Fnnz) // Espszn p ss (sus dvt SFT) Espszn p ss (sudnd dvt d SFT, m nudnd mgn d vzn p ss) (Dduzn d Cpt d Css tv d ttv d bn) Tt Espszn p ss (sudnd dvt d SFT, m nudnd mgn d vzn p ss) (smm gh ) 4 Cst d ssttuzn sst tutt pzn n dvt (vv ntt d mgn d vzn p ss mmss 'susn d'spszn fn d d Lv Fnnz).78.6 Ammnt Addn p Espszn Cdtz Futu sst tutt pzn n dvt (snd mtd d v d mt).0.06 EU Espszn dtmnt n bs mtd d'spszn gn 6 Mggzn p t vst n'mbt d'ptvtà n stumnt dvt nn ntbzzt t dt snd pnp ntb vgnt 7 (Dduzn p dt p mgn d vzn p ss vst n'mbt d pzn n dvt) 8 (Esnzn p spszn n Cntpt Cnt tv d pzn n dvt p nt d nt ngzt n qutà d ptpnt dtt) 9 V nzn d dvt dtz d vndt d ptzn ttft 0 (Rduzn d v nzn ttft duzn d mggnz p spszn dtz futu d dvt dtz d vndt d ptzn) Tt Espszn n Dvt (smm gh d 4 0) Espszn n stumnt fnnz dvt Espszn n SFT Espszn d(snz nsd mpnszn) p ss n SFT, nus pzn SFT ntbzzt m vndt) (Ammnt mpnst d ss pgt vut n stss ntpt d pzn SFT) 4 Espszn sh d ntpt p pzn SFT EU4 Dg d spszn n SFT: spszn sh d ntpt snd 't 49b(4) d Rgmnt (UE) N. 7/0 Espszn gt d pzn ffttut n u d gnt EU (Esnzn p spszn n Cntpt Cnt tv d pzn n SFT p nt d nt ngzt n qutà d ptpnt dtt) 6 Tt spszn SFT (smm gh d ) At spszn fu bn 7 V nmn d d pzn fu bn 8 (Aggustmnt p fftt d nvsn n mpt dtz quvnt) Tt At Espszn Fu Bn (smm gh d 7 8) Espszn d sud n bs g t 49(7) 49(4) d Rgmnt(UE) N 7/0 (spszn p ss fu bn) EU9 (Esusn spszn nfgupp (Lv Fnnz Indvdu) snd 't 49(7) d Rgmnt(UE) N. 7/0) (spszn p ss fu bn) EU9b (Esusn spszn snd 't 49(4) d Rgmnt(UE) N. 7/0) (spszn p ss fu bn) Cpt Tt Espszn 0 Cpt d Css Tt Espszn fn d d Lv Fnnz (smm d gh,, 6, 9, EU9 d EU9b) Ind d Lv Fnnz Ind d Lv Fnnz,% St su dspszn tnst p dfnzn d msu d pt mmnt d ttvtà fdu EU St su dspszn tnst p dfnzn d msu d pt EU4 Attvtà fdu sus d'spszn G u pp M n t Tnstn s h

80 80 4 Rqust d pt, ndt d qudtà v fnnz Tb Lv fnnz: LR Sp (Suddvsn d spszn n bn, sus Dvt, SFT d ttvtà snt) // EU Tt Espszn p ss (sus dvt, SFT d ttvtà snt), d u: EU Espszn tt d ptfg d ngzzn EU Espszn tt d ptfg bn, d u: EU4 Obbgzn bn gntt EU Espszn tttt m stt EU6 Espszn vs Ammnstzn gn uttà, Bnh mutt d svupp gnzzzn ntnzn, Ognzzzn Intnzn Ognsm d stt pubb nn tttt m stt EU7 Espszn vs ntmd vgt EU8 Espszn gntt d mmb EU9 Espszn dttg EU0 Espszn vs mps EU Espszn n stt d dfut EU At Espszn ss p gstn d sh d ssv v fnnz (snd qunt dspst d t 4() tt d) d CRR) I Fmwk d Rsk Apptt d Gupp d ndt d v fnnz gz (RAF) ppsnt qud d fmnt umnt d T pss d fndmnt p gstn d sh n dvg dg ttv n s d zzzn Gupp Mntpsh. I RAF è dspnt d pt d Gupp n n n g bttv v d Gupp d un qud nmtv d n d Rstuttuzn. A qust utm h pvd mnsm d gvnn, h ntbut, nh, husu d d pss, stumnt pdu p pzn Axnd (4 md d mpgh gstn mpssv d sh d Gupp. sptt Dmb 04). L nmnt I sh d Lvg è nus n RAF d T è n gn pt gt umnt ptnt è ssggttt pdu d pt ffttut n s d snd mnsm d nt n ss pvst. I tmst 0, umnt d pt Lvg Rt è un d Ky Rsk Indt ddt MEF fnt d pgmnt mntt n mbt RAF p nn 06. d d d Nuv Stumnt Fnnz N s d snd smst d 0 ut mpssvmnt gnt n Gupp h gstt un mgmnt pd. d m b 0

81 8 Rsh d dt. Rsh d dt. Rsh d dt: nfmzn gn I Gupp MS dd pt ttnzn L ttbuzn d tng d gn dbt gstn msuzn d Rsh d nsnt d dn ntpt n dt ppsntnd mgg sh zn shstà pvn u è spst, p 8% d tt d stm ggttv d mpnnt d qust ptmn. I pnp bttv sh v mpssv dsgggt; d funzn Cdt Rsk Mngmnt ptnt qust sstm sttus bs è qu d dffnd ntn d nfmtv mun p suppt s Gupp utu d dt spnsb dsn sttgh, s gstn psgund un bttv d st d dn d pszn d sh. G ttvtà dtz sstnb nt n ndzz d pt dtz sn qund ppnsn sh zn d fnt Rt mm dnt p v. L sttg d Gupp n mbt sgmnt d nt, ss d tng, stt d gstn d sh sn vt mt nm, A Tt, fm tn g mptt nm gt fnmn d tp d gnz utzzt. nsvnz ntn st d dt. Int g ndzz gstn sn dnt L funzn d gstn d sh d dt n bttv quntttv quttv d è nvt n dfnzn dg ndzz svupp qufzn d ptfg d pt dtz, ndvdund fs dt, dttgt p stt nm d nt n mgg pptuntà n stuttu tt. L funzn d Gstn un tt sh ndmnt, fvnd d Rsh d dt è nvt nh dvsfzn d sh, mtnd n fs d mntgg vfnd nntzn d spszn su sng ggungmnt d pt d Stuttu d gupp nm/stt nm Rt dg bttv d qutà d dt, ggfh nh n dfnzn d tv nz n bnhmk suppt dspszn d sttg d d fmnt stbt, ndvdun g gzn d Cdt. È u utzz pptun ntvnt ttv vsn dtmnzn d v d tng, dg bttv pù n gn nzznd h sttus msu sntt d gd ndmnt d qutà d ptfg d svbtà d nt tnt n fs d mpgh v d mt/pdtt/ gzn qunt n fs d mntgg. sgmnt d nt tv us. Qust è bs d pss stutt dszn dttgt d mpt d h vn sgut p b ppst funzn Rsh d dt s mnd d ffdmnt sussv mntgg. pt. G u pp M n t s h

82 8 Rsh d dt L msuzn d sh d dt vt stnt nttà d Gupp qust fnt dtmnzn d qust ptmn vn d sh d dt sn t snd zzt utzznd md ntn d tng mtdg stndd. su bs d pp vnzt (AIRB) n fmnt ptfg gmnt G RWA p sh d dt vdnzn Espszn dtz Dttg d un pvnz d spszn tttt Espszn vs mps d Cpgupp snd pp vnzt (8%) sptt Bn, d MS Cpt Svs, MS qu tttt snd mtdg Lsng & Ftng. stnt ptfg Stndd (Std 4%). RWA sh d dt p mtdg 8% Mtd Stnddzzt Mtdg AIRB 4% D un ns p tpg d spszn 7%. I stnt 9% è nv nntt sggtt sh d dt, spszn d pnpmnt su Stt ubb d Ent ptfg Cpt Rt ppsntn (%). RWA p ptfg 0% 8% Cpt_AIRB+Std % Rt_AIRB+Std % % Stt ubb d Ent* Espszn gntt d pth su bn mmb % Espszn n stt d dfut Espszn n stumnt d pt 49% Emnt h ppsntn pszn vs tzzzn At** % * Cmpnd sgunt ptfg: Ammnstzn Cnt Bnh Cnt, Ammnstzn Rgn Auttà L, Ognsm d Stt ubb, Bnh Mutmt d Svupp, Ognzzzn Intnzn, Intmd Vgt ** Cmpnd sgunt ptfg: Espszn d t sh, Espszn stt fm d bbgzn gntt, Espszn vs mps bv tmn, Espszn vs OIC, Espszn vs ntpt nt n fm d ntbut pfnnzt fnd d gnz, At spszn. d m b 0

83 8 Rsh d dt D sgut s pt pg d spnd spszn mmnt spszn sggtt sh d dt d dfut (.d. EAD) dtmnt snd ntpt d tv RWA suddvs g d vgnz pudnz ptnt p mtdg (Stndd/AIRB). N s sn spss d d ttfh d v d mtdg stnddzzt v nn nsdn g fftt d tnh d EAD spnd n ttmpnz d mtgzn d sh h, n s d dspszn nmtv v spszn sggtt mtdg bst su d spszn, h tn nt d ft md ntn, sn nus dttmnt pudnz, d tnh d mtgzn n ftt d pndzn ppt. d sh d ftt d nvsn d I v d EAD tn nt nv, p dt. N s d mtdg bst su gnz st g mpgn g tng ntn, v ptt d EAD fnd, d ftt d nvsn dtz. Tb... Rpg EAD RWA t Rsh d Cdt Rsh d Cntpt d d4 Δ EAD Δ RWA EAD RWA EAD RWA Mtd Stndd Tt Mtd Stndd d u Rsh d Cntpt Mtd IRB Tt Mtd IRB d u Rsh d Cntpt Tt d u Rsh d Cntpt D sgut s pt dstbuzn d dg (Stndd/AIRB) p ptfg spszn dg RWA suddvs p mt gmnt. G u pp M n t s h

84 84 Rsh d dt Tb... Rsh d Cdt d Cntpt: Espszn d RWA d tfg Rgmnt d4 Mtd Stndd EAD RWA Espszn vs mmnstzn nt bnh nt Espszn vs mmnstzn gn uttà Espszn vs gnsm d stt pubb Espszn vs bnh mutt d svupp Espszn vs gnzzzn ntnzn EAD RWA Espszn vs mps Espszn dttg Espszn vs ntmd Vgt Espszn gntt d pth su bn mmb Espszn n stt d dfut Espszn d t sh Espszn stt fm d bbgzn gntt Espszn vs mps bv tmn Espszn vs OIC Espszn n stumnt d pt At spszn Espszn vs tzzzn Espszn vs Cntpt Cnt n fm d ntbut pfnnzt fnd d gnz Tt Mtd Stndd Mtd IRB Espszn vs gntt d mps: MI At Imps Fnnzmnt Spzzt Sttng Ct Espszn dttg: gntt d mmb: MI gntt d mmb: sn fsh Rttv dttg quft Tt Mtd IRB Tt Rsh d Cdt Cntpt At spszn: MI At spszn: sn fsh Espszn vs tzzzn d m b 0

85 8 Rsh d dt. Rsh d dt: Mtd stndd I Gupp Mntpsh, su nttà I mtd stndd vn ppt tutt g nn ggtt d vdzn AIRB ptfg tutt nttà d Gupp d nnhé su ptfg gmnt, p zn d ptfg Espszn vs qu nn è pvst dzn fn d Imps d Espszn Dttg d dg ssbmnt ptmn sgunt nttà: su sh dtz d sstm ntn Bn Mnt d sh d Sn; d tng vnzt, utzz tng stn MS Cpt Svs Bn p d sgunt gnz uff d tng p Imps; msu gd d ffdbtà d dvs MS Lsng & Ftng, pndt: p qu vn ppt md IRB Stndd & s; vnzt, u dttg vnn dstt n Mdy s Invst Sv; sussv pgf.. L tb sgunt Fth Rtng. ssum n d ECAI (Agnz S vdnz h, fn d dtmnzn stn p vutzn d mt d d qust ptmn, ddv sn dt) d ECA (Agnz p dt psnt du vutzn d stss nt, sptzn) utzzt n mtdg vn dttt qu pù pudnz, n stnddzzt ptfg d spszn n s d t vutzn qu ntmd. u sn ppt tng d stss. tfg Cttsth d tng () ECA/ECAI Espszn vs Ammnstzn Cnt Bnh nt Espszn vs bnh mutt d svupp S tndd & s Mdy s Invst Sv Fth Rtngs Std/Unstd S tndd & s Mdy s Invst Sv Fth Rtngs Std Espszn vs gnzzzn ntnzn Espszn vs mps d t sggtt Espszn vs gnsm d nvstmnt ttv d spm (OICR) () G std tng: tng st su bs d un hst d sggtt vutt vs un spttv. Sn qupt std tng tng st n ssnz d hst qu pdntmnt sggtt bb ttnut un std tng d mdsm ECAI; unstd tng: tng st n ssnz d hst d sggtt vutt d spnsn d un spttv u pp M n t s h

86 86 Rsh d dt ss d stnsn d vutzn g d vgnz pudnz vdnznd d mt d dt tv mttnt g fftt d tnh d mtgzn d mssn d ttvtà mpb nn sh (mpnszn, gnz,.). nus n ptfg d ngzzn d Espszn Ant CRM s fs vgnz v d spszn, p ss fu N sptt d Rgmnt UE 7/0 bn, snz mtgzn d sh, (CRR) sn stt dfnt t, d nn nsd duzn d spszn sgut pgt, tv utzz d dvnt d ppzn d gnz tng mssn d mttnt fn d psn. Espszn pst CRM vutzn d sh d spszn pt v d mdsm spszn d mtgzn d gnz. vut n fftt d mtgzn d sh, pndzn d sh d ttbu vv ntt d gnz tt punt spszn, n gn p tutt ptfg pdnt. N s d gnz psn, gmnt, g pvdn utzz h dtmnn tszn d sh, pt d tng d mssn. In ssnz p qut pt ggtt d ptu, s d qust s sussstn ndzn f fmnt ptfg gmnt dttt d Rgmnt vn utzzt pndzn d gnt, mnt p tng mttnt. qut pt sdu d spszn s f fmnt nfmzn d gntt. Infmzn quntttv L dffnz t spszn n L tb sgunt pg spszn d snz ttnuzn d sh d dt Gupp bn sggtt sh d dt ppsnt, ptnt, mmnt d mtd stndd, dtmnt snd gnz mmss. d m b 0

87 87 Rsh d dt Tb... Mtd Stndd: V d Espszn Ant st CRM Espszn Ant CRM tfg gmnt (Mtd Stndd) Tnh d Attnuzn d Rsh d Cdt Espszn st CRM Espszn vs mmnstzn nt bnh nt Espszn vs mmnstzn gn uttà Espszn vs gnsm d stt pubb Espszn vs bnh mutt d svupp Espszn vs gnzzzn ntnzn Espszn vs ntmd Vgt Espszn vs mps Espszn dttg Espszn gntt d pth su bn mmb Espszn n stt d dfut Espszn d t sh Espszn stt fm d bbgzn gntt Espszn n stumnt d pt At Espszn Tt // Tt // Espszn vs mps bv tmn Espszn vs OIC Espszn vs tzzzn L spszn ptt n tb nud v d spszn fu bn tv gnz mpgn nt ppzn d ftt d nvsn dtz (FCC). A Dmb 0 mpt d sps bn tv gnz mpgn sn zn mpssv ddtt d Fnd è p ppsntt n spndnz d ftt 47,7 mn d u. L spszn pt d pndzn d ntpt. I v t n tb nudn nh spsz d spszn ptt n tb è n fu bn tv gnz mp spss ntt d ttfh d v n gn (nus mgn dspnb su n d n n nmtv d vgnz. dt) sussv ppzn d ftt N tb sgunt s ptn sps d nvsn dtz (FCC) pvst d zn st CRM suddvs p ftt d pn nmtv pudnz. L spszn fu dzn. G u pp M n t s h

88 88 Rsh d dt Tb... Mtd Stndd: Dstbuzn n ss d mt (pst CRM) tfg gmnt (Mtd Stndd) Css d Mt Cdtz (Ftt d ndzn) 0% 7%00% Tt 0% fn 0% % 0% %0% Espszn vs mmnstzn.764. nt bnh nt % Espszn vs mmnstzn gn uttà Espszn vs gnsm d stt pubb Espszn vs ntmd vgt Espszn vs mps t sggtt Espszn dttg Espszn gntt d pth su bn mmb Espszn d t sh Espszn stt fm d bbgzn bn gntt Espszn vs nt mps n un vutzn d mt d dt bv tmn Espszn vs gnsm d nvstmnt ttv d spm (OIC) Espszn n stumnt d pt Tt // Tt // Espszn vs bnh mutt d svupp Espszn vs gnzzzn ntnzn Espszn n stt d dfut At spszn Espszn vs tzzzn L spszn ptt n tb nud spszn fu bn tv gnz mpgn n sgut ppzn d ftt d nvsn dtz (FCC). d m b 0

89 89 Rsh d dt. Rsh d dt: us d mtd IRB vvdmnt Autzztv AIRB Stuttu d sstm ntn d tng Cn pvvdmnt n. 647 d gugn I Gupp Mntpsh h nzt d 008, Bn d It h utzzt utzz sstm d tng ntn p Gupp Mntpsh utzz d sstm msuzn d sh d dt d nn ntn d tng vnzt (AIRB Advnd 00. I pm md d bbtà d Intn Rtng Bsd) p dtmnzn Dfut (D) sn stt svuppt p d qust ptmn fnt d sh ptfg Md Imps (MI) d dt d ptv. In pt, mnt Sm Busnss (SB) h ppsntn p pmt d sh Espszn tutt busnss d Gupp; sn Dfut (EAD) Gupp Mntpsh stt utzz ffnt pvst d pp d tng nh p t tpg d stnddzzt n tts d vdzn d spszn s è mpmntt un md pt d Auttà d Vgnz, stss è p stm d Lss Gvn Dfut (LGD). nv utzzt d utzz: È stt nfn mpmntt un md p stm ntn d bbtà d stm d Espszn Dfut (EAD) Dfut (D), p ptfg mps sussvmnt ggnt n ng g d spszn dttg; t md ntn n tts d vdzn stmt, sussvmnt, md stm ntn d Lss Gvn Dfut d pt d Auttà d Vgnz. I sstm (LGD), p ptfg mps d d tng è sì, pgssvmnt, dvnut spszn dttg. un d pnp mnt d vutzn p tutt g t ptfg nn tt n tutt stuttu nvt n ndust d punt d u sp sà utzzt pp dt, s nt (Rsk Mngmnt, CFO, stnddzzt, d pps snd qunt Dzn Gn, Cmtt Gstn stbt n pn d ut nsgnt Rsh, Cnsg d Ammnstzn) s Auttà d Vgnz. pfh (V Dzn gn Cdt, I pmt d ppzn, d punt Agnz d tng Gst). d vst d nttà g, dg pp In utzzt mmnt è sgunt: Gupp Mntpsh h ds d nvst AIRB: Bn Mnt d sh d Sn, utmnt n sstm ntn d tng MS Cpt Svs, MS Lsng & vvnd, nz d 006, un pgtt, Ftng; dnmnt gtt Bs II, n stnt nttà g d Gupp Mntpsh utzzn pp vtù d spnz mtut, bttv d ffnt pss sstnt d dgu pdu ntn nuv nmtv su vgnz pudnz d stnddzzt. Bnh, dvntt un tà gstv d G u pp M n t s h

90 90 Rsh d dt gnn 007 n dt gg n.97 d 7 md d tng sn stt ndvs n un Dmb 006. T pgtt s è nus g tpdwn d Rsk Mngmnt n 008 n utzzzn d pt d fn sng gst d nt ttvs Bn d It utzz d sstm ntn un ntns ttvtà fmtv. vnzt (mtd AIRB) d D LGD p N stm d md d tss d pdt dtmnzn d qust ptmn (LGD) sn stt utzzt vdnz d ptfg mps nn fnnz d ntn tv fuss d pt, up spszn dttg p Bn Mnt sps ffttvmnt gstt su pszn d sh d Sn MS Cpt Svs. psst sffnz. I sutt ttnut Ng nn sussv, Gupp MS h d md sn stt sussvmnt psgut, snd un pn d vuzn nfntt n qunt gstt d MS ntn d n un tt d ut pp Gstn Cdt Bn, stà d Gupp ttvtà d ffnmnt/vsn d md ddt gstn d up d d tng p nt Cpt Rt, dt nn pfmng gg ntgt n gungnd d ttn utzzzn d Bn MS. pt d gn d vgnz utzz L ntduzn d sstm vnzt d tng d sstm ntn d tng vnzt AIRB n pss d dt h ppsntt, su Bn Antnvnt (qust n s qund, un mptnt pssgg utu d 008 d npt n Bn MS h è m nsdt p tutt Busnss d p 0) n pvvdmnt d Unt d Gupp su Mntpsh Lsng & L pnp ttsth d sstm Ftng BvBn n pvvdmnt vnzt d tng sn d sgut ustt: d stt tng, p tutt ptfg gmnt sussvmnt dut d Gupp vdt, è t snd un pp Css d Rspm d Ast d fn 0 p ntpt, n n n pss nn f pù pt d Gupp MS. gstn h pvd vutzn d Qust utm è sh d dt, s n fs d gzn Dszn d Sstm Intn d Rtng s d mntgg, v d sng svupp sstm ntn d tng pndt; tng s bs su un g d Gupp: sn stt dttt mtdg sttsth gs d vnzt spttnd qust d pvst d nmtv; stss tmp ttbut un tng un v md sn stt sznt n md d Gupp bn fndt su st h sutt ttnut fss nt n nfmtv tv tutt Bnh spnz st d bn n gstn ffdnt d pmt AIRB; mnt d dt. Infn, sp d ttmzz LGD è unv p bnh mm tt utzz d nuv stumnt, dstnt p stà pdtt; d gn m sng b ntpt 0 vn

91 9 Rsh d dt tss d LGD s fs pdt vzn d spszn dp pm nm gstt nn s ngss n dfut sn nus n pdt ntb; p qust mtv n stm d Cu Rt; fs d stm s nudn nh st dtmnzn d tng fn è sstnut n pss d up d dvsft p tpg d ntpt. ftt tmp; I pss d dt pvd un v d sgmntzn d md d tng è ppfndmnt ppzn sh stt dfnt n md d nd sng sst ntpt: vutzn ust d md nt n gh d fnnzmnt nss psnt un mm, gh d pss d stuttu mpss d tt p dt d ptfg gmnt ntpt pvst d nmtv; (sgmnt MI Lg Cpt LC), Cpt mdgnd tss d pdt n s d dfut n sh d spszn nntzn è dstnt p dvs tpg d mgg, d un stuttu smpft fnnzmnt ttbuzn vvn p nt Sm MI (stà n v d sng pzn; fttut fn 0 mn ), Sm Busnss Rt; sgmntzn d nt p stm ttbuzn d LGD sgu n n n pss, tng fn gh d md d tng; p nd p Stà MI LC è dtmnt sng ust sgnftv s sn m ntgzn d pù mpnnt: gggt dvs sgmnt dstngund tng n Rt p spszn dttg ftà d vd vutzn d Cpt p spszn vs gupp nm d pptnnz; p mps nn fnnz; ntpt Sm MI, SB Rt tng quttv, nv, tng è dtmnt su bs tss d pdt è dffnzt p d s mpnnt sttst; ggf, vnd sntt n st n ttutà tss d up dffnt sttst, tng h un vdtà ntn p t Nd, Cnt d Sud Is; ms d g vn vst un vt stm d tss d pdt su pszn n nn, sv pts d tng vw un stt d dfut dvs d sffnz h sgun g bn stuttut è stt ffttut snd g d Cu dft ppu h sn ntpt su Rt. ntpt n un stt nztv d gst n sgut d un mmnsttv d Ing, Rstuttut gv dtmnt d ntpt. st du sn stt dtmnt I Gupp Mntpsh h dttt un pntu d nt n Bns d utzzt Mst S un p tutt tpg d p ttf tss d LGD stmt spszn: ò pmtt tutt stuttu pt d pth ntnzs; nvt n gstn d dt un G u pp M n t s h

92 9 Rsh d dt nfnt mmdt d shstà L ttvtà d svupp mntgg d sst ntpt ptfg dvs; sstm d tng è funznmnt ssgnt nt, pbbtà d dfut d ss d Rsk Mngmnt. L pdu d stm tng ntn sn stt mppt s d vn ffttut snd un pt tng stn Stndd& s p nd ntn d svupp t h ttvtà d stm msu d shstà ntn nfntb s tspnt pb p funzn n qu dspnb su mt fnnz. d Cnt Intn p Ogn d Vgnz. Css d Rtng D AAA 0,0% AA 0,0% AA 0,0% AA 0,09% A 0,% md ntn p vf stbtà d A 0,0% pfmn n tmp. A 0,0% B 0,46% B 0,69% B,0% C,9% C,4% d md d tng (4 vdt d un n tts d vdzn) d un md d LGD C,99% D 6,% D 9,9% D 6,0% E,% E,6% E 4,00% Dfut 00,00% Css d D I Rsk Mngmnt Funzn d Cnvd Intn ffttun pdmnt ns d mntgg/bktstng d Qu d ns mgn ttà sgnftv, vngn ttvt pdu d fntunng d stm d md. I Gupp Mntpsh ttumnt dspn (dffnzt p ggf, tpg 4 d fnnzmnt, tpg d gnz, ppt d ptu d gnz spszn dfut) p msuzn d sh d ptfg gmnt vdt. 6 I Gupp Mntpsh fn d N tb s pt tzn n dg ssbmnt ptmn fnt d ss d tng, n tv D, tt sh d dt utzz sstm ntn d snd ss d D ndvdut d Gupp MS fn d nsnt un dffnzzn sgnftv d sh d dt. tng p sgunt ss gmnt: Imps, Espszn dttg. Md d Rtng Intn p Imps sgmnt Cpt D m Md D d nmtv pudnz nn può ss stm d md D, Gupp nf 0,0% mnt p Rt Mntpsh h dttt un mtdg pudnzmnt Gupp MS h ds d dfut bsd. T tnh sttsth ttbu un D nn nf 0,%. p stm d md n vb tgt d m b 0

93 9 Rsh d dt dtm bd/gd, è stt sznt h, n stt dn n un dtmnt gssn gst ttzzt d un ms d nn, psntn nt dd td/ff ttm t bustzz sttst ms sussv mn un nm d ntptbtà d sutt. dtmnt. L dfnzn d dfut N ptfg Imps nn fnnz mpnd t nm sgnt g stt sn mps tutt spszn p ss d sffnz, ng, dt stuttut. fm vs stà tv bnh I dt sdut / snfnnt (stdu) Mnt d sh, MS Cpt Svs p un pd sup 90 gn sn MS Lsng & Ftng. nus d 006, nn pt d qu I pd d ssvzn d fnt dt p è stt s bbgt sgnzn Cpt è p 7 nn (00804). d t pszn. Int è stt ds d utzz un dfnzn ntn d pst Sgmntzn d md du sì dtt tn, p ndvdu In fs pmn nt Cpt è s nn ppsnttv d un ffttv stt stt sgmntt n md d ttn d d dfftà fnnz t d gn un ust mgn p pf d sh. A t pdt nm (ftà nss sp è stt utzzt fndmntmnt bnh d nmtv stss), n n n un g d tp dmnsn (bst su sptttv sntt ptvmnt d fm gud znd fttut) h pt d gst n zn t fnmn. sut ss nt d punt d vst s L g utzzt hnn pmss d sttst s gstn. L nfmzn su ndvdu un sttnsm d sgnzn fttut è upt d bn ndust h psntn ttà sm g t stt dtt n mdtà nfm IV dttv nm (n pt ng); nftt CEE tv utm sz nnu zn dttt è stt qu d ntg dspnb. I sgmnt d Opt dfut n pszn h nn psntn Enm (Dtt Indvdu Stà d un stuzn tnst d nm m sn) è mpst d znd h nn h vss ttsth sm qu sn sggtt bbg d dzn d un psntt n sn dg t stt bn vst; ttumnt dt fs nm. nn vngn utzzt p sgmntzn. L dfnzn d pst du tn è stt utzzt n md nt p stm d Dfnzn d dfut D LGD. In fs d svupp d md D è L ndvduzn d dfut vvn v stt utzzt sgunt dfnzn d d Gupp Bn MS. dfut: ntpt dfut sn stt dfnt m sttnsm d nt n Fs d svupp d md d tng spszn (psnz d dt utzz) gn md d tng sn pvst du G u pp M n t s h

94 94 Rsh d dt fs pnp d svupp: stm d md d /6/ ms. N svupp vngn d s bzn. sgut, m d pt ntn, tutt pdu pvst n un ndgn d tp Stm d md d s sttst: dtmnzn d un mpn stm d gn sng md d d svupp (70%) d un mpn d tst tng vngn ps n sm tutt fnt (0%), ns sptv tttmnt nfmtv dspnb. mssmzz pmn d dt, ns unvt, ns ptà pdttv d gn fnt nfmtv, d zn dtmnzn d sht è stt dttt un pp mdu: è st, ns mutvt, szn d md stt è stmt un mdu (fnnz, vf d pfmn ut f smp. ndmnt ntn, ndmnt d sstm) p gnun d fnt nfmtv Cbzn sussvmnt è stt dtmnt L bzn è pss tmt qu md fn m ntgzn d sng vn stmt funzn h tsfm mdu. utput d md d s n pbbtà L fnt nfmtv utzzt p md d dfut, dfnt m pbbtà h un Cpt sn sgunt: ntpt pss stt d dfut nt dt fnnz d bn, un zznt tmp d un nn. dt ndmnt ntn, L pp utzzt d Gupp MS t dt d sstm (nt sh Bn fn s è bst su du stp pnp: stm d punt d ngg (nh d It). qunt gud bn, è stt pnt). L nh pnt dtmn D dtmnt un st d ndt h pn md h sà pvst d md; tutt d ndgn pvst n ns d funzn d bzn p fnnz znd: ptu d dbt, ggustmnt d pmt d md stuttu fnnz, qudtà, ddtvtà, d sng. L funzn d bzn pduttvtà, svupp. dfns n sstnz m D pvst mpnnt ndmnt, sn stt và n s d md. stut vb h nmmnt L ttvtà d bzn d ftt pvd vngn utzzt d gst p vutzn un d sh: mdtà d utzz d fm d pnt) ptnt nn può psnd fnnzmnt, mvmntzn d ppt, d ggust pmt d gtm num d nm sntt. L vb d sng sì d nsnt d t sn t p gnun d tpg d utm v n ug d qu d stm. fnnzmnt ( v, utqudnt, I tss d dfut d mpn dv ss sdnz,.) sn dtmnt v d è ggustt p tn nt d tss Gupp Bn su un zznt tmp bttv pfsst (nh pnt). d nuv m tss b d dfut 0 (nh

95 9 Rsh d dt I Gupp MS h ndvdut un un nzntà sup nn n mtdg p zz qunt sp dubb st mgg ugu 99% ssvt, bst sstnzmnt su utzz psnd d nzntà. d un funzn d bzn u utput I ust vnt fn d stm sn fn è un v d nttt d sp d qu d ggf, d tpg d pp gtm d sng nz. nt, d fnnzmnt, d spszn L nh pnt ppsnt v d psst dfut, d gnz d gd sh stmnt sst spf d ptu d gnz. sgmnt su qu vn bt md. Qust è dtmnt n bs tss d Dfnzn d dfut dfut d ung pd nsdzn In fs d svupp d md d LGD d tp quttv h nst tn dfnzn d dfut utzzt nd n pptun ns. qu d md d tng: ntpt L funzn d bzn stmt vn dfut sn stt dfnt m utzzt p D puntu h sttnsm d nt n spszn vn sussvmnt mppt su Mst (psnz d dt utzz) h, n S GMS; d gn sng ntpt stt dn n un dtmnt ms vn sst v d D spndnt d nn, psntn nt dd ms ss d tng. sussv mn un nm. Md LGD Fs d svupp d md d LGD L stm d tss d pdt, sì m N stm d LGD sn pvst fs pstt d nmtv è md d ung pnp: pm è dtmnzn d pd d pdt zzt, pndt tss d pdt ffttvmnt gstt p num d ntpt nn p p nt ntt n sffnz; spszn. snd è dtmnzn d dwntun I md utzzt d Gupp è d tp LGD, vv d un pmt h tng n wkut bst su vdnz sth nsdzn nh fs vvs d d nsm d pzn n dfut h nm; tz fs è dtmnzn psntn d LGD p tutt g stt mmnsttv ttsth ngh. Rntn n bs dt utzzt p dvs d sffnz. stm d pmt tutt spszn p ss fm tv bnh d Tss d dt p szn Sffnz pmt d vdzn, psst sffnz d 0/0/999 //04, p qu dtmn tss d LGD ffttvmnt pss d up è tmnt, vv, ssvt su pszn n sffnz s n s n u sn n ttv, bbn nfntn up zzt dutt G u pp M n t s h

96 96 Rsh d dt d st sstnut sptt spszn n bns d nt n pm stt d psst n dfut. hé s fs dfut n Ing, Rstuttut st du. pdt nm gstt, nn s dtmn ò s sn sznt pdt ntb, tutt mvmnt vngn pszn psnt n ppzn d ttuzzt pndnd m fmnt bzn d md d tng h sn dt d pssgg sffnz. ntt n dfut ntn d pd d I tss d ntss utzzt ns. p ttuzzzn è tss sk f pù un dtmn tss d LGD p dvs pptun spd h mun st stt d dfut, s è t un md pptuntà d sng bn dvnt d pndt d LGD dwntun, utzznd mnt utzz d pt nn mbst m ps tss d u mtpt p d nt. pbbtà d dfut. Infn, utzznd Csì m pstt d nmtv vn ppzn d bzn d md d pst un mt nf d 0% phé tng, s è dtmnt LGD d pp LGD md nn può ss ngtv. tutt pzn d fnnzmnt d nt n bns. Dwntun LGD dtmn zn d pp Md stm d LGD dvnt d un vntu Espszn Dttg nvsn d nm s è nzzt Md D zn t tss d up zzt Anh p Espszn dttg è stt tss d dfut; pput sstnz d dttt un mtdg dfut bsd. N un zn ngtv t du s s ptfg sn mps tutt spszn è sptt un md d gssn p ss fm tv fnnzmnt t tss d up vb d ntu nss d bnh Mnt d sh, MS mnm. Dtmnt tss d Cpt Svs MS Lsng & Ftng up p fs d spnsn qu nt d tp Rt (psn fsh d ssn s dfns dwntun LGD bbgzn d psn fsh). m md d ung pd dfut I pd d ssvzn d fnt dt wghtd, dtt p fs ssv d p bzn d D è p nn nm. (0004). LGD Cmpssv Dfnzn d dfut L stm d tss d pdt su pszn n md d D ppt ptfg un stt d dfut dvs d sffnz d Espszn dttg è stt h m punt d ptnz stm d utzzt stss dfnzn d dfut d tss d u, ss pntu d tn md Cpt. d m d b Rtng Intn 0 p

97 97 Rsh d dt Fs d svupp d md d tng p sgnzn d spszn sdut md Rt, p qu sn stt / snfnnt dtt pt d sgut stss mdtà d svupp Gnn 0. d bzn d md Cpt, s N s d 0, sì m pvst d ptn s spftà sptt qunt pn d ut, Gupp Mntpsh gà ptt. h pdut stm d md d sgmnt Rt, pnp st Rtng p sgmnt NBFI (Nn Bnkng nfmtv d svupp sn qu tv Fnn fnnzmnt nss d Gupp (fd ffttut un ttvtà d bzn d d nt nt, mutu p pstt) md Cpt Rt nsnd n dt ngf dspnb su Cnt su s sth d svupp g utm nn, sggtt d ss gt. mggmnt ppsnttv d ttu Isttutns). Int è stt nguntu nm ssv. Md LGD N s d 04 Gupp MS h I md d LGD p spszn psgut su ttvtà d ggnmnt dttg pvd stss fs d md vsn d su sstm d tng ntn, Cpt. nh sp d p nums vnt L ssvzn d bs dt d stm sn h hnn ttzzt nn 04 h pptnnt s sgmnt Rt hnn ns n md dtt ndtt ppzn d stm d u t è stt su pmt d sh h ttzzn ppzn d bzn d md d ptfg dt: tng. n pm ug nmtv gmnt h mbt pfndmnt qud np ntvnt ffttut ng utm d g d vgnz pudnz d nn su sstm d tng ntn fmnt sp d ffz D sgut ptm pnp ntvnt qust ptmn d p nuv ffttut ng utm nn su sstm d stndd d Bs III ; tng ntn d GMS. nm s è vt n N 0 Gupp MS h pdut mt sv n un mptt sgnftv d un stm/bzn d md n tmn d ut v d sh Cpt Rt sp d vv spss s v sstm s spf sgmntzn d md Cpt d ptfg MS. T dnm h n tutt md nuv gudt shstà d ptfg dfnzn gmnt d dfut, h pfmng pvd p dt vs znd p spm tss d dfut mt vt dt dttg dzn d mt d d un pggmnt d ptà d 90 gn n ug d qu d 80 gn up su pszn n sffnz; G u pp M n t h h s ntnut h d

98 98 Rsh d dt t sp s è pvvdut d dntf pss gmnt dnmnt n pntu d ttf d pszn Rvw ptv psuppnnd h t un (AQR) h ftt mg, p Gupp t pntu d ptu pss Mntpsh, un mptt sgnftv; d up s sstnzmnt nus. nfn è stt ssvt un duzn In t ntst è stt ndvdut m d husu d pszn sffnz, sgnftv un v d vg sup ntbund d umnt v d ugu 99%. «mphnsv pt ssssmnt» Asst d Quty vntg d pth. N 0, nn ppn nus g ntvnt L nsm d t vdnz h mptt d dfut dttn, sp d np nsstà d ffttu ntvnt d ntgmnt g fftt d AQR GMS mnutnzn d pmt d sh h pdut d un bzn mpt dn d np un st nfmtv pù d md d tng Cpt Rt mpt d ggnt m d pszn stm ntg d md d LGD. nmtv. In pt, s sth p stm In pt, Gupp MS u d d D LGD sn stt tst d un qust vdnz h ds d b tutt nn p np dt ffttv tv md d tng fn d ns gà n 04; n nsdzn d tmpst stm 04 pm vdnz d AQR d ttvtà (pm tmst) nn s è s (n su mpnnt Cdt F Rvw nss vutzn d TD psptt CFR) d stm md LGD n m n pdnt bzn ffttut ntnutà n pt ntn n snd mt d nn nn ssnd pss d Gupp h ng utm nn h ss d ftt dspnb. munqu smp pvst, n gn d L mnv d fn 04 (npt ntnu vuzn d ntst d n ttvtà d bzn md D nm, un stm/bzn nnu stm Md LGD) h gudt d nt st d md. ssfzn d un num vt d ntpt d pfmng nn LGD, fn d np pfmng ntn d nn pfmng, vdnz nt, pu n mnnz d un mpttnd n md sgnftv n tss pvst ffttv husu d pth, un d dfut d 04 n u t. Cn stk sgnftv d pszn nn n shft d s st, g fftt d hus, m p qu s pss nsd mnv sn stt ttmnt npt sstnzmnt d n nuv bzn. Int, n s up, è stt nus n mpn d 0, p dtmnzn d qust d stm (.d. nmpt wkut). A ptmn d pzn d Spzd hus pss d m b 0

99 99 Rsh d dt Lndng sup /mn s è pdut funznmnt d md d ptfg utzz d mtdg AIRB dg dtz d t utput n tmn Sttng Ct. Infn, sì m pvst d VR hnn, t v nput, vb d pn d ut, Gupp Mntpsh d D d LGD utzzt nh p h pdut stm d md d Rtng fntà d vgnz. È vdnt h tun p sgmnt Bnh. dttmnt sn stt nss, qu d smp utzz d pbbtà d dfut Utzz d Md Intn nn sggtt vdzn p ptfg Gà pdntmnt pvvdmnt dvs d qu Cpt Rt utzztv d Bn d It, h h dvnt d sstm ntn d tng nn nsntt Gupp Mntpsh d pt n sttpst vdzn d tng dtmn g ssbmnt ptmn stn fnt d pnp gnz snd g pvst p sstm d d tng, pptunmnt mppt tng ntn d tp vnzt, stss su mst s ntn. Su vsnt Gupp h utzzt pmt bs d LGD, s utzzn pmt stmt su d Rsk Wghtd Asst nh p ptfg n vdzn snd qunt t fntà ptv gstn ntn. ppvt d uttà d vgnz, m I pnp d bs è stt qu d pt n susn d fftt dwntun us ftt d nput pvst d Bs pvst s p fntà gmnt; qunt pù nt sptt nsstà p ptfg fu vdzn s gstn sbbn, p vv mtv dvnt utzzn pmt stmt su bs d ntu dvgnz h pss ptv d ns su tss d up d md/ sptt qu sgnth hdn, ung pd ddv sstnt ppu n tun gmnt d ffnmnt tss d LGD n n n qu pvst mtdg hst d fntà ntn d nmtv ntn p mtd d sstm d. In pt md, FIRB. L EAD, sbbn t pmt pmt tsvsmnt mpgt p sgnzn d vgnz sgu s p fn sgnt s p qu mtdg stnddzzt n qunt n ptv gudn tnt pbbtà d tts d vdzn, è dtmnt m dfut dvnt d sstm ntn d tng smm d utzz + mgn dspnb (D) qunt tss d pdt su ptfg (Adt Utzzt) mtpt p dtt (LGD). In fftt, qust utm un ffnt d nvsn (CCF) sttusn bs d p dffnt qu t mgn sut sup sstm d msuzn mntgg, % d dt, mnt p mgn n spf: nf t sg EAD è dtmnt Msuzn d pt nm m utzz mtpt p un ftt fnt d sh dtz. I (K). Entmb tpg d ffnt G u pp M n t s h

100 00 Rsh d dt Lg, fwd mutpd. t gn, Sgmnt, Tpg d Espszn, Gupp Mntpsh h svuppt Css Dmnsn Css d Rtng ppst mtdg d d t d pptnnz. pzn d utm pbbtà d dfut, tutt Fm Fnnz Cmm EAD munqu nt n pbbtà d vn mtpt p un ftt (RC), dfut nnu dvnt d sstm d h spm pbbtà h mpgn tng vdt. Anh su vsnt LGD nn s tsfm n ptvtà p ss s utzzn mdsm t fsst p dfut d ntpt. Md d tfg Cdtz sp s dffnzn p Enttà dstt, sudnd smp fftt pss pfmn d sk djustd d dwn tun. mntgg d pss d msuzn d zn d v s sgun mdsm gh d dt, s spf qunt sgu: utzzt p md d pss d gzn d dt ptfg dtz s p nttà gudnt nt nus n g ggtt d vdzn s p pmt d ppzn d mtd qu fu pmt d ppvzn. IRB vnzt sn stt mptmnt Int, ddv ntvngn stm nggnzzt n pptv EF bzn d sstm ntn d tng (t Ettn d Fd). I tng d ggtt d vdzn, nnss sutt ntpt d Gupp Mntpsh vngn pt nh d pdu è sutt d un pss h vut d VBM qund n gn mmnt g n mn tspnt, stuttut utput sutn nt g utm d mgn tutt nfmzn ggnmnt ffttut. d tp nm fnnz, ndmnt quttv tv pss d png skdjustd, nt h gn sh d dt. pmt h mntn md I Rtng Uff sì dtmnt h d sn mdsm d md vdtà dn fn ddsm d ptfg dtz, sppu n ms sussv d nt fn d quh stnsn mpt n png t ms dv ss vsnt. md. In fftt, md d png, Rsut sttpst un pss d dvnd pzz dffnt tpg d mntgg h può ntpn gzn d dt d svt dut, vsn n s d vdtà qu nsst m nput nn s d vngn ntttt vzn d D pbbtà d dfut nnu, m tsì sttst mns stb, nsstnt h d pbbtà d dfut mgn, supn dtmnt utff. I sstm d m b 0

101 0 Rsh d dt d gzn d dt è tt n n bs t gduzn sstm v ps, n funzn d tpg d d nt d pzn hst, h ndvdu un mpt nmn p pvdn pssbtà d sgu gn gggt d sh: g gn pss d ttbuzn d tng p dbnt è ttbut utnm gn ntpt nn nsntn dbtv pndnd m punt sz d ftà dbtv n d fmnt mbnzn f ssnz d un tng vd; ss d tng tp d fnnzmnt ssgnzn d utnm p mntgg d dt s nss snd pnp d utzz un ndt sntt d sv utnm d db nm hmt IRA (Indt su tng pgg v p. d Rsh Andmnt) h s bs Fnn zn pdtt sstm su nfmzn ndmnt Cnsg d Ammnstzn h mptmnt tv nt s h mssm ftà d db ntn s pb d buu stn. utnm ttbut g gn A supmnt d dtmnt sg dbtv g. d IRA pszn vn ntttt G n un ps h hd gst L ttuzn d pth d nsmnt d dmp d ttvtà vt d d gnz n fftt d ttnuzn ffnt nm sntt. su sh d dt vvn ttvs pss d Rnnv Smpft è un pss IT ddt, h tv su pvst su pth sh bss ppzn fn sgnt nn s p mpt ntnut. Vn ppt svppn g d gstn d tutt ntpt ffdt n gnz n mbt d gzn d dt. n d dt sggtt vsn Attvs pptv vngn gstt tutt h sn sdut sdn n ms g d mmssbtà d gnz. I nsdt; pss è stuttut n un pm fs d pnp su qu s bsn nsmnt ngf d gnz, h utnm dbtv pvd un dsv ntst ptv d Gupp. gduzn n funzn d tng Sussvmnt vngn vutt dt ttbut sun ntpt, d sng gnz ttvs ns d d mpt d fd hst, d ttsth spfh. In pt sn v d sh msut su gupp nzzt qust gn d: u ntpt pptn, d tzz gud; tpg d fd hst d gnz ppnbtà d gnz tz; pptt, nfn, d ntu d tmpstvtà d zz; pndt; sptt d qust gnzztv. u pp M n t s h

102 0 Rsh d dt L vnz ssunt fn gstn d L spnsbtà p sussv v d pt d tng ntn h s nss vf pvst d nmtv è stt ttbut zn ntn d Gupp Mntpsh A Vdzn, Mntgg Rsk d un stuttu d nt d nvd Rptng (Funzn d Cnvd Intn) d sstm d tng n ttsth d pt d Dzn Rsh. L mptnz ndpndnz gnzztv d fmnt ptv n mt sn ttbut Svz dzn sptt stuttu t Vdzn Mntgg h, tvmnt p svupp, mntnmnt vsn Sstm d Rtng Intn d sh d d sstm stss. T stuttu spnd dt vut n ntnu utzz d qust d Cdt Rsk Cnt Unt stm d mpnnt vnt d sh. hst d nmtv gmnt p Annumnt pdspn Rzn d dmpmnt d nt d nvd. Cnvd Annu ntn d qu p qunt ttn Sstm d Rtng Md d Gstn d Cnt su Intn d Gupp Mntpsh (d sgut Sstm Intn d Rtng SRI) spm un gudz n mt g Un sstm d tng ntn vnzt, funznmnt, ptà pdttv snd dspszn nmtv vgnt pfmn mpssv d sstm IRB dv pvd pppt fm d vf dttt. I gudz spss d Funzn snt tutt v n u s tn d Cnvd Intn, vn smnt d ttvtà d nt. Cmtt d Cdnmnt d Funzn I sstm AIRB utzzt d Gupp Aznd d Cnt nh fn, ddv Mntpsh pvd h ntn d nss, d ndvd g ndzzmnt stss stuttu ptv nvt n dg vntu ntvnt ttv hst. pss d ttbuzn d tng sn L Rzn d Cnvd Annu è ffttut nt, d tp utmt sussvmnt ptt n ppvzn vv dspnt d ppst pt Cnsg d Ammnstzn d ptv (d smp, nt d tp Cpgupp. gh), fnzzt vf d tt vsn svgmnt d ttvtà ppduth Intn (d sgut nh DRI), è stt ssgnzn d tng, qu d smp ffdt vutzn funzntà d st d md pppt p mpssv sstt d nt su sstm d vutzn d nt d pzn, tng (spnsb d nt d vw). ndvduzn d nnssn d ntu D sgut vn ustt n snts nm gud t nt, sptt mtdg dttt d sp tt d pdu ntn vt quszn funzn d nfmzn nss p ttbuzn mdtà ptv n u sn svt ggnmnt d tng. nt d nvd d vw. d m Atsì ntn, znd, b funzn Dzn Rvsn tvmnt d 0

103 0 Rsh d dt ss d Cnvd d Sstm d vgnz (CRR C 8 Bn Rtng Intn d It) n pt ttnzn L spnsbtà d Cnvd d SRI sgunt sptt: è ssgnt spnsb d Funzn dsgn d pss d ssgnzn Cnvd Intn h s vv d Svz, ddv pssb, bktstng d Vdzn Mntgg (d sgut sutt d pss mnt vfh SVM) p svgmnt d ttvtà su funznmnt d pss stss ptv funzn nvd. L sn ndtt d Funzn d pnp vdnz h mgn sgut Rvsn Intn; d nt d nvd svt n s ns d nz t mdfh d nn sn ppsntt n Rzn d tng mputb ntvnt d Cnvd Annu. umn n gud st I Svz Vdzn Mntgg untà dputt ssgnzn d è stuttu sttut Fbb 04 tng; n spf mpt d nvd vf ffttv utzz d sstm un md d msuzn d sh, d tng n gstn znd, gmnt nn, vfndn n dntfnd g tt pss ntnu ffdbtà d sutt ttnut nvt n pt fmnt mntnmnt d nz n pss d gzn nnv d pszn nmtv. dt; I sutt d ttvtà d nt svt vn dumntt fmzzt nvd d md: vf h tsmss stuttu dttmnt md sttst ppst pduzn ntsst DRI; un vt nn d pmt d sh gmnt nfus n Rzn d Cnvd utzzt d Gupp susvmnt Annu n u, n szn tv p Sstm d Rtng Intn d md AIRB, vn spss gudz md mpssv su psznmnt d SRI v d pfmn spttn sptt qust nmtv d vgnz. qust mnm d tp gnzztv I pss d nvd d SRI d md quntttv pvst d nmtv; n AIRB, n mbt d qu sn svt pt sn vft: tt nt, s sstnz n sgunt ppsnttvtà: vf d nz AIRB mntngn dfnt nvd fm: d ttsth d ppzn nvd d pss: vf d ppzn n pduzn d spndnz d pss ntn d md sptt qu d mpn ssgnzn d tng sptt qust utzzt p stm dg stss; gnzztv nunt n nmtv d G u pp M nntzn: vutzn d gd n t s h

104 04 Rsh d dt d nntzn spszn d gudz mpssv d nvd ttvs ntpt d un sstm d ssgnzn d puntgg sng ss d tng, dtmnt spst d pndzn d dmnd d ppzn d md; h è pt d fmwk pdspst ntn fmzzt. pfmn: vutzn d pt pdttv d md, qund, d L st mtdg ffttut spnd su ptà d sp nt n sgnz nsstà d nd pss vt gd d svbtà d nt d nvd tspnt ggttv nn ptnzmnt shs; s n nfnt d Auttà d Vgnz d m nh spttutt n nfnt d spndnz d sh ssgnt sng stuttu ptv h svuppn n v pvntv s p gn sng SRI u vngn ndzzt ttà ss d tng s v mpssv, vt d Cnvd fn d sptt sh st ssvt sstmzn. Cò pmtt d ntvn su stss; n mn pù gv su gp vnt n bzn: vf un nsgunt mg psd d tt stbtà: vutzn d stbtà n funznmnt d SRI d pt d SVM. tmp d tng ssgnt; stss tstng: vf d ttvtà d stss tst su md sgut d ss d Rvsn ntn su sstm stuttu d svupp d md; d tng ntn ptfg L Dzn Rvsn Intn (d sgut ttzzt d un sgu num DRI) d Gupp Mntpsh p, d ntpt vf d nz n nz n nmtv vgnt, g d tng ssgnt ntnmnt n Stndd d pfssn g ndzz tng ssgnt d stuttu tz; d bnhmkng: su pnp gnsm ntnzn, nzn ttvs d un ttvtà nvd d dt: vf sptt d ndpndnt d bttv d ssun qust mnm mpst d nmtv nsunz vt s nt, nh n zn psd d qutà d mdnt vfh n, gtà dt utzzt d SRI. d ptvtà ndmnt d sh s vut funzntà nfmtà I pss d nvd pvd, p sun d mpssv Sstm d Cnt mbt ndvdut, pdspszn d Intn, fn d psgu nh qustn vt vf nz mgmnt d ff d ffnz d sng sptt d SRI, n qust d gnzzzn. gmnt. I psznmnt d dttg L ntduzn su sng qust vngn ndtt msuzn gstn d sh h d m b d sstm vnzt 0 d

105 0 Rsh d dt dtmnt un stnsn d ttvtà d vst d ssvzn mpssv hst funzn Intn Audt d d gn d fnmn nzzt, p nsgunt spnsbtà. qu vngn mss ftt mun L mpstzn mpssv d ttvtà è dvs udt fndngs su pss d tng fzzt su bttv d pvn d vnnt d ttvtà d vsn svt su un vutzn gn d dgutzz, t dstbutv su stà d Gupp. n tmn d ff d ffnz, d I nt d udt d zz p sstm d nt d pss d gvn vutzn d punt sp mnznt s gstn d sh d dt bst su hmn vfh d funzntà sstm d tng. vfh d nfmtà. In pt, spnsbtà ttbut Attvs dvs tpg d nt, d mnznt C funzn d funzn d vsn ntn ssv vsn ntn, n fmnt vw pp spnsbtà, h nsstn n d md vnzt p vutzn vf vdtà d nt SRI d gstn d sh d dt, sn pss d nvd nfmtà d snttzzb n t m punt: sstm qust nmtv. ) vutzn d mpssv funzntà d sstm d nt d pp Infmzn Quntttv AIRB; N tb sgunt s ptn ) vutzn d funzntà d spszn d Gupp bn sggtt gtà d pss d nvd sh d dt mtd AIRB, ntn; Dmb 0 suddvs p ss d ) vf d nfmtà d sstm ttvtà gmnt. I v ptt ndzn d dntà hst p d spszn sn dtmnt snd utzz gmnt d stm d g d vgnz pudnz ptnt sh. sn spss d d ttfh d v L sgnftv mpnnt gstn nn s nsdn g fftt d tnh ndub dzn d un sstm d mtgzn d sh h, n s d d tng ntn hdn tuttv h spszn sggtt mtdg bst su ttvtà d vsn su t pss s md ntn, sn nus dttmnt nsdt m un mpnnt d n ftt d pndzn ppt. I pù mp ttvtà d ns vutzn v, nv, tngn nt, p gnz d nt f d gstn d dt. st g mpgn d g fnd, d L bttv ftt d nvsn dtz. nsst n nsnt ntzzzn d mptnt sng S ptn tv v d RWA, pdt s stt pf d n ffttv d tts (A) pdt ffttv (E) vt zzzn s, spttutt, d punt fn 0. S vdnz h mpt G u pp M n t s h

106 06 Rsh d dt ttfh d v su dt gnh tzzzn nn sn nus n spfh (E) tv spszn vs d dt A, m pvst d CRR. Tb... Mtd IRB: Rpg d Espszn, RWA, pdt tts d ffttv tfg gmnt Espszn Espszn vs gntt d mps: RWA A E MI At Imps Tt Mtd IRB // Tt Mtd IRB // Fnnzmnt Spzzt sttng t Espszn dttg: gntt d mmb: MI gntt d mmb: sn fsh Rttv dttg quft At spszn: MI At spszn: sn fsh Espszn vs tzzzn N tb sgunt s pt dstbu sgnftv d sh d dt (f p. zn p ss d D, ndvdut d Gup.), d spszn d Gupp suddvs p MS p nsnt un dffnzzn p ptfg gmnt. Tb... Mtd IRB: Espszn, pdt tts d ffttv suddvs p ptfg gmnt ss d D (sus Fnnzmnt Spzzt Ctzzzn AIRB) d0 Espszn vs. Imps Espszn Dttg Espszn Tt AIRB A Tt AIRB E Tt AIRB Css Css Css Css Css Css Tt Tt Css d D d m b 0

107 07 Rsh d dt N tb sgunt s pt gmnt d ttvtà: dstbuzn p ss d D n tv MI, dttg quntttv p mtd IRB At Imps, vnzt d tfg Espszn vs Fnnzmnt Spzzt sttng t. gntt d mps suddvs p ss Tb... Mtd IRB: Espszn vs gntt d mps MI Css d mt dtz V nmn Mgn nutzzt () Espszn Ftt LGD md md d pndt pndzn (b) (RW %) D md pndt (b) CCF% (md) Css ,% 0,0% 7,9%,09% Css ,67% 0,% 6,6% 4,9% Css ,4%,%,0% 6,% Css ,00% 4,9% 0,80% 8,% Css ,6%,47% 9,78% 7,97% Css ,8% 00,00% 44,08% ,96% 4,%,6% ,66% 4,% 8,7% Tt //0 Tt //04 () A fn d psntzn d tb, p Mgn Inutzzt s ntndn gnz mss g mpgn d g fnd vb d vb (b) L D md pndt (%) LGD md pndt (%) d g Tt nn nsdn ss 6. Tb...4 Mtd IRB: Espszn vs gntt d mps At Imps Css d mt dtz V nmn Mgn nutzzt () Espszn Ftt LGD md md d pndt pndzn (b) (RW %) D md pndt (b) CCF% (md) Css ,69% 0,09% 4,8% 4,7% Css ,69% 0,6% 4,6%,97% Css ,7%,09% 4,48% 84,99% Css ,% 4,0% 4,07% 6,9% Css ,7% 8,64% 8,69%,9% Css ,49% 00,00%,70% ,49%,% 40,98% ,9%,0% 7,09% Tt //0 Tt // () A fn d psntzn d tb, p mgn nutzzt s ntndn gnz mss g mpgn d g fnd vb d vb (b) L D md pndt (%) LGD md pndt (%) d g Tt nn nsdn ss 6 G u pp M n t s h

108 08 Rsh d dt Tb... Mtd IRB: Fnnzmnt Spzzt V d'spszn V nmn Ftt d pndzn Ctg 0% Rttfh d v RWA dt Atts Ctg 70% n vt sdu, nn Ctg 70% n vt sdu <, nn Ctg 90% Ctg % Ctg 4 0% Tt // Tt 0/06/ Tt //04 Ctg 0% N tb sgunt s pt dstbuzn Gntt d Immb MI, p ss d D n tv dttg quntttv Gntt d Immb sn Fsh, p mtd IRB vnzt d tfg Rttv Quft, Espszn dttg suddvs p ss At spszn dttg MI, gmnt d ttvtà: At spszn dttg sn Fsh. Tb...6 Mtd IRB: Espszn dttg gntt d mmb: MI Css d mt dtz V nmn Espszn Mgn nutzzt () CCF% (md) D md pndt (b) Ftt LGD md md d pndt pndzn (b) (RW %) Css ,00% 0,% 9,4% 4,6% Css ,% 0,7% 9,88%,47% Css ,%,% 9,89% 6,% Css ,08% 4,4% 0,%,9% Css ,49%,9% 0,0% 0,78% Css ,8% 00,00%,7% ,94%,00% 0,0% ,8% 4,79% 8,6% Tt //0 Tt //04 () A fn d psntzn d tb, p mgn nutzzt s ntndn gnz mss g mpgn d g fnd vb d vb (b) L D md pndt (%) LGD md pndt (%) d g Tt nn nsdn ss 6 d m b 0

109 09 Rsh d dt Tb...7 Mtd IRB: Espszn dttg gntt d mmb: sn fsh Css d mt dtz V nmn Mgn nutzzt () Espszn Ftt LGD md md d pndt pndzn (b) (RW %) D md pndt (b) CCF% (md) Css ,% 0,%,% 4,04% Css ,9% 0,%,80% 7,4% Css ,7%,00%,8% 6,% Css ,7% 4,47%,79% 40,40% Css ,69% 6,9%,6% 7,60% Css ,8% 00,00%,47% ,48%,7%,80% ,8% 0,9%,9% Tt //0 Tt //04 () A fn d psntzn d tb, p mgn nutzzt s ntndn gnz mss g mpgn d g fnd vb d vb (b) L D md pndt (%) LGD md pndt (%) d g Tt nn nsdn ss 6 Tb...8 Mtd IRB: Espszn ttv dttg quft Css d mt dtz V nmn Mgn nutzzt () Espszn Ftt LGD md md d pndt pndzn (b) (RW %) D md pndt (b) CCF% (md) Css ,00% 0,%,47%,0% Css ,00% 0,% 9,4% 4,94% Css ,00%,0% 8,4%,8% Css ,00% 4,0%,66% 4,4% Css ,00%,8% 8,40% 79,0% Css ,00% 00,00%,7% ,00%,9% 6,0% ,00%,9%,6% Tt //0 Tt //04 () A fn d psntzn d tb, p mgn nutzzt s ntndn gnz mss g mpgn d g fnd vb d vb (b) L D md pndt (%) LGD md pndt (%) d g Tt nn nsdn ss 6 G u pp M n t s h

110 0 Rsh d dt Tb...9 Mtd IRB: At spszn dttg: MI Css d mt dtz V nmn Espszn Mgn nutzzt () CCF% (md) D md pndt (b) Ftt LGD md md d pndt pndzn (b) (RW %) Css ,7% 0,0% 4,0% 8,78% Css ,0% 0,% 4,7% 0,6% Css ,4%,8% 4,9% 8,69% Css ,% 4,7% 4,6%,44% Css ,60%,4% 4,% 77,87% Css ,7% 00,00% 6,% ,8%,77% 4,89% ,7%,94% 8,8% Tt //0 Tt //04 () A fn d psntzn d tb, p mgn nutzzt s ntndn gnz mss g mpgn d g fnd vb d vb (b) L D md pndt (%) LGD md pndt (%) d g Tt nn nsdn ss 6 Tb...0 Mtd IRB: At spszn dttg: sn fsh Css d mt dtz V nmn Espszn Mgn nutzzt () CCF% (md) D md pndt (b) Ftt LGD md md d pndt pndzn (b) (RW %) Css ,8% 0,%,% 7,07% Css ,7% 0,4%,% 4,88% Css ,0%,%,8%,% Css ,8% 4,6%,0% 8,9% Css ,7% 4,%,7% 6,9% Css ,47% 00,00% 4,7% ,0%,84% 4,09% ,9%,9% 0,9% Tt //0 Tt //04 () A fn d psntzn d tb, p mgn nutzzt s ntndn gnz mss g mpgn d g fnd vb d vb (b) L D md pndt (%) LGD md pndt (%) d g Tt nn nsdn ss 6 d m b 0

111 Rsh d dt Espszn sggtt mtdg AIRB suus st, u ptvtà è fzzt suddvs p zzzn ggf su suppt d spnsn mm I qus dg nvstmnt d mps tn susvmnt su mt ntn d st d ntss pnp mt vdnz 99,99 % d spszn AIRB, fnnz s s nsd zzzn ggf sggtt mtd AIRB ( ntt d dfut) d ntpt, vs ntpt sdnt n p suus st è p n It. 0,00% d è ntmnt vs ntpt L zzzn ggf ptnnt d (n sd/sdnz dm It). spszn dtz, fn d psnt T spszn s fsn d spszn nfmtv n d t. 4 d CRR, n nfnt d ntpt qu è stt è ng Stt mmb n u g nt sn stt ttbut stm ntn d D LGD utzzt ng Stt mmb ps tz phé gà ntpt d fzn tn n u g nt pn tmt un suus fn gmnt sn ptt n p un fzn. Cn fmnt sh d Cpgupp Bn MS. mss dt, Gupp è ttumnt utzzt qunt sp v d D md d utzz stm ntn d pmt pndt d LDG md pndt D, LGD p ptfg dtz vs p zzzn ggf ndn n Cntpt (Imps d Espszn qu ptt n tb pdnt h dttg) d pnp fzn Itn ptn spszn sggtt md d Gupp vv Bn Mnt d sh d AIRB d fzn tn utzzt Sn, MS Cpt Svs MS Lsng suddvs p ss d spszn. D sgut & Ftng. tnt t fzn st s pgn spszn dtz sggtt (MS Bnqu Bg) dttn md mtd AIRB ( ntt d dfut) snd stndd tv spszn sn nus dfnzn d zzzn ggf n spszn sggtt sh d dt dstt sp vv p Stt mmb n mtd stndd. I Gupp, nt, p u s è utzzt (It) p Stt mmb/ n Stt Mmb ps tz mdnt ps tz n u s p mdnt suus. G Gupp u Mntpsh pp p M n t st. L spszn s dtz h

112 Rsh d dt Tb... Mtd IRB: Espszn vs gntt d mps Rptzn Ggf EAD It LGD Md ndt ,99%,% 6,% 7 0,00% 0,07% 48,% 0 0,0%,0% 44,74% ,00%,% 6,% At s Espszn vs Eup gntt d Am mps Tt D Md ndt Indnz Tb... Mtd IRB: Espszn dttg Rptzn Ggf EAD It 00,00%,4%,0% 0 0,00% 6,%,6% 8 0,00% 9,9% 44,74% ,00%,4%,0% Am Tt LGD Md ndt At s Eup Espszn dttg D Md ndt Indnz d m b 0

113 Rsh d dt Cnfnt t pdt tts pdt ffttv N mbt d ttvtà d bktstng d shstà d ptfg n bs d un pmt d md AIRB Gupp MS g thughthy (TTC). nfnt pdt tts stmt L pdt ffttv è t m Dmb d nn pdnt pdt mmnt dg ntnmnt h sn ffttv ssvt fn nn. stt ffttvmnt gstt d stt A sp d nd h st d nt nm n bn su spszn nfnt ps h du n bns Dmb d nn pdnt gndzz pu ssnd mpb sn h sn stt ssft dfut un nn t n gh dffnt. dp. L pdt tts (A) è pdt h Tnut nt d qunt ssvt ss h mdmnt bn s ttnd d nsgu pdt tts spm un stm d pdt fnt d un dt d un ptfg d t ssnzmnt n un tt TTC dt ssft n bns fn d nn mnt pdt ffttv f fmnt pdnt. Ess è t m pdtt qunt gstt d dut n un t pmt d sh D, LGD d EAD spf nn ptm nfnt t stmt n nfmtà qunt pvst d pdt tts pdt ffttv vfts nmtv pudnz; n pt xpst sug nn 0, 0, 04, 0 D è stmt su un s st d ung su spszn pt t. pd ptnt ftt mggmnt G u pp M n t s h

114 4 Rsh d dt Tb... Cnfnt dt Atts dt Effttv Ann d fmnt dt Atts tfg vs (v %) Esp. vs Imps ,% Esp. Dttg ,% TOTALE ,% Esp. vs Imps ,7% Esp. Dttg ,9% TOTALE ,8% Esp. vs Imps ,8% d u pmnt AQR ,% d u nn pmnt AQR ,7% Esp. Dttg ,6% ,9% d u pmnt AQR d u nn pmnt AQR ,4% TOTALE ,% d u pmnt AQR ,4% d u nn pmnt AQR ,9% Esp. vs Imps ,% ,6% ,6% ,6% ,4% ,4% ,% ,6% ,6% d u spszn vs gntt d mps MI d u spszn vs gntt d mps At mps d u spszn dttg gntt d mmb MI d u At spszn dttg MI 0 dt Effttv Esp. Dttg d u spszn dttg gntt d mmb sn fsh d u At spszn dttg sn fsh TOTALE I v d pdt tts d pdt ffttv s fsn spttvmnt pdt tts gstt d nz nn dt ffttv gstt fn nn su mpn d spszn nzzt. I mpn s fs spszn d pszn h d nz nn n n bns h sn psst n dfut n s d nn. L spszn vs mps nudn nh ss gmnt d spszn gntt d mmpb m t spszn dttg MI. D nfnt s ssv h p 0 d d dfut sgnftv pggmnt 0 dffnz t pdt ffttv d v d up d dt dtt pdt tts è dvut dvs gh sptt tss d D stmt nz d n u du msu sn stt t; pd us d un fs nguntu mgg sstmnt t pdt fft ftmnt ssv pù sv sptt tv pdt tts gstt n 0 su tts npt n md. L pdt sgmnt pt (spszn vs m tts t md AIRB TTC nn ps) è n gn pt gt mgg tss ftt pnmnt dff ndzn d m b 0

115 Rsh d dt nmh gstts n 0. N 04 s h d vsn dg ttv su bs d n vdnz un sstmnt n mgg gud pp d ttvtà d vgnz BCE t pdt ffttv pdt tts, p hnn dtmnt un vutzn pù s hé g mnt gà sntt n 0, s v d v d shstà dg ttv d sn ggunt ut ntnmnt nn sh d dt d un nsgunt n nt gt mnv stdn d mnt d tss d ptu d spsz fn 04 fn d p g st d Asst n. N nn 0 qust pù stngnt Quty Rvw (AQR). su dntfzn d fbn, n nn 04, nftt, Gupp MS h dzn nmh d nn fvv pdut d un ntvnt stdn su hnn ptt d un ut mnt d v d ntnmnt tv ptfg nsvtsm n dntfzn d fus h sn stt ggtt d vw, pnd s d dfut h s nfm vt. gà n bn 04 ndzn BCE t mtv pdt tts t sgnt Gupp MS nusn md AIRB TTC sut nf p d ttvtà AQR (Ottb 04). L g dt ffttv d %. Rffnt t stm sutt ffttv bktstng d tng Cm n pdnz vdnzt, Gupp d un dtmnt num d tst tt Mntpsh dtt mtd vnzt p vut s md ntnun psnt dtmnzn d qust ptmn n ppzn/pduzn ttsth p ptfg mps d spszn ngh, n tmn d ppsnttvtà d dttg. du ptfg s utzzn pfmn, qu sntt n fs d qund pmt d D (bbtà d svupp. N mbt d t mntgg, Dfut) LGD (dt n s d dfut) ffnt t D stmt tss d dfut stmt ntnmnt. ssvt (TD) vn vft tmt un I ffnt t pdt stmt pdt nsm d tst h gudn vf zzt vn ffttut nnumnt d nmnt t D TD s su utm n mbt d pdu d bktstng pd d fmnt s su un s st d pmt d D LGD d pt d d mpzz p qu d stm, n n n funzn ntn d nt d pm pp mtdg d svupp bst snd v. su md d ung pd. L st mpssv qunt gud D, mntgg d mntgg vn fmut su bs d md sttst vn sgut ttvs d un pt ntn n qu sn stt un gtm d vf stuttut d fmzzt nh g ntvnt d p n utmtzzt. I mntgg è sttut ss n s d sutt ngtv. G u pp M n t s h

116 6 Rsh d dt Cnfnt t D tss d dfut n tb sgunt nfnt t D ssvt (TD) p ss d tng d gmnt d tss d dfut ssvt sgmnt Cpt p ss d tng su s sth d mpzz dffnt. sgmnt Cpt s ptn D nfnt s vn m nmnt I tst su bs punn (n g TTC) t D gmnt t n un hnn g TTC tss d dfut md su s sddsfnt d nmnt t D TD. sth d mpzz dffnt s vd v v qunt gud nv pfmn dund dus d zznt tmp d md Cpt n tmn d pt utzzt n md d tss d dsmnnt qust s sn mnfstt dfut. T vdnz nfm m D pnmnt pstv nfmnd bun gmnt t n un g TTC ptà d gdng d md, n v sn mmdtmnt nfntb n d utzz ssutmnt n n n tss d dfut t su zznt tmp ng nsut n bst pt p d ung pd mnt nfntbtà md D AIRB. nv nfmt un v tnd dus n dus d zznt tmp nsdt. Cnfnt t D tss d dfut G st d tst d bzn su bs ssvt (TD) p ss d tng d nnu nn hnn vut st sddsfnt sgmnt vt p md Cpt n pt p sgmnt Rt s ptn d sgmnt Cstuzn (unn) Sm vdnz ngh qu ptt p Busnss s gstn d dsnmnt t md Cpt. D stmt tss d dfut ssvt. d m b 0

117 7 Rsh d dt I tss d dfut ssvt su sgmnt Rt tmn d pt dsmnnt sn pstv ppn gnmnt n n n D nfmnd bun ptà d gdng gmnt psntn un ndmnt d md, n v d utzz n n ssnzmnt n ng nsut n bst pt mntn snt s d shstà d ss d tng. p md D AIRB. Anh p md Rt pfmn n G u pp M n t s h

118 8 Rsh d dt.4 Rsh d dt: ttfh A fn d ssfzn d spszn In nz n nmtv d Bn dtt n dvs tg d sh d It, (sffnz, pbb, nssn s ntnd un nttt d spszn sdut dtt), Gupp dbt p qu sn stt ppt Mntpsh f fmnt nmtv msu d tnz (tmnt dntfb mnt d Bn d It, ntgt m fbn msus ). L msu d n dspszn ntn h fssn t tnz nsstn n nssn n g utmth p pssgg d tmn d mdf / fnnzmnt dt n mbt d dstnt tg d d nttt d dbt psstnt n sh. nfnt d un dbt h s tv è n In pt, ssfzn vn pnt d tvs n dfftà sptt ffttut, d zn d dt sdut pp mpgn fnnz ( dbt è n / snfnnt d t 90 gn p qu t tmn n dfftà fnnz). vzn vvn mdnt utzz L spszn ggtt d nssn d pdu utmtzzt, d gn dtt spndn ntnt n f dbtv dtz pfmng xpsus su bs d un pss h pvd un msus d u g ITS. T spszn s d nt dft vt gnt ppsntn un dttg, snd d tt ssfzn dg sst. s, d sffnz, ndmpnz pbb ndmpnz p spszn ggtt wth d nn fbn ppu d spszn sdut dtt; dt dtt, n ng n ss qund nn fmn un tg sé dfnzn d vgnz, s ntndn: stnt d ttvtà dtt. Cdt sdut dtt, N s d nn sn stt ntgt n Indmpnz pbb, t Ettn d Fd (.E.F.) nuv Sffnz. g d ndvduzn d spszn dtt ggtt d nssn. N s n u vngn mps nh un d vng hst un nuv ftzn fttsp ffnt gn ntt d un mdf un n d dt h stuttuzn, vv: s nfgu m un nssn vn spszn ggtt d nssn hst gst d vut dfftà (m dfnt d 7 d fnnz d ntpt. I gst, Bn d It); supptt A ntn d d pdu, stbs mdnt vntu psnz d dfftà fnnz ssttuzn d dbt swp d dbt gvtà d stss. N s n u vs quty. dfftà fnnz s gv gst stnzn dt d dbt d m b 0

119 9 Rsh d dt dvà db t nssn dvs d dfftà nmfnnz nh mb d ssfzn d d dbt, smp h tss d ntss ntpt ndmpnz pbb ppt s un tss d mt dt d Bn dbt pssn, n tntv ngzzn. pts pdntmnt dstt (ngzzn p dfftà d dbt L ssfzn d pszn n mtv/pss dvs tg d ttvtà dtt vn mm), nd stnzn d ffttut su ppst s d t tt dbt gn ttvs: ppt d zn mm s nvzn subnt d un t d funzn spsth pfh ngzzn p nt ppst nt gstn dbt (sussn bt); sstnz mdf n ntu d d dt. nttt h pvd un swp dbt dt sdut dtt quty. ssfzn t ttvtà dtt T vnt, mptnd un mdf vvn, nv, tmt utmtsm qu sstnz d tmn ntttu, d sn supt pdtmnt ndzn punt d vst ntb, dtmnn ggttv d ndmpnz. stnzn d ppt psstnt I tn n bns d spszn dtt nsgunt szn f vu d vvn su nztv d spmnznt nuv ppt, n szn nt stuttu ppst nt gstn nm d un ut un pdt p d dt, pv tmnt d vn dffnz f f vu dg sst vut mn d ndzn d ttà d d v d b d dt ggtt d stt d nsvnz. qunt ttn nzn. dt sdut dtt tn n bns C sn, p, t fttsp ffnt è ffttut n md utmt d vvnut gn ntt d stuttuzn nt d spszn. h ntn, nv, n spszn L sffnz, ndmpnz pbb pfmng h vngn, qund, sus spszn sdut dtt h d dt dtt. S ttt d psntn spszn d sp d un spszn ggtt d nssn n bns, dtmnt v sg sn sttpst h spndn fbn pfmng d un pss d vutzn nt. xpsus d u g ITS d ngzzn tutt spszn dtt d stt d d spszn dtz dt d bn un dtmnt v sg vutzn nt n bns. T ngzzn vn vn ffttut n md sttst su bs ssmt n sstnz ptu d un d pmt dtmnt d funzn Rsk nuv pszn, qu qust s nss Mngmnt. ssnzmnt p gn mm, T vutzn è ffttut n sn G u pp M n t s h

120 0 Rsh d dt d ssfzn, vfs d n nsdzn pvntmnt p vnt d v, munqu, vsnt gn nmh g tv n dnz pd. dfftà fnnz d stss h tmnt nn vbb nss (fbn); gnv pbbtà h bnf Mtdg dttt p dtmnzn d ttfh d v dh fmnt t pdu d Ad gn dt d bn, n n n IAS stuttuzn fnnz; 9, ttvtà fnnz nn ssft A fn d dtmnzn d ttfh n v ttvtà fnnz dtnut p d ppt v d bn d dt ngzzn ttvtà f vu sn (dt vutt fn d vf s sstn dt d fm), s pd, tnnd nt bttv vdnz d dtmnt h d dvs v d dtmnt, pssn f tn nn ntmnt vutzn nt ttv, m d upb v d d ttvtà sgut ptt. stss. Sn ggtt d vutzn nt vs nt, vs bnh, un pszn h psntn un spszn duzn d v s v è vdnz ggttv d sp d un dtmnt v sg d un duzn d fuss d ss futu, ffnt sgunt ss: sptt qu gnmnt stmt, sffnz; sgut d un pù spf vnt h s ndmpnz pbb; sn vft dp vzn nz; spszn sdut dtt. L duzn d v può nh ss Mnt ust nn d un sng vnt spt ttv: m d fftt mbnt d dvs vnt. spszn n bns; L bttv vdnz h un ttvtà fnnz spszn dtt d stt d un un gupp d ttvtà fnnz h subt dtmnt v sg nn ntnt un duzn d v nud dt vb n pmt d vutzn nt; Un ttvtà fnnz h subt sn ggtt d vutzn h gungn ttnzn n mt spszn sggtt sh ps. sgunt vnt: dt ggtt d vutzn nt sgnftv dfftà mmnt d ttf d v d fnnz sun dt è p dffnz t d mttnt d dbt; vzn d nttt, p smp un v d bn d stss mmnt ndmpmnt un mnt pgmnt d vutzn (st mmtzzt) d dg ntss d pt; v ttu d pvst fuss d ss d futu, t ppnd tss d un gvzn h Gupp h ps ntss ffttv gn. Lddv tss nssn bnf d m b 0

121 Rsh d dt gn nn s dttmnt pb, pdt d v ttv. T vutzn ppu su pmnt s ssvmnt vvn p tg d dt mgn ns, mg n tmn d sh d dt tv ppssmzn. tutt pszn pntu d pdt sn stmt tnnd tss fss tss d ntss sì dtmnt nt d s sth fndt su mnt è mntnut stnt nh ng sz ssvb dt d vutzn, h sussv, mnt p pszn tss nsntn d stm v d pdt vb tss d ntss vn ggnt tnt n sun tg d dt. tvmnt mpnnt d fmnt I dv d sgmntzn utzzt t vb mntnnd stnt spd fn sn sttut d: Stt d ttvtà gnmnt fsst. nm, I fuss d ss pvst tngn nt d sgmnt d nt (fttut); su bs tmp d up tts, d psumb d qust utm ndt s ndvdun v d zz d vntu gnz sgmntzn pnp d ptfg: nnhé d st h s tn vnn Rt; sstnut p up d spszn Sm nd Mdum Entps Rt; dtz. Sm nd Mdum Entps Cpt; L ttf d v è stt nt Cpt; nm n v 0 ttfh/ Lg Cpt; ps d v ntt p dtmnt. Nbf; Qu qutà d dt dtt Bnh; sut mgt t punt h sst un At. gnv tzz d up tmpstv d pt dg ntss, v vn dtmnt tss d pdt gn d dt vn pstnt ng ssumnd m fmnt spnz sz sussv n msu n u vngn st mn mtv h n hnn dtmnt mmnt d mpmnt d pd ttf puhé t vutzn s d gn fnnzmnt pptnnt un ggttvmnt gb d un vnt dtmnt ss mgn è dt d vfts sussvmnt ttf dffnz t v ntb mpt stss. L ps d v è stt n nt upb nm nn può n gn s sup (vb st mmtzzt h dt vbb dtmnt utzznd pmt d vut n ssnz d pdnt ttfh. md d pvst d nuv I dt p qu nn sn stt ndvdut dspszn d vgnz, ppsntt d sngmnt vdnz ggttv d pdt D (pbbtà d dfut) d LGD sn sttpst vutzn d un (pdt subt su pszn dfut). G s u pp pp su M n sun t d zzzn sgmnt Gupp. dt munt), s ggf d In d ptfg pt, vutzn qust utm h

122 Rsh d dt Ad gn dt d husu d Bn d d spszn, d qutà dtz p stuzn nfnnu vntu ttfh sgnftv (t. 44 p. d/h d gguntv ps d v vngn CRR); t n md dffnz tb B. d t szn d Bn n fmnt nt ptfg d dt Cnsdt p stss dt. d spszn dtz p stt ut dttg su pth ntb nm d dt s mnd t A d sgnftv, Nt Intgtv d Bn Cnsdt spszn dtt, ttfh d..0. ut dttg n v su dt gnh spfh mt ttfh s mnd Szn (t. 44 p.g/ ) ) d CRR); tp n dstbuzn d ntpt ndzn d Infmzn d ntu quntttv A. tb d szn. Rsh Qutà d dt d t E d Nt d qudtà d t E d Nt Intgtv d Bn Cnsdt ntgtv d Bn Cnsdt p..0. In pt s mnd : ptfg mpssv d spszn tb A.. d t szn d Bn dsgggt n funzn d dut Cnsdt p dstbuzn d sdu p ss d spszn (t. 44 spszn p.f d CRR); dtz p ptfg d pptnnz (ss pnp d tb A.. A..8 d szn A. spszn) d qutà dtz (t. Qutà d dt d t E d Nt 44 p. d d CRR); Intgtv d Bn Cnsdt tb B./B. d t szn d Bn..0. p dszn d Cnsdt p dstbuzn d dnm d spszn dtt spszn dtz p ss pnp d (t. 44 p. d CRR). Infmtv quntttv I dt d sgut pgn spszn t spszn dtt d spszn n sggtt mtd stndd d AIRB bns, ttfh (spfh d ptfg) snd pmt pudnz, dstnt d spszn ntt. d m b 0

123 Rsh d dt Tb..4. Rsh d dt: ttfh d Espszn dtt mt udnz AIRB Espszn n bns V ntt Rttfh MI At mps Fnnzmnt Spzzt sttng t Gntt d mmb MI Gntt d mmb sn fsh d u Fu Bn (gnz mpgn) Rttv quft At spszn dttg MI At spszn dttg sn fsh Espszn vs tzzzn STD d u Fu Bn (gnz mpgn) Tt // d4 Espszn dtt mt udnz AIRB Espszn n bns V ntt Rttfh At mps Gntt d mmb MI Gntt d mmb sn fsh d u Fu Bn (gnz mpgn) MI Rttv quft At spszn dttg MI At spszn dttg sn fsh STD d u Fu Bn (gnz mpgn) Tt //04 G u pp M n t s h

124 4 Rsh d dt. Rsh d dt: us d tnh d ttnuzn d sh I Gupp Mntpsh nn pp fmuzn d pth d gstn pss d mpnszn d spszn d sh d dt n ptt d sgn pss) nmt dspnb p g ppst n mbt d bn fu utnt; gnz (pnp, mdtà, bn, p qunt nn ptfg psnz d pdu dumntt mm. I Gupp Mntpsh dtt d gstn d gnz (pnp, nv pth d duzn d sh d mdtà, pss) nmt dspnb ntpt n ntpt sttuzn, p g utnt; stpund d d mpnszn (nttng ndpndnz d sh d nsvnz gmnt) d d tzzzn d nt (Rtng Intn) d psnz (t gmnt), s p dvt s p d Gnz R. p (puhs gmnt). A fn d mt sh sdu (sszn I Gupp Mntpsh h pst n ss nsussstnz d v d ptzn) qust pvst d Nuv Dspszn Gupp Mntpsh hd h: d n Vgnz udnz fn d s d gnz pt, nsmnt dg fftt d ttnuzn quszn d dtt s mpgnt d sh pdtt d psnz d gnz d sttszn d pzz ssutv ptzn d dt. (vnt tstf) su bn ggtt d L gzn d dt n quszn d gnz pz ffttut d tn d gnz è sggtt spfh msu fdu; d nt, dffnzt p tpg n s d pgn, n psnz d d gnz, ppt n sd d gzn svutzn d bn n pgn s d mntgg. S pssn ndvdu hst sttuzn d v du tpg d gnz pnp, s p gn (gntnd ntnutà vum d dt s p numstà d d nt, sggtt nmtv dffnt: mdftv d gnz gn), Ipt gn (Dn Tt). mnt n s d stnzn d tt è In mt sptt d qust gnzztv hst nzzzn d mbs pnp p ttnuzn d sh sn pss Bn (sssn). gnz ttvs dumnt stt ssut: I Gupp Mntpsh h dntft un st psnz d un sstm nfmtv d fm tnh (dffnzt p fntà suppt d fs d d vt d d fnnzmnt/tpg d nt) p gnz qu sn mmss gnz pt. (quszn, vutzn, gstn, vutzn, sussn); d A ntn d sstm nfmtv, m b 0

125 Rsh d dt ppst d fnnzmnt d un d t v d gnz n bs v fm nns hst d nfmzn d mt. pzn d pgn t d dttg su ttsth d mmb mntgg vvn gnmnt p ggtt d gnz (vutzn), n tt qutt dpstt pss bn, sgut db, ndà bbgt mnt p pth vf d v pssgg d quszn. dg mmb vvn ttumnt un vt nn p nn sdnz (su qu nt Rt, nssn d dt è vngn ffttut n dnz tnn nzzt su ps d gzn spf, pz puntu su bn p fnnzmnt ttzzt d n spszn sup t mn pss vuttv/stutt, ntn d u) un vt gn t nn p d qu vngn t nfmzn sdnz, utzznd un vutzn nss d un tt gstn d nd d mt. gnz mmb. In qust sd è ut sttn I Gupp Mntpsh s è dtt d un psnz d ttvtà d vutzn d bn pss un p quszn d gnz fft n gnz n fs d db, h è stss tmp stumnt d fnnzmnt pt. N s d v d spssn d pth pt d mutu Rt, psnz d d gstn. A ntn d stumnt un pss d gzn ddt vn pssn ss ttvt ps dffnzt t d gzn psntzn d p ggtt d gnz. L gstn d pz tn d bn, ndnd t gnz vn ttvt n sgut db suzn d dmpmnt d sptt d nssn d dt d pss s d vn d fndtà n quszn mpn d dvs fs: d gnz. quszn (nh mutp); n qust N s n u v d bn n gnz fs vngn ffttut nt d s sggtt sh d mt d mb, nz (fm d mpt) n Gupp Mntpsh utzz ntt gnz ppst n fs d db; d st d gnz, msu spss n N s pt d d mutu stnddzzzn dgumnt/vzn/zn; n pntu su v d gnz fft, snt d mdf ttsth d dtmnt n funzn d vttà d gnz snz ntmp ptzn v d tt. In fs d db vn d dt; nsdt m gntt s pt d ntgzn; nsnt d ns fnnzmnt pt d v d bn dt ttu vuzn st d ntt d st. N fs d mntg gnz vut; g vn hst dgumnt d g stnzn/nnumnt. nz p qu v d mt sut È ttv un sstm d mntgg d nf v d db ntt d G u pp M n t s h

126 6 Rsh d dt st. L ntf d t dmpmnt vn d Nuv Dspszn d Vgnz p nzzt su un stumnt d mntg ppzn d g d ttnuzn g gn d dt ttvs qu d sh d dt. vngn sgnt Rt vnt h ps Tutt tpg qusb d Gupp sn mdf pzn d sh. Mntpsh sn nst n pss L psnz d Gnz R nn t stuttut d gstn d gnz, vutzn d sh d nsvnz ttvs ndvsn d tutt fs d d nt. Tuttv h fftt su t u è mpst pss mdsm. dbtv, n qunt nssn d N s n u msu d mntgg dt n sh ttnut sn sggtt su gnz vdnzn nm d utnm dffnt (n Bn MS t ptv n fs d quszn vntu dffnzzn è n pù mt p ndgutzz/pdt d v vut n psnz d utnm dbtv ddt pgn, vngn ttvt vnt pptnnt s Cdt Fnd d Edz). py d mntgg d dt I Gupp Mntpsh tt dvs h nnsn dmpmnt ptv d stumnt vutzn d sh d dt. ptzn d dt ssumb n tg d: I Gupp Mntpsh h pst n ss pgn dn dpstt pss Bn; qust pvst d Nuv Dspszn pgn Tt Fnd Cmun dpstt d Vgnz udnz fn d nsmnt dg fftt d ttnuzn pss Bn; pth su bn Immb; d sh d dt pdtt d psnz pth su bn Mb; d gnz psn ptzn d dt. pgn dn dpstt pss t L ptzn d dt d tp psn è sttut d gnz psn, d gnz Bnh; pgn tt dpstt pss t Bnh; d tp psn pstt d sggtt tz pgn su t dtt (zz Assutv d dvt su dt. A v d Gupp nn ntmdt d Stà d Gupp gnz psn, m vdnzt Gstn tmn); n nfmtv quntttv, pn un pgn su dt; qut ntnut d spszn dtz pgn su m; mpssv tpg pnp d t fm d gnz (Assuzn, gnz psn mmss è ppsntt d Fdjussn (v mps fdjussn Fnd d Gnz). Ad gg pm t tg (h mnbus gnz d tp psn ppsntn t 98% d mpt pstt d sggtt tz) ndzn h nmn d gnz qust) sn pstt d sggtt d sgut ptt: gntsn qust Stt svn bnh nt; hst Ent d stt pubb d nt sptt d nmtv/g/gnzztv d m b 0

127 7 Rsh d dt Gvn d Bnh Cnt. tt; Bnh mutt d svupp; L ttvtà h Gupp MS pn n ss Intmd vgt; p sptt d qust gnzztv Imps h dspngn d un vutzn pnp sn ndub ngh d mt d dt d un ECAI sst ttvtà pvst p gnz dvs d un ss d s d vutzn d d mmb. mt d dt nn nf ; Snd nmtv vgnt, bnh h d Aznd pvt, qu t tpg ttn mtd IRB vnzt, pssn ut d nt, dspng d un pbbtà zz gnz m mtgzn d sh d dfut dtmnt n stss g d dt snd du dffnt pp: pvst p gntt. ssttuzn d pndzn d pbbtà d dfut (D) d sggtt Ognsm d gnz ndzn h sn: dbt n pndzn D d Fnd d Gnz p MI gstt fnt d ptzn; d Mddt Cnt ( gnz ssttuzn d LGD unsud n qu d LGD psn. fgu qu gvzn d Mnst d svupp nm ò v In ntmb s mtgzn è mmss s p gnz dtt h p ndzn h D d gnt s mg ntgnz qust p tmt sptt qu d dbt pnp h dg Intmd d sgut ptt); vng spttt vn d mmssbtà SACE SpA ( qut gntt s d gnz psn, snd qu pfgu m gvzn pubb ssbmnt dtmnt su gntt n qunt pvd, ngmnt nn può ss nf qu dtmnt Fnd d Gnz, ntvnt n su gnt. utm stnz d Stt); I Gupp MS, n bs nmtv Sggtt stt n sp ntn d Gupp mnt n tm d pvst d t.07 T.U.B, n qunt CRM, h pvst du dffnt py p Intmd fnnz vgt; tttmnt d spszn h ntn Sggtt stt n un szn d n pvst d t.06 T.U.B psn, y y. h psntn mn un d L y gud tutt spszn h sgunt ndzn: ntn n pmt AIRB, vs mps s d ss sst un tng sn gnz pm hst, pvt, ssstt d gnz psn st d: stn nn nf ; G n pmt AIRB ssstt d gnz Ammnstzn Bnh Cnt; puhè su ptmn, ssstt d Ent Tt; ntgnz, pm hst, d Ent d Stt ubb; u pp M n t s h

128 8 Rsh d dt Bnh Mutt d Svupp; Efftt n bn; Ognzzzn Intnzn; Cnttt utnm d gnz; Intmd Vgt; Dgzn d dbt; Imps h dspngn d un vutz Espmssn; n d mt d dt d un ECAI s A; st d un ss d s d vutz Gnz sn d dtt st; n d mt d dt nn nf Dvt su dt: h nn sn ttumnt mps n dt dfut swp; pmt d md ntn (s. Stà tt tun swps; d ssuzn O.I.C.R.). dt nkd nts. L gnz psn nss d t L dgzn d dbt, spmssn sggtt sn tttt tsnd, spszn sn nsdt vd fn Cdt gntt, d ptfg AIRB ptfg Rsk Mtgtn s zzn fttsp d gnt h n s spf, mmnt, quvnt tsfmnt d dt. pvd mdtà d tttmnt stndd. qunt ttn fnnzmnt nss L y gud tutt qu spszn fnt d ssn d qunt, qust h ntn n pmt AIRB, vs pssn ss tttt m dt ssstt mps pvt, ssstt d gnz d gnz psn, ddv n stuttu psn st d: mpssv d pzn sn sddsftt Imps, tutt qust hst p t fm d vt. ptzn d dt. In qust s spszn gntt vn ppt tss d pdt stmt Cnntzn d gnz ntnmnt p pzn gntt L pnp nntzn d gnz d gnz psn (LGD psn), è gt fnnzmnt p mutu n ug d tss d pdt stmt su nt Rt. Tuttv nn è pssb p pszn nn gntt (LGD unsud). d nntzn d sh n vtù I Gupp Mntpsh tt dvs d ntt d fznmnt d sh, stumnt mpt p tpg d nt. ptzn d dt ssumb n tg d: pzn stt sg d vnz è stt Fdjussn (v mps fdjussn ttvt ggnmnt d v dg m mnbus gnz d tp psn mb ttvs vzn d v md pstt d sggtt tz); d mt mb. L nfmzn su Av; vutzn sn fnt, n dnz nnu, zz fduss; d pt spzzt d stt (ggn Mndt d dt; mnt stdn pssn ss gnt d Ltt d ptng ft/vnnt; vzn sgnftv n bvssm pd). d m b 0

129 9 Rsh d dt Infmtv quntttv I v d sgut spst s fsn mtgzn d sh sn dttmnt qut d spszn d Gupp bn ppsntt n mnm ss vdn nsdt fn d sh d dt, m zt n tb.. n tb... td Stndd mtd IRB, pt d L gnz su pzn gntt d gnz fnnz d gnz p mmb s fsn d mgn ut sn dvt su dt. L spszn gnz vut su t tpg nsdt, sn qu dtmnt sn d pzn. I Gupp Mntpsh nn d g d vgnz pudnz sn vdnz ptu d spszn tmt ntt dg d d mpnszn, I dvt dtz, vd fn d tnh v nn nudn, ptnt, tutt tp d mtgzn. N sgu, ptnt, h v d gnz; d smp, nn sn nus ptt n nn Gnz sn spszn gntt d mmb h dvt su dt s fsn gnz sn gnz nn nsut fn d vut n fm d gnz psn. Tb... Tnh d ttnuzn d sh d dt (Mtd Stndd) d0 Gnz Fnnz tfg gmnt (Mtd Stndd) Espszn vs mmnstzn nt bnh nt Espszn vs mmnstzn gn uttà d04 Gnz sn dvt su dt Gnz Fnnz Gnz sn dvt su dt Espszn vs bnh mutt d svupp Espszn vs gnzzzn ntnzn Espszn vs ntmd Vgt Espszn vs mps Espszn d t sh Espszn stt fm d bbgzn gntt Espszn vs mps bv tmn Espszn n stumnt d pt At spszn Espszn vs tzzzn Espszn vs Cntpt Cnt n fm d ntbut pfnnzt fnd d gnz Espszn vs gnsm d stt pubb Espszn dttg Espszn gntt d pth su bn mmb Espszn n stt d dfut Espszn vs OIC Tt G u pp M n t s h

130 0 Rsh d dt L nn Gnz fnnz fnnz bbttn spszn d tb pdnt ppsnt sh, mnt gnz psn (mtd mpmnt spszn st CRM smpft) tsn tv sh ptt (v su ptfg gmnt d gnt; d spszn nt pst CRM) h ptnt ppsntzn d gnz pt, nv, pt d spszn psn n tb.. è n p sdu nn pt d t gnz. S gnt nn dtmn un bbttmnt d h, n bs nmtv n s d d v d spszn. n tb.. ppzn d mtd ntg, gnz Tb... Tnh d ttnuzn d sh d dt (Mtd IRB) d0 Gnz Fnnz tfg gmnt (Mtd IRB) Espszn vs gntt d mps: d04 Gnz sn dvt su dt Gnz sn dvt su dt Gnz Fnnz MI At Imps Espszn dttg: At spszn: MI At spszn: sn fsh b gntt d mmb: MI gntt d mmb: sn fsh Rttv dttg quft Tt d m

131 6 Rsh d ntpt 6. Rsh d ntpt 6. Rsh d ntpt: nfmzn gn I Gupp Mntpsh pn ttnzn ntpt sttuzn) s d mdtà mntgg d sh ntpt nts ptv d mntgg pst n ss m sh h ntpt d un d Gupp. tnszn, vnt d ggtt dtmnt Rtvmnt ptvtà n sttuzn stumnt fnnz (.. dvt OTC Ov fnnz, mntgg gn th Cunt, pzn suts fnnng d spszn sh ntpt vn tnstns pzn n gmnt ffttut su sng n d dt ung tmn) sut ndmpnt pm u d Untà d Cnt d dffnt d gmnt d tnszn. Untà d Busnss. In snts pss In n n dspszn nmtv, pvd: Gupp Mntpsh utzz mtd ffdmnt d ntpt p qu d v d mt p d sn pvnut hst dg pt v d spszn p dvt OTC d Untà d Busnss, n pd p pzn n gmnt ung vw d mt dfnt; tmn. T mtdg nsst n nsmnt d mt n sstm dstnt gstn; dtmnzn d spszn nt d qu ptnz utzznd v d nsmnt n sstm d ds d mt m spszn ttu ddn gnz snd g stndds ISDA/ gmnt p ppsnt, n md ISMA d tv Cdt Suppt Annx smpft, spszn ptnz futu. (CSA) Gb Mst Rpuhs pzn SFT (suts fnnng Agmnt (GMRA) Gb Mst tnstns) vn ust mtd ntg Suts Lndng Agmnt (GMSLA) n ttfh d vgnz p vttà. sttstt n sun ntpt; N Gupp vngn utzzt tnh ttvtà gn d vf smb d dt sk mtgtn, qu nttng d gnz n ntpt gmnt, t, bk us., n zn v d mt p un sstnz ntnmnt d sh d pszn n ss (Ct ssunt. Mngmnt); D punt d vst gstn ttvtà vf gn dg utzz dg vnt fn d sh ntpt può snfnmnt nh n mdtà ss suddvs n du m sgmnt, tm, nsdnd gnz pstt tt n gn s d ttsth vut; d ntpt (nt dn G u pp M vf pd d pt d funzn n t s h

132 6 Rsh d ntpt d dstnzn d u d mptnz t mmnsttv d us d nttng dffnt tà d Gupp. L ptvtà gnz ng d bt sttstt n dvt pst n ss n nt, n ntpt n s d dfut d pvd stss n zn guspudnz n pdtt d psd d sh d mt ss dg stt d pptnnz. n MS Cpt Svs, n zn, g d tnut gudz ntmnt d fbb s vdnz h n s d bss d gstn psd d sh d dt d tng d Gupp Mntpsh nn ntpt vs nt n Bnh sstn Rt. mptt tvmnt g mpt d gnz d fn n In t sns Bnh Cmm: qunt tutt v d tng mnm dbn fd d d nt; ntttumnt pvst sn stt gà gstsn su pp b sng ggunt n fftt mmdt su mdtà d tzzzn (.. fqunz gn, sg nu pzn; un g sptt dumnt g dmpmnt gmnt; vfn g utzz n gn dg mnmum tnsf munt mt bss). vf d gbtà d gnz ffdmnt dt. fnt d sh d ntpt qunt ttn pdtt fft dn n pù mp gstn d nt, s vn, n tmn gn, un Cdt Rsk Mtgtn dstt s d ttsth mun g pt pgf.. d ptvtà. In pt pdtt A dt d dumnt nn sstn ngzt: mt ptv n tmn d pt nn hnn tt sputv; ntn tv spszn dtz hnn m susv fntà ptu vs ntpt. 06 Gupp d sh; h ntdtt t sk ndt d RAF s ssn d un pszn sttstnt, nh mntgg d mt sug RWA pu stnd d ss ntttumnt gmnt d sh d ntpt. mmnsttvmnt spt; N mbt d gstn d sh d qudtà, vngn ffttut vutzn su vntu ntgzn d gnz hst psntn n gn mtt mnt d mpsstà; nn psntn, n mpss d d ntpt sttuzn n s d pszn mpssv dwngdng d Gupp Mntpsh fnnz. pt, v p fftt dg d d CSA GMRA A fn d du sh ntpt sttstt. d 00 MS Cpt Svs h dt Rtvmnt ptvtà n dvt n ndttmnt svz swp gstt nt dn pss s bs su d ntpt nt LCH.Cnt d m b 0

133 6 Rsh d ntpt Lnd p ttvtà n dvt OTC. vn nftt pt d fnd d gnz L ntmnt su LCH d un pt d d sstm d bkup d LCH. ttvtà n dvt OTC nsnt nftt È n s un ttvtà pgttu p d du nsdvmnt sh d dntfzn gstn d spszn nsvnz n mbt d t ttvtà n n sh d zn sfvv (.. qunt LCH è gnt gst dtt d wng wy sk) p dfnzn d fuss dvnt d nttt. Un vntu tv pth ntn. dfut d un dnt dtt t svz 6. Infmtv quntttv L tb d sgut pt v Mtd d v d mt: dvt d spszn n dvt, pzn pzn n gmnt ung n gmnt ung tmn tmn pzn SFT, suddvs p mtdg Mtd vttà: pzn d vutzn fn gmnt ptfg d pptnnz ntg n ttfh d vgnz p SFT d ntpt. In pt mtd ppt sn: Tb. 6.. Rsh d ntpt: pg d0 d04 Rqust Espszn ptmn Rqust Espszn ptmn Mtd V d Mt Dvt p. n g. LT d u: Mtg Stnddzzt Tt M. Intg Tt d u: Mtg AIRB Tt M. V d Mt Mtd Intg Opzn sft d u: Mtg Stnddzzt d u: Mtg AIRB G u pp M n t s h

134 4 6 Rsh d ntpt N mtd d V d mt (pzn sttstnt nnhé vt sdu d n dvt d Lng tm p) Espszn nttt. In t tmn, ss vn è un v dtmnt snd g d dtmnt su bs d nzn d tutt vgnz pudnz s bs su F vu dvt n ggtt, s n f vu pstv pstv ntt d mpnszn; t h ngtv. I qust ptmn v vn nmntt d Espszn fnt d sh d ntpt, spst dtz dtt n tb sp, è tv ptfg dg fftt dg d d gnz. d ngzzn d vgnz ptfg L Espszn dtz futu tn nt bn d è ptt n p sng d pbbtà h n futu v ptfg gmnt d pptnnz nt d nttt, s pstv, pss nh pgt n tb d qust umnt, s ngtv, pss tsfms ptmn fnt d sh d dt n un pszn dt. T pbbtà mtd stndd mtd AIRB. (f. tb è gt vttà d ftt d mt 4.; tb..). futu (ddn) Tb. 6.. Rsh d ntpt: dvt F vu d pstv (v d bn) F vu ntt mpnst Cmpnszn Efftt d d gnz Espszn Dvt // Dvt // L tb 6... ppsnt f vu d sp tt nttt; ss è ptnt d pstv d nttt, vntgg un v spss d dg d dvnt d mpnszn, f vu d mpnszn. L Cmpnszn ntt mpnst spszn dtz ppsntn mmnt d f vu ntt d Gupp Bn sh d d pstv h, p fftt dg ntpt p g stumnt dvt. A d stput n ntpt, vn fn d tb sn nsdt tutt mpnst n pzn n f vu dvt fnnz dtz ngzt fu ngtv. I f vu ntt mpnst bs (OTC) n quunqu ntpt nd mmnt d f vu pstv h (sttuzn, pt, t,.) sdu dp mpnszn. L tb ndpndntmnt d 6.. mst dstbuzn d f vu vgnz d pptnnz (ngzzn d pstv d nttt dvt OTC p bn). In pt, f vu d tpg d sttstnt. d ptfg pstv spnd v d bn d m b 0

135 6 Rsh d ntpt Tb. 6.. Dstbuzn d f vu pstv p tp d sttstnt Tss d ntss Tut d pt Vut Cdt At Tt Dvt // Dvt // S vdnz h Gupp dt d n dvt su dt ptu d dumnt spszn d ptfg dtz. nn psnt pzn Tb V nzn nttt dvt dtz tfg bn Gupp d dtt Aqust d ptzn tfg d Ngzzn d Vgnz Vndt d ptzn Aqust d ptzn Vndt d ptzn Cdt dfut swp Tt t f tun swp 7.8 Tt // Tt // L tb 6..4 vdnz v nzn d ptzn). d dstntmnt ut dttg sug stumnt dvt p ptfg d vgnz (bn s mnd t E szn..4 ngzzn) p u ssunt d Stumnt dvt d Bn Cnsdt Gupp Mntpsh (qunt/vndt..0. G dvt u dtz, pp M n t s h

136 6 7 Rsh d mt 7. Rsh d mt 7. Rsh d mt d tfg d Ngzzn: nfmzn gn I tfg d Ngzzn d Vgnz s fntà sgnth, n tm d Rsh d (NV) d Gupp Tdng Bk Mt Gupp s vv munqu d sut sttut d nsm d tfg mtdg stnddzzt. d Ngzzn d Vgnz gstt d I mt ptv ttvtà d ngzzn, Cpgupp Bn (BMS) d MS dbt d CdA d Cpgupp, sn Cpt Svs (MSCS). I NV d t spss p sun v d dg n t ntt sn hus sh d mt. mn d VR dvsft t ftt d sh L ptvtà n dvt, ntmdt fv ptfg, d Stp Lss mns d nnu d nt, pvd ntmnt d d Stss. Int, sh d dt d psd d sh d pt d MSCS. tdng bk, t d ss mps I sh d mt d tdng bk vngn n bzn VR n spttv mt mntt p fntà gstn n tmn p pt d sh dt spd, vn s d VutRsk (VR), p qunt nn sggttt nh spf mt ptv d s Cpgupp s t nttà d sh mttnt nntzn bbgz Gupp h hnn vnz m utnm n, h pvdn mssm nzn mkt sk tkng nt. I Cmtt p tpg d gunt ss d tng. Fnnz Lqudtà d Gupp h mpt I VR è t n ntv d d ndzz dn mpssv nfdnz d 99% pd d dtnzn pss d gstn d fnnz ppt d pszn (hdng pd) d un gn d Gupp, ssund nz t g vtv. I mtd utzzt è qu ntvnt gstn d dvs busnss d smuzn st n fu vutn unt. gn d tutt pszn mnt, I tfg d Ngzzn d Gupp su un fnst d 00 vzn sth è ggtt d mntgg ptng d ftt d sh (kbk pd) gn Rsk n smnt gn. I VR sì Mngmnt d Cpgupp, su bs t nsnt d tn nt d tutt d sstm ppt. I VR gstn g fftt d dvsfzn t ftt d vn t n mn utnm sh, ptfg tpg d stumnt sptt funzn ptv, svnds ngzt. Nn è nss ptzz d md ntn d msuzn d p un fm funzn n sh mpmntt d funzn d dstbuzn d ndmnt d ttvtà Rsk Mngmnt stss, n n n nh zn t stumnt fnnz pnp bst pts ntnzn. dvs vngn ttut mptmnt d pt d A d m b 0

137 7 7 Rsh d mt d md VR su bs d ndmnt È p pssb vut VR ung gn st ngunt d ftt d sh. mbnzn d qust dmnsn n md D d pt gv ns mt dttgt punt d vst d dgumnt mtdg, n s d utm tmst d fnmn h nvgn ptfg. 04 è stt ntdtt n md ntn Cn fmnt n pt sk ft s gstn ftt d sh mmdty, dntfn: VR Intst Rt (IR VR), mptnd ppsntzn d sh VR Equty (EQ VR), VR Cmmdty su ptfg fnnz d Gupp. (CO VR), VR Fx (FX VR) d dmnt, fuss d ptng VR Cdt Spd (CS VR). L smm dzn su sh d mt vn gb d qust mpnnt dtmn vt Cmtt Rsh, g Ogn.d. Gss VR ( VR nn dvsft), h Ap d CdA d Cpgupp ffntt n VR dvsft nsnt ntn d Rsk Mngmnt Rpt, d quntf bnf d dvsfzn stumnt ttvs qu At Dzn t ftt d sh dvnt d dtn g Ogn d Vt vngn nfmt n ptfg t su sst ss sk ft mt pf d sh mpssv d nn pfttmnt t. Anh qust Gupp. nfmzn pssn ss nzzt ung L mtpg d ftt d sh tutt dmnsn sp hmt. nsdt ntn d Md Intn I md nsnt d pdu mth Rsh d Mt sn IR, EQ, CO, FX, CS d VR dvsft p nt Gupp, m sgu: n md d pt ppzz n mn IR: tss d ntss su tutt uv ntgt tutt g fftt d dvsfzn vnt, uv nfttv tv h pssn gns t v bnh, vttà; n gn d psznmnt spf EQ: pzz zn, nd bskt ngunt zzt d pt d dvs busnss unts. tv vttà; CO: pzz d m, nd bskt su Vngn nt ndtt gmnt ns d sn pv d stss su v m; FX: tss d mb tv vttà; ftt d sh n v d gnutà CS: v d dt spd. dffnzt p tutt stuttu d b I VR ( VR dvsft Nt VR) vn d ptfg d Gupp p tutt t dsgggt qutdnmnt tg d stumnt nzzt. p fntà ntn gstn, nh sptt L pv d stss pmttn d vut d t dmnsn d ns: ptà d Bn d ssb ngnt gnzztv/gstn d tfg, pdt ptnz vfs d vnt p Stumnt Fnnz, d mt stm, n md d pt p Rsk Fmy. ndvdu msu d ntpnd p G u pp M n t s h

138 8 7 Rsh d mt du pf d sh psv fnnz ssmb qu d tdng (s. ptmn. Tt zn/bbgzn AFS). L pv d stss sn bt n bs I Gupp h mpmntt un stuttu sn st dszn. G sn d tst tspttv mpnt n ttu st sn dfnt su bs d nmtv p Rsh d Mt n ptubzn gstt stmnt su pp sstm d gstn d sh. mt. T sn sn dntft su I bs d un zznt tmp n u vfh ndtt su sutt d md ftt d sh sn stt sttpst stss. VR sptt vzn gn d Nn sn nss pts pt n v d ptfg, fn d vut mt zn f ftt d sh, ptà pdttv d md n tmn d vnd qunt stmnt zzt n utzz d msu d sh pdtt. pd d stss ndvdut. S md è bust, d nfnt L pv d stss bst su sn pd d stm gn d VR dszn nsstn n ptzz n pdt gn d ttvtà d vfs d vzn stm d un ngzzn tv gn sussv, pmt d mt (tss, mb, nd dvbb mg h pdt ffttv zn, dt spd vttà) n sutn sup VR n un fqunz msu spndnt mptt su v nt n qu dfnt d v d d ptfg, psnd d ffttv nfdnz. snt st. Attumnt vngn A u d ttu dspszn nmtv, bt sn d stss dszn A smp (vzn d un s ftt d pptun ffttu tst sgund sh) ngunt (vzn d pù ftt mtdg d bktstng t d sh ntmpnmnt). G sn d ffttv, ntgnd n sstm d dszn smp sn bt p ptng gstn d Gupp. p n md ndpndnt un tg I pm tp d tst (Bktstng t) d ftt d sh p vt, ptzznd h un mgg sgnftvtà sttst n ssnz d ppgzn dg shk g t fmnt vutzn d utzz ftt. G sn dszn ngunt d md VR ( tst nn ntmnt ). mn nv vut mptt d shk I snd tp d tst (Bktstng ffttv) gb h psn smutnmnt spnd sgnz d vf ffdbtà tutt tpg d sk fts. pvsn d md VR n fmnt S ps h mtdg VR sp ffttv ptvtà d Bn (ut dstt è ppt p fntà gstn pdt gn d ngzzn) dput ntn nh qu pzn d d fftt d mtuzn d t ntss tfg Bn mpst d stumnt t gn t t p tt d fftt d tst tspttv Rsk m (bktstng) Mngmnt b h 0 sn tnut

139 9 7 Rsh d mt d mmssn. n gn pszn su tt vngn T sutt dput d &L (f. &L gstt mdnt qust vndt d ffttv ) sn nfntt n VR tt bbgzn mss d stà d gn pdnt. N s n u ttvs stuzn d pszn pdt sutn mgg sptt qunt sntth n stumnt dvt. L ttvtà pvst d md, vn gstt un è vt d ttn un psznmnt.d. zn. ung t su sng mttnt ppu Csun bn d Gupp vnt m un spszn ung t su pt mkt sk tkng nt ntbus stt mg. L ttvtà vn svt dtmn sh d tss d ntss susvmnt n nt pp, n d sh pzz d tfg d bttv d tn ssut, n sptt d Ngzzn mpssv. ut spf mt d sh mttnt Cn fmnt n spf nntzn dbt d CdA. Cpgupp, A d busnss u è Cn fmnt ftt d sh dmndt ttvtà d ngzzn è A pzz AFTCM gsts un ptfg Fnnz, Ts Cpt Mngmnt d pptà d ssum pszn d tdng (AFTCM) ntn d Dzn CFO. su zn, nd m. In gn MSCS ttvtà d ngzzn pszn su tt d pt vngn sn svt d Dzn Gb Mkts. ssunt s mdnt qust vndt d L AFTCM d tt zn s ttvs stuzn d pptà h ssum pszn d tdng pszn n stumnt dvt qutt (s. su tss su dt. In gn pszn futus) OTC (s. pzn). L ttvtà vn d tss vngn ssunt s mdnt svt susvmnt n nt pp, n qust vndt d tt bbgzn bttv d tn ssut, n sptt d s ttvs stuzn d pszn n mt dgt d VR d Stp Lss mns stumnt dvt qutt (s. futus) d nnu. Angmnt p MSCS, OTC (s. IRS, swptns). L ttvtà vn ttvtà d ngzzn sn svt d svt susvmnt n nt pp, n Dzn Gb Mkts. ut bttv d tn ssut, n sptt d nfmzn s nsg d vsn mt dgt n tmn d VR d Stp Nt ntgtv nsdt t E Lss mns d nnu. Infmzn su sh su tv pth In pt AFTCM p nh su d ptu Sz.. Rsh d Tss d ttt bv d pnp uv d tss, Intss Rsh d zz tfg d pvntmnt tmt bbgzn Ngzzn d Vgnz. gsts un ptfg dvt qutt. qunt gud sh d dt N s d 0 sh d mt d psnt n ptfg d ngzzn, tfg d Ngzzn d Vgnz G u pp M n t s h

140 40 7 Rsh d mt d Gupp hnn mstt, n tmn d dtmnnd d nsgunz n utm VR, un ndmnt ttzzt d un u tmst d nn umnt d VR d mnt d vttà nh s n md s Gupp d ps d Cpgupp su è mntnut su v d nn pdnt. msu d sh mpssv. I VR d Fn fn sttmb 0 ndmnt d Gupp è p munqu dmnut p VR è stt pnpmnt nfunzt d ttsts 0 7,6 mn. d u. ntt MS CS p ttvtà d tdng In tmn d mpszn d VR p sk ttvtà gt stuttuzn ptu ft, 0 ptfg d Gupp d pzz. L nmnt d VR fn sttm sut p 0,% t su ftt d b è svb tnszn nsgunt sh d tp Cdt Spd (CS VR), p husu ntpt d pzn stt 6,% è ssbt d ftt d sh d tp g dnmnt Axnd d pt d zn (EQ VR), p 7,7% d ftt Cpgupp, n nsgunt quszn d sh d tp tss (IR VR), p,6% d ntpt Nmu d un ptfg d ftt d sh mb (FX VR) p mpst n pvnz d BT n sst swp stnt,% d ftt d sh d tp d dut fnnz md/ung p mmdty (CO VR). Cn fmnt mpssv,64 md d u. nttà g, sh d mt d Gupp Un pt d ptfg, n v d sutn qumnt dstbut f MSCS dsmssn pt d ms d ttb, (0,7%) Cpgupp (49,%). è stt ssft m Hd f Tdng, d m b 0

141 4 7 Rsh d mt Rptzn d VR VR Gupp Mntpsh tfg d Ngzzn d Vgnz VR Bkdwn p Rsk Ft: //0 VR Gupp Mntpsh tfg d Ngzzn d Vgnz VR Bkdwn p Bn: //0 CS VR; 0,% EQ VR; 6,% IR VR; 7,7% FX VR;,6% CO VR;,% MS Cpt Svs; 0,7% Bn MS; 49,% Andmnt d VR Gupp Mntpsh N s d 0 VR NV d Gupp h VR NV 99% dy n EUR/mn st t un mnm d,94 mn. d u VR Dt d 0 0 d un mssm d 0,80 mn. Fn d 7,6 //0 d u d 0 0 0, gstnd un v Mnm,94 /0/0 md d,68 mn. d u. I VR NV Mssm 0,80 0/0/0 0 è p 7,6 mn. d u. Md,68 N gf h sgu s vdnzn sutt d ptfg d Ngzzn d Vgnz d Bktstng Effttv d Md ntn d Gupp. p Rsh d Mt, tv tfg G u pp M n t s h

142 4 7 Rsh d mt D tst tspttv du 0 mgg 0: gnt ngtv d snd mt (mvmnt vvs d pmt tmst 0 su ptfg d tdng d d mt, n pt mputb Gupp, d u s ptn vdnz: gmnt d dt spd It) 4 p 0: gnt ngtv d mt n fftt vnt su ptfg d (mvmnt vvs d pmt d ntt mt mpt d spszn n pzn Gupp Mntpsh dtt mtdg quty su nd S& MIB ntst t stnddzzt fn d dtmnzn futu ptns su CBOT US 6%) n fftt d qust ptmn fnt d sh vnt su ptfg d ntt d mt, pgt n tb 4.4. snfnmnt n s sutn d MS Cpt Svs. I MS Cpt Svs; d m b 0

143 4 8 Espszn sh d tss d ntss su pszn nn nus n tfg d Ngzzn 8. Espszn sh d tss d ntss su pszn nn nus n tfg d Ngzzn I Bnkng Bk tfg Bn Lqudtà mntt d Cmtt Rsh è spszn d Cpgupp, s bsn n pm ug h nn ntn n tfg d su spszn sh d tss d ntss Ngzzn, n d n bst p un vzn d v nm pt ntnzn, dntf nsm d ttvtà pssvtà d Bnkng Bk d ptvtà mm d Bn ppnd un shft p d bp, nnss tsfmzn d sdnz 00bp d 00bp, qust utm n d d ttv d pssv d bn, d n qunt pstt n snd pst Ts, d f st d dvt d d nmtv d Bs. ptu d fmnt. L dfnzn d L pmt d Bnkng Bk d pss mm d Gupp Mntpsh sn d ntmnt d gstn d ALM bt utzznd, nt, un md sn dspnt d CdA d Cpgupp d vutzn d pst vst n nz n mpstzn dnt dpsts, u ttsth d stbtà d nmtv d vgnz (C. 8 pz nsnsbtà vzn d tss d Bn d It). I fmwk pvd d ntss sn stt dstt n sstm n ntmnt d gstn d Asst & un md sttst/pdttv (ptng Lbty Mngmnt n A Fnnz, ptf) h tn n nsdzn un Ts Cpt Mngmnt (AFTCM) sgnftv s st d mptmnt d Cpgupp dfnzn d nt n psst. mntgg d mt ptv fnt I md d ALM d Gupp Mntpsh, d sh d tss d Bnkng Bk d nt, np n msuzn d Gupp. sh tss, un md mptmnt N mbt d tfg Bn, sn h tn nt d fnmn d mbs ndtt nh tt bbgzn ntpt d mutu (.d. ppymnt sk). ttv dtnut p fntà d nvstmnt, I Gupp Mntpsh è mpgnt n ssft ntbmnt m AFS L&R. ntnu ggnmnt d mtdg qust gggt sn stt sts d msuzn d sh, ttvs un stss mth d msuzn d sh pgssv ffnmnt d md d stm, tss ALM, utzzt p t pst fn d nud pnp fnmn h mm. v v mdfn pf d sh tss L st gstn sttgh d Bnkng d ptfg bn. Bk, dttt d Cmtt Fnnz A pt d gnn 0, è stt ntdtt G sttut u d tutt pp M n msu t d sh s d bnh h

144 44 8 Espszn sh d tss d ntss su pszn nn nus n tfg d Ngzzn un ggnmnt mtdg fnzzt qu vn t spszn d stzz svupp d sh fw d Gupp d sng stà/stuttu mpnnt nn dttmnt tv d stss sh d tss d ntss, sh d tss. I Gupp h ntnut d n tmn d ndt d sh; ffttu p tutt 0 un mntgg pss d mntgg d sh, ts ttnt stnt d v ttsth vf n ntnu sptt d d pf d sh mpssv sp mt ptv ssgnt Gupp n n gn d psnz d pzntà mpss sng untà d busnss; ntttu, d mdtà ptv, sptt pss d nt gstn d sh, h mpssvmnt ndn pf d fnzzt p n ss nztv sh pù dpndnt d ndmnt d dgut d ttmzz pf d mt d n pt d tss d ntss sh d ttv vntu nss d tv vttà. ntvnt ttv. I Gupp dtt un sstm d gvn N mbt gstn d sh d tss h, n Cpgupp nt spnsbtà d nfmtà dspszn d Auttà d dfnzn d pth d gstn d Vgnz, s vv d: Bnkng Bk d Gupp d nt d un md quntttv, su bs d tv sh d tss d ntss. d suddtt sstm Tb. 8 Espszn sh d tss d ntss d tfg Bn Efftt su V Enm (v n /mn) Shft (+/) Efftt su Mgn d Intss (v n /mn) d d4 Eu +00bp 707,9.4,4 64, 6,64 Usd +00bp,97,0,46 8,0 At +00bp,09,0 0,70, Tt +00bp 7,.46,4 68,69 7,0 Eu 00bp 46,44 74,69 4,79 4,40 Usd 00bp 7, 40,9,0 0,9 At 00bp,,4 0,8 0,0 47,80 767,,9,8 Tt 00bp d d4 L nttà d v nm sh sut n gn s d stt d v nsdt m sg d ttnzn d vgnt nmtv. d m b 0

145 4 8 Espszn sh d tss d ntss su pszn nn nus n tfg d Ngzzn L msu d snstvty d mgn d ndt pvsn su v d mgn ntss, s fs d un shk p d ntss. d stntn d uv d tss d +/00 L snstvty d Gupp Mntpsh punt bs. fn 0 psnt un pf d spszn L zznt tmp d ns (gppng sh p un z d tss d ntss. pd) è d dd ms. I md d N pts d un shft d +00 bp d smuzn d snstvtà mgn uv d tss, snstvty tt d v mpnd vut nh msmth nm sut p 7, /mn n gnt d ptfg d tdng (v dmnuzn sptt fn 04. p d fnnzmnt su ptfg I bn). t su spszn n Eu. ut S vdnz m msu d snstvty nfmzn s nsg d vsn mgn spm s fftt d Nt ntgtv nsdt t E vzn d tss su pst ggtt Infmzn su sh su tv pth d ns. Sn ptnt sus pts d ptu Sz.. Rsh d Tss d tv futu dnmh d ttvtà Intss Rsh d zz tfg d pssvtà qund nn può nsds un Bn. G u pp M n Rsh t è psshé s ntgmnt h

146 46 9 Espszn n stumnt d pt nn nus n tfg d Ngzzn 9. Espszn n stumnt d pt nn nus n tfg d Ngzzn L spszn n stumnt d pt nn qufb d nt, gmnt sn dtnut d Gupp p fntà nt ngunt d tt bbgzn sttgh (ptpzn d gupp, stà h nn sn ggtt d ttvtà d tdng. gt n jnt vntu), sttuzn T nvstmnt pssn ss ggtt (ptpzn n sszn d tg, d ssn p quunqu mtv, qu nt d sttuzn gt tt), sgnz d qudtà vzn n tss d stumnt ttvtà ptv d bn ntss, n tss d mb n pzz d svupp d ttvtà mm, d d zn. nvstmnt fnnz (mttmnt ptpzn gt ttvtà d mhnt Ct d szn bnkng ffttut d MS Cpt Svs). L szn nz d ttvtà fnnz Sn nt psnt un ptpzn vvn dt d gmnt p tt d tnut nn pù sttgh d n v d dbt d pt d dt d gzn dsmssn ptpzn n stà n n s d dt. A tt d vzn s d qudzn. nz ttvtà sn ntbzzt L spszn n stumnt d pt f vu h spnd nmmnt nus n tfg Bn vngn spttv ssft fn d bn t Attvtà d st fnnz dspnb p vndt dttmnt ttbub stumnt ptpzn. stss. S szn vvn sgut pgt pvnt mpnsv d tnszn d ssfzn d ttvtà dtnut Mtdg d Vutzn t d sn sdnz, v d szn è ntbzzzn ppsntt d f vu mmnt d Attvtà dspnb p vndt tsfmnt. N s d tt d dbt Ct d ssfzn vntu dffnz t v nz d In t tg sn nus ttvtà v d mbs vn mputt nt fnnz nn dvt h nn sn nm ung vt d tt n ssft m dt, ttvtà fnnz mtd d st mmtzzt. f vu vt nt nm ttvtà fnnz dtnut sn Ct d vutzn sdnz. Sussvmnt vzn nz, In pt, vngn nus n qust ttvtà dspnb p vndt ntnun v ptpzn, nh sttgh, d ss vutt f vu, n nn gstt n fntà d ngzzn vzn nt nm d qut d m b 0

147 47 9 Espszn n stumnt d pt nn nus n tfg d Ngzzn ntss m sutnt d ppzn ut duzn ng sz sussv d st mmtzzt n mputzn qust vngn mputt dttmnt n un ppst sv d ptmn ntt nt nm. dg ut/pdt dvnt d vzn tt d dbt, sn ss qutt d f vu, ntt d tv fftt mn n mt ttv, gstzn d fs, d zn d pdt p un pdt duv nt nm duzn d v. è L vzn d mb tv g stumnt d mttnt d dmp pp nn mnt (tt d pt) sn vt bbgzn qund spnd n spf sv d ptmn ntt, munzn pvst mbs mnt qu tv stumnt mnt sdnz pt. O qund vut (dt tt d dbt) sn mputt s sn ndzn d ss vnt h nt nm. I tt d pt, p pssn st un mptt ngtv su qu nn s pssb dtmn f fuss d ss tts. In mnnz d pdt vu n mn ttndb sn mntnut ffttv nn vn vt un pdt st, ttft fnt d tmnt su tt vntu mnusvnz mn d pdt p duzn d v. ntbzzt n sv d ptmn L vf d sstnz d bttv stttmnt gt ptà ntt ngtv. vdnz d duzn d v vn L mpt d vntu ffttut d gn husu d bn vt n sgut tst d mpmnt è d stuzn nfnnu. Indt d gstt n nt nm m st un pssb duzn d v sn, d d sz. smp, sgnftv dfftà fnnz Qu mtv d pdt d v sn d mttnt, ndmpmnt mnt mss sgut d un vnt vfts pgmnt dg ntss d pt, sussvmnt pssbtà h bnf dh duzn d v, vngn ffttut fmnt n n un t pdu ps d v ptmn ntt su tt nsu, smps d un mt d pt d nt nm su tt ttv p ttvtà. In pt, p qunt d dbt. svutzn vzn d nn tt d pt qutt n mt ttv, è nsdt vdnz bttv d Ct d nzn duzn d v psnz d un pzz L ttvtà fnnz vngn nt d mt dt d Bn nf qund sdn dtt ntttu su sptt st gn d qust d fuss fnnz dvnt d ttvtà mn 0% psnz pungt stss qund ttvtà fnnz vn p t ms d un v d mt dut tsfnd sstnzmnt tutt nf st. Qu s vfhn sh bnf d ss nnss. I tt G u pp M n t s h

148 48 9 Espszn n stumnt d pt nn nus n tfg d Ngzzn vut n mbt d un pzn h T ps sn mputt nt nm ntttumnt sussv n s d dt tt d dbt d vndt tt nsgnt n mbt ptmn ntt n s d tt d pt. pvd d un pzn h ntttumnt pvd sussv qust nn sn tpzn spttvmnt, vt nt d Ct d ssfzn bn. D nsgunz, n s d tt Sn nsdt gt, è sttpst qustt n d d vndt mpt d nfunz ntv, mps n qu pgt vn vt n bn m Gupp dtn un qunt pù d dtt dt vs nt bnh, mnt n d vt (v nus dtt d vt ptnz) s d tt dut n d d qust n qu h pt d ptp pssvtà vn vt n dbt vs dtmnzn d pth fnnz bnh nt. gstn. Sn nt nsdt gt mps n qu pu n un qut d Ct d vzn d mpnnt dtt d vt nf Gupp h p ddtu t d ptp dtmnzn d A mmnt d dsmssn, d smb pth fnnz gstn n vtù d n t stumnt fnnz n psnz d pt gm gud, m, d sm un pdt d v vt n sgut tst p, ptpzn ptt d sndt, d mpmnt, sutt d vutzn ptpzn vnt mtt d s umut n sv tv ttvtà tà ptpt nnhé psnz d dtt dspnb p vndt vngn vst d vt su dsn sgnftv. nt nm: Sn nsdt ntt nguntmnt n v 00 Ut/pdt d mps p qu sn vft qust/ssn d: b) ttvtà fnnz ntmpnmnt sgunt stnz: dspnb p vndt, n s d v s un d sttstt h ttbus mptpzn dsmssn; n v 0 Rttfh/ps d gstn d ttvtà d ptpt v ntt p dtmnt d: b) tmt psnz n stss Cnsg d ttvtà fnnz dspnb p Ammnstzn; vndt, n s d vzn d un nssun d pt dnt d n pdt d v. dtn nt susv; Qu mtv d pdt d v sn dsn tv ttvtà vnt mss sgut d un vnt vfts sn ssunt unnmtà d pt sussvmnt d dntft (sun pssd un dtt duzn d v, vngn ffttut d vt mpt spt su dsn ps d v. vnt). vzn d m b 0

149 49 9 Espszn n stumnt d pt nn nus n tfg d Ngzzn Ct d szn fnnz futu h ptpzn ptà L v mpnd ntssnz dtnut gn, nus v d dsmssn n stà gt n jnt vntu; t fn d nvstmnt. ptpzn Qu v d up sut nf tt d vzn v ntb tv dffnz è nz sn stt st d qust. vt nt nm nsdt Ct d vutzn d vzn d n v 40 Ut/pdt d mpnnt ddtu ptpzn. Qu mtv d Stnt qunt sp v g pdt d v sn mss sgut d sstnzmnt d un vnt vfts sussvmnt ptpzn n mtd sntt d vzn d duzn d v, vngn ptmn ntt; mtd d ptmn ffttut ps d v n mputzn ntt pvd szn nz d nt nm n stss v. vutzn ptpzn st d su sussv dgumnt su bs d qut d Ct d nzn ptnnz L dg ut d pdt ptpzn vngn nt mpssv d ptpt nsgut dp qund sdn dtt ntttu su dt d quszn. I pqut d sutt fuss fnnz dvnt d ttvtà stss d sz d ptpt è vt n qund ttvtà fnnz vn dut v 40 Ut/pdt d ptpzn tsfnd sstnzmnt tutt sh d nt nm nsdt. bnf d ss nnss. S sstn vdnz h v d un S un mps è mpgnt n un pn d ptpzn un ssn h mpt pdt d nt duzn, s pd stm d v su un ptpt, tutt ttvtà pssvtà upb d ptpzn stss d ntt dvn ss ssft t ppsntt d mgg t f vu ttvtà dstnt vndt, nh s dp ntt d st d vndt v d us. ssn mps dtà n un qut I v d us è v ttu d fuss ptptv mnt n ntt. pss v subt Infmzn quntttv N tb sn vdnzt spszn n d d Fnd p. stumnt d pt suddvs p ptfg L v d ttvtà fnnz dspnb ntb d fmnt. I v s fsn p spszn ntb d Gupp nus ptpzn u qut d ntssnz n tfg Bn nn mpndn sutn nf qu d nt d spszn n stumnt d pt gmnt. vndt f fmnt (ptpzn) h vngn ddtt fn G u pp M n t s h

150 0 9 Espszn n stumnt d pt nn nus n tfg d Ngzzn Tb. 9. Espszn n stumnt d pt nn nus n ptfg d ngzzn Cnsstnz..0 V d bn Tpg spszn/v Lv V d mt F vu Lv / Lv Lv / Lv A. tpzn X B. Attvtà fnnz dspnb p vndt Ut dt us (+) Mnus () us/mnusvnz nn zzt stt ptmn ntt Ut/pdt zzt X X X = dt nn vzzb L v tpzn mpnd nh ptpzn Fbb Immb ssft n bn t ttvtà n v d dsmssn p,6 m. L v Attvtà fnnz dspnb p vndt mpnd nh ptpzn AFS ssft n bn t ttvtà n v d dsmssn p, m. I Gupp dtn, t spszn n qund nus n ttvtà dspnb p stumnt d pt sp ndt, nh vndt fn ntb, pgt n qut d O.I.C.R. p,8 mn d u tb 9.. nn dstnt fntà d ngzzn, Tb. 9. Qut d O.I.C.R.: mpszn p pnp tpg Tpg d0 d04 Azn Obbgzn Bnt Hdg funds vt Equty Immb At Tt.8 d m b.6 0

151 9 Espszn n stumnt d pt nn nus n tfg d Ngzzn In pt qut d OICR è sttut bk d mbs tt d qut d un p mgg pt d ntssnz fnd mmb d tp hus svt dtnut d Cpgupp n fnd d d nvstt quft (dtnut d pvt quty, u sp è nmnt ntt MSCS. d v d spttv ptmn ttvs L spszn mssm sh d pdt pzn d nvstmnt pnpmnt è stt ndt n msu p v d md ung dut vnt p ntb p spszn n qut d OICR ggtt, n v pvnt, qust / dvs d dvt fnnz dtz p sttszn d zn, qut, n gn qu fmnt è f vu pstv d tt ppsnttv d pt d sh nmntt d ddn ( t tnnd d mps tgt, tutt n ntss nt nh d pszn n f vu susv dg nvstt. L pt sdu ngtv). A fn d d qust d ptfg d OICR d Cpgupp ptmn p t spszn s pp è sttut d hdg funds, n pt mtd stndd. sd pkt, fnd n qudzn hd G u pp M n t s h

152 0 Attvtà vnt nn vnt 0. Attvtà vnt nn vnt gnz mgn nz; L nfmtv tv ttvtà vnt nn vnt d Gupp è stt dtt. ss stumnt d bn nt su bs dg ntmnt d (nt bnks fts); ttvtà shm dffus d EBA 7 gugn ppsznt (ppstnd ssts) 04 n nz n dspszn d dvbb ss tnut nn vnt t tt Tt II d Rgmnt UE susvmnt qu bn nt (CRR 7/0). A t fn, un ttvtà pmtt t d ttvtà pst è nsdt m vnt s è stt gnz snz pvntv ppvzn; mpgnt vv s è ggtt d un d f. ttvtà sttstnt pzn d p fn fm d gnz suppt d tzzzn, ddv ttvtà dt un pzn stt n bn fnnz nn sn stt mnt fu bn d qu ttvtà nn ntbmnt d ttvtà fnnz pss ss tt bmnt. L ttvtà d nt; ttvtà sttstnt tt mpgnt u t è sggtt quss ntmnt tttnut nn s nsdn tp d stzn, m ttvtà h vnt, mn h qust tt nn hdn pvntv ppvzn pm sn n quss md mpgnt pst d ss tt ssttut d t ttvtà, gnz d un pzn; g. ttvtà nus n gggt d ptu sn tnut vnt. Gnmnt s tngn vnt sgunt nttt: (v p) utzzt p mssn. pzn d fnnzmnt gntt, d bbgzn gntt; ttvtà mps nttt g d d vndt sttstnt bbgzn gntt s n ptt d qust, pzn d nsdn vnt, d zn d nssn d tt n pstt t dtmnt stuzn n u nt dtn fm d pstt gntt; bbgzn gntt spndnt d u t d CRR. b. nttt d gnz, p smp gnz fft gnz d v D sgut s pt mpt d ttvtà d mt d pzn n dvt;. gnz fnnz h sn sstnut vnt d qu nn vnt p tp d d gnz (fnn gunts tht ttvtà, nfmmnt md A dg tsd); ntmnt EBA d 7/06/04 bst d. gnz pstt n sstm d su v mdn d dt tmst. L mpnszn, n ntpt nt ttvtà vnt ndt s fsn n t sggtt h fungn d ttvtà stt n bn h sn stt nfstuttu p mpgnt tsft snz ss mnt ss svz, v mps fnd d ntbmnt tmnt vnt, nnhé m ndzn d m b 0

153 Espszn n pszn vs tzzzn gnz vut h sddsfn ssn nfmmnt dspn ndzn p vzn su bn d ntb ppb. Tb. 0. Attvtà V ntb d ttvtà vnt Attvtà F vu d ttvtà vnt V ntb d ttvtà nn vnt d u: Stumnt d pt d u: Tt d dbt d u: At ttvtà F vu d ttvtà nn vnt L tb d sgut ppsnt mmnt gnz fnt d pzn d pstt d ttvtà h nn sddsfn ndzn tt d CT ttv, mps tt d p ss stt n bn, tpmnt pp mssn qustt. Tb. 0. Gnz vut F vu d gnz vut d pp tt d dbt mss dspnb d ss vnt F vu d gnz vnt vut tt d dbt mss Gnz vut d u: Stumnt d pt d u: Tt d dbt d u: At gnz vut Tt d dbt mss dvs d pp vd bnd tt ABS L tb d sgut pt mmnt dvs d CT tt d dbt mss. d dvs fnt d gvm, f u sn d L ttvtà ptt s fsn qu nnvs m pù vnt p Gupp stt nn stt n Bn. MS CT pssv, dpst tzzt Tb. 0. Bn vnt / gnz vut pssvtà sst ssvtà spndnt, pssvtà ntngnt tt pstt Attvtà, gnz vut tt d dbt pp mss dvs d bbgzn gntt ABS vnt V ntb d pssvtà fnnz sznt I fnmn quntttvmnt pù vnt MS è ttvtà d t mdnt CT ps n tmn d mpgn d ttvtà p Gupp sv su mt sttuzn n nt. G u pp M n t s h

154 4 Espszn n pszn vs tzzzn. Espszn n pszn vs tzzzn. Infmzn gn N mbt d pzn d tz Opzn d tzzzn n sns zzn Gupp Mntpsh p s sttt m gnt, mdnt mssn d Qust tpg d pzn n gn p tt d tzzzn pp, s m vd ssn d un ptfg dt stt nvstt, mdnt sttszn d t n Stt ptmn d bnh d Gupp t d tzzzn d tz. Ad gg, d un stà v SE (Sp ups Gupp nn h pmss m spns Entty). L SE su vt fnnz qust un ttvtà d tzzzn. d ptfg ttvs mssn d L ttvtà d tzzzn pp può s mnt d tt bbgzn (ABS Asst s dstnt t: Bkd Suts), gntt unmnt d pzn d tzzzn gnt ttvtà vut, vs Gupp Mnt d n bttv d nsgu vntgg sh (dnt) spttv nm t nm gudnt ttmzzzn tnut. G mpgn ssunt vs sttst d ptfg dt, dvsfzn t vngn sst utzznd fuss d ss d fnt d fnnzmnt, duzn gnt d dt dut. d st mntzn d s D sgut ssumm pnp p dnz ntu d ttv n qu d zn d tzzzn (tdzn, n pssv (tzzzn n sns sttt). qunt gupp nn h ffttut pz pzn d tzzzn fnzzt n d tzzzn sntth) h fnn dvsf ptnz g stumnt pt d qust tg, gnt ng nn d fundng dspnb, ttvs ts pdnt n ss Dmb 0, fmzn d dt dut n tt dstnt p qutà/tpg d sttstnt fnnzb (uttzzzn). L p stà v: pzn d ut tzzzn s tzzzn d dt pfmng: nqudn n pù gn pt d Spt Mtggs S (00, B Sp ffzmnt d pszn d qudtà t); d Gupp nn ntn n t Sn Mtggs 07 S (00, BMS); zzzn n sns sttt n qunt nn Csft S (00, BMS); tsfsn sh stn d Gupp. Sn Cnsum (0, Cnsum.t); t mtv, dt num tv Sn Cnsum 0 (0, Cnsum.t); qust pzn nn sn nus n t Sn MI 0 S (0, BMS) tzzzn d t ttvtà: b ptt n szn quntttv. d m b 0

155 Espszn n pszn vs tzzzn Gnzg Fnn S.. (000, BAM) un mpt d, md. L Stà V Sn Mtggs 07 è dtnut p hus 6 fbb 0. 9% d Sthtng Cnv, fndzn Spt Mtggs S d dtt nds, p mnnt d Spt Mtggs S è un tzzzn Cpgupp. T stuttu pmtt d g gnt d Bn p d Spt nt ndpndnz d v. (B Spt), ntt d Cpgupp A //0 dbt sdu mmntv Bn MS fn ug 0. A pt, md. d t dt è stt dspst sgmnt I nvmb 00, Sn Mtggs 0 d d ps n SptCdt 7, p fnnz quszn d t pt Svz Stà Cptv vnt d g fg, h mss tt RMBS (Rsdnt gtt un tt mpssv d n Mtggs Bkd Ftng Rt Nts) zn dn d Bn p d Spt n sgunt tnhs: SpA u h ftt sgut ust d stss d pmt d Gupp MS. tnt tzzzn Spt Mtggs S nn Rtng Fth/ Mdy s Cntv mpssv ( /mn) A Sn AAA/A 9,00 A Sn AAA/A 400,00 A Sn AAA/A.666,90 B Mzznn NR /C 87,60 NR/NR 06,6 Css/ Tpg tt nt pù t tzzzn pp bnsì t tzzzn d tz. L tzzzn d dt pfmng Spt Mtggs S vdnz /0/0 un dbt sdu d 0,04 md n C Jun vmb 0 stà v h mbst 00% d tv sn nts nzt L ss A, A, d gg ntmnt pgt, mbs d mzznn. n stt dut su mt, mnt N s d 00, u d ps stnt ss d tt mss d v d mt up dg ABS n tt sn stt nzmnt sttstt d d nsgu vntgg nm n gs Cpgupp sussvmnt, n è stt tn d ttvtà d sv, sn stt f dut su mt un pt (d Css fttut du ut tzzzn, md A). T ssn nn h mptt nt v Csft S Sn Mtggs dgntn d dt sttstnt d bn 07 S. d Cpgupp (dnt), qu h mntnut n sstnz tutt sh bnf nnss pptà d dt dut. Sn Mtggs 07 S.. L pzn è stt pfznt 0 sttmb 00, n un ptfg st Csft S tut d 4.97 mutu n bns sdnz I sttmb 00 Gupp MS, n d BMS d t bnh d Gupp p bttv d vzz pt d ptmn G u pp M n t s h

156 6 Espszn n pszn vs tzzzn mmb stumnt d Gupp, h Immb d Csft. L quszn fmzzt d un ut pzn d nt è vvnut ttvs tzzzn p un mpt d,7 quszn n du stp d 00% dg md d u. L pzn s è ntzzt Stumnt Fnnz tptv (SF) fn Dmb d stss nn n mss d mt d tt d Css ssn stà v Csft S Z mss d Csft p un ntv d dt gnt d fnnzmnt d 70 mn. A fn 0 sutn pt nss stà nst t pss nvstt tz 0,0 mn mt Gstn ptà Immb. d u d Nts Csft Css A, stt A //0 dbt sdu p n v 0 Tt n zn d,6 md. pssv d stt ptmn nsdt. Cn fmnt t tt Gupp I Dmb 00 stà v è mpgnt qust tt dg Csft s nvstt d un pzz t n bs ntmnt dtnut d Sthtng mt spd quvnt d mssn. fftt n sd n Amstdm) h mss tt d quszn d nt d stà d tp sst bkd (ss A, B Z) n Csft, qust utm vn nsdt n sgunt tnhs: bn d Cpgupp. L pzn s S (n pt Rtng Fth Cntv mpssv ( /mn) A A.6,64 B NR 0,00 Z NR,00 Css/ Tpg tt nqudn n mbt d ttvtà pvst p stuttuzn d pzn Chnt Css, ntnut n n d Rstuttuzn ppvt d d pp Cpgupp Cnsg d Ammnstzn n dt 7 ttb 0 I tt d ss B Z nn sn ggtt d sussvmnt d Cmmssn fft pubb sn fft nvstt Eup n dt 7 nvmb 0. pfssn / quft. I dt sttstnt pzn Sn Cnsum S d tzzzn è stt nt E un pzn d tzzzn ntgmnt d bn d Cpgupp, ffttut n 0, ntzzts n n qunt sh bnf d ss nnss ssn stà V Sn sn stt tsft stà v t Cnsum S d un ptfg sttut h n fm nh n sstnz. L d n d pstt psn, ntt MS Cpt Svs dtnv utns, pstt fnzzt gnt d n ptfg nts d ss A B. A fn Cnsum.t S.p.A. d, md d u. Dmb 0 Gupp MS h qust A dt d 0 dbt sdu nt d mt Gstn ptà mmnt,07 mn d u (n d m b 0

157 7 Espszn n pszn vs tzzzn pstt n ss). ( dstt sussvmnt), n s fnnz qust d t ptfg d sz Cpgupp su V h mss tt RMBS; ss ntt nn hnn fnt sstgn A è stt t pss un Invstt fnnz d t tp, snz ss Isttuzn, mnt mnnt ss bbgt d nttt. Nn v sn s d d tt mss sn stt sttstt sstgn fnnz d t tp un nttà d Ognt. stuttut pdntmnt nn nsdt, L ssn d ss A nn h mptt p u sstgn h dtmnt nt dgntn d dt sttstnt d d nttà stuttut d pt d Gupp. bn d Bn (dnt), qu h I Gupp nt nn h ntnzn d mntnut n sstnz tutt sh fn sstgn fnnz d t tp bnf nnss pptà d dt stà v p tzzzn dut; d nsgunz, n ntptt d nsdt, nus ntnzn d ssst qudtà nsst n ssn è stt nttà n ttnmnt d sstgn stt un pssvtà vs V. fnnz. L Cpgupp n qunt fnnzt subdnt, vfs d un Cmmngng Opzn d ut tzzzn Rsv Tgg (Rtng MS < BBB p Qust tpg d pzn pvd Fth BBB (w) p DBRS), ptà ss ssn d ptfg d dt gnt d tnut vs v mpt d bnh d Gupp d un stà v, Cmmngng Rsv fn d un mssm qu su vt fnnz qust mdnt d 88 mn d u. L Cpgupp h mssn d tt Rsdnt Mtggs nt st un gnz fv Bkd Ftng Rt Nts (RMBS). L d tttà d tt RMBS mss è sttstt x ntt Cnsum.t S.p.A (gg npt), psd d tt d svgmnt d ttvtà d sv, p un ntg nsnt Cpgupp, pu nn mmnt mssm p mn t 00 pmttnd d ttn qudtà dtt d mn d u nzn n ss d ss mt, d dsp d tt utzzb p A ( p 86,6 mn d u Dmb pzn d fnnzmnt pss BCE 0). S vdnz nfn h, n s d p pzn d pnt nt tmn, sz d pt d Ognt d ftà mgnd mgn d suzz fnt d mbs ntpt, Cpgupp d sh d qudtà d Gupp MS. è tnut pg sttstt sn Inftt pzn d ut tzzzn g vntu st gguntv dvnt d pmttn d spp fbbsgn d suddtt mbs. qudtà ttvs ttmzzzn dg tutt tzzzn sp ndt ssts mmdtmnt dspnb. I tt p qu zzt n s d 0 stnzb n tng AAA (ttvtà gb) G u pp M n t Cpgupp. L s sttszn h

158 8 Espszn n pszn vs tzzzn ppsntn, nftt, nu pnp nmn d 8, md mdnt d ptà d f fnt g mpgn v Sn Mtggs 096 S. T bv ttvs stumnt pntmnt pzn hnn t ttvtà gb qudb. //0 p mpssv 4,9 md. In qust tt, d sn stt zzt nqu pzn d ut L pzn d ut tzzzn nn tzzzn d dt pfmng p ntbusn dt num nst un mpt mpssv d 0, md n tb sussv d nfmtv du pzn d uttzzzn quntttv, n qunt m gà dtt utzznd ptfg d fnnzmnt pzn n qustn nn sttusn p md mps gt d tzzzn n sns sttt. MS Cpt Svs Bn p Imps Sp (MS CS) d ptfg d Lsng Ctzzzn pfznt n s d ntt MS Lsng & Ftng, d 0 p un mpt mpssv d,4 md. N s d 0 sn stt zzt Qust utm du n s d 04 sn nuv pzn d tzzzn stt stnt. D sgut pzn d ut d è stt ptt vnt pgmm d tzzzn n ss 0 h mssn d bbgzn bn gntt. psntn un dbt sdu p 6,7 md. Sn Cnsum 0 S Aut tzzzn d dt pfm I 7 fbb 0 stà d Gupp, ng (mutu pt): Cnsum.t, d gg npt n Bn Sn Mtggs 07 S (007); Mnt d sh d Sn S.p.A., h Sn Mtggs 07 /Bs S (008); ffttut Sn Mtggs 09 6 (009); tzzzn n ssn d un Sn Mtggs 09 6/Bs S (009). ptfg sttut d n pstt un snd pzn d psn, ut fnzzt tutt gt L pm du pzn, gudnt mutu d Cnsum.t. A dt d 0 pt sdnz n bns, sn stt dbt sdu mmnt.06,7 mn d ffttut n Dmb 007 (, md) u (n. 98. pstt n ss) n mz 008 (,4 md) p un mpt L pzn è stt ffttut p ttmzz mpssv d 8,6 md, mdnt qudtà d Gupp. v Sn Mtggs 07 S. fnnz qust d t ptfg N s d 009 s sn ggunt du V h mss v ss d tt ABS, nuv pzn ( 4,4 md fbb 009 d u Css Sn è stt t pss 4, md gugn 009), gudnt un Invstt Isttuzn mnt Css dt n bns p un mpt mpssv Mzznn Jun sn stt sttstt d m b 0

159 9 Espszn n pszn vs tzzzn d Bn. L nuv tzzzn nn h mpt I tt nn sn dtt d tng. dgntn d dt sttstnt d L ssn d ss A nn h mptt bn d Bn (dnt), qu h dgntn d dt sttstnt d mntnut n sstnz tutt sh bn d Bn (dnt), qu h bnf nnss pptà d dt mntnut n sstnz tutt sh dut; d nsgunz, n ntptt bnf nnss pptà d dt d qudtà nsst n ssn è stt dut; d nsgunz, n ntptt stt un pssvtà vs V. d qudtà nsst n ssn è stt Opzn d tzzzn d tz stt un pssvtà vs V. I Gupp pt d pp pt Sn MI 0 S g nvstmnt mb, n bttv A fn d ttmzz pf d qudtà d: d Gupp, 6 gst 0 è stt nt ttn un ndmnt tt p un tzzzn d dt vs p sh sgnftvmnt sup md mps gnt d BMS. st d pt t n md d A fnt d tzzzn, 6 gugn gn v p g znst; 0 BMS h dut stà V dvsf sh sptt g t sh Sn MI 0 S, un ptfg d fnnzmnt n bns gt p tp d ttvtà mm; mntn un mptnz ppfndt md mps tn, hgf ssstt ggnt su dnmh d d pt, sttut d n mutu mt fnnz h, nvtbmnt, p un mpt d.00,7 mn d u. ndznn nh mt dmst A dt d 0 dbt sdu n u Gupp p pvntmnt. mmnt.60 mn d u (n..777 pstt n ss). L ttvtà è psdt d A Fnnz, fnnz qust d t ptfg Ts Cpt Mngmnt d è svt V, n dt 6 gst 0, h mss n un mp v sptt d pssb tt ABS; ss Sn AA, AB sn mbt d mt fnnz fn d stt t pss nvstt sttuzn, bnf d dvsfzn d sh mnt ss AA AB sn stt d mn spszn sng stt: t pss Bn Eup dg d nvstmnt n mt d Tt d Invstmnt. L mnnt ss d tt Stt, zn d mb, ptvtà mss sn stt sttstt d Ognt. n mt d mssn bbgzn (Bn dnt) pt n dt dvtvs. L Css Sn Mzznn sn dtt d In tng d Mdy s d DBRS. tzzzn d tz sn ffttut G u pp M n qust mbt, t g nvstmnt s h n

160 60 Espszn n pszn vs tzzzn n nz n suddtt pnp d fnt d sh d mt (sh spf) dvsfzn n suppt nh d tv spszn vs tzzzn un dsk spst d ntt Mps t n tfg d Ngzzn fn d Cpt Svs. I pss d nvstmnt Vgnz. pt d ns d td n un g N mbt bttm up s nss ntn d spszn pndt p sh vn mpssv mntgg d sh v t ttbund spszn vs d ptfg. Cm tutt ptvtà n tzzzn mt mb, nh t nvstmnt tfg d Ngzzn d Vgnz) un sn sggtt mt d sh dfnt pndzn h dpnd d tng ttbut d CdA mntt qutdnmnt d un ECAI. L ECAI utzzt d Gupp d Busnss Cnt Unt d Rsk p pszn vs tzzzn vnt Mngmnt; sn dfnt mt d Stp tng bv tmn p pszn vs Lss, mt d sh mt nmn d tzzzn dvs d qu vnt un mssm spszn p mss d tng bv tmn sn d sgut nt: mttnt, dffnzt p tng. Fth Rtng Ltd, d mtd stnddzzt, (tfg Bn Mdy s Invsts Sv Ltd, Mtd d d spszn Stndd & s Rtng Svs, pndt p sh DBRS. I Gupp MS fn d d qust N mbt d mtd AIRB, vn dttt ptmn fnt d sh d dt Supvsy Fmu Apph (SFA) p tv pzn d tzzzn pzn d Tnhd Cv, nus n tfg Bn pp D mtd stnddzzt mtd AIRB. tzzzn gnz h n fnsn I mtd stndddzzt vn dttt tv tng. sgut s pt n d nh p d qust ptmn d m b 0

161 6 Espszn n pszn vs tzzzn Tpg () Agnz d tng CREDITI ERFORMING Mdy s Invsts Sv Ltd SOLETO MORTGAGES (B SOLETO) Stndd & s Rtng Svs Fth Rtng Ltd SIENA MORTGAGES 07 (BMS) Mdy's Invsts Sv Ltd Fth Rtng Ltd CASAFORTE (BMS) Mdy s Invsts Sv Ltd N.R. SIENA CONSUMER (CONSUM.IT) N.R. N.R. SIENA CONSUMER 0 (CONSUM.IT) N.R. Mdy s Invsts Sv Ltd SIENA MI 0 S (CONSUM.IT) DBRS Rtng Ltd ALTRE ATTIVITÀ Mdy's Invsts Sv Ltd GONZAGA FINANCE (BAM) Stndd & s Rtng Svs () F pnts stà gnt. th ntb stà v, pu n psnz d fm I tttmnt d Bn d pzn d tsfmnt d tttà gud d tzzzn pfznt ntmnt dt, vngn mntnut n p dnt pm ppzn d pnp ntb s sstnztà d sh bnf s ntnzn (Fst Tm Adptn F.T.A.) nt su fuss fnnz dvnt dg nn è vt n bn n qunt stss dt, qu, ptnt, nn vngn Cpgupp s è vvs d snzn nt d bn d dnt. In t fttv pvst d IFRS, h nsnt s vn gstt un dbt n nfnt d nn sv ttvtà/pssvtà fnnz d stà v ntt d tt mss dut nt ntmnt d stà stss qustt d dnt. gnn 004. tnt dt sttstnt Anh nt nm ftt g stss pzn nt ppzn F.T.A t d ntbzzzn. tnt, fn sn stt nt d bn d d dg ssbmnt ptmn, dnt (dgntn). L tv jun dt mngn n ttvtà pndt sttstt sn stt ssft n v d Gupp m s nn fss stt dut. dt. pzn pfznt n dt L un zn t pzn d sussv ppzn dg F.T.A n tzzzn pfznt dp F.T.A. qu gnmnt vngn dut dt n ss 0 è ppsntt d G u pp M n t s h

162 6 Espszn n pszn vs tzzzn Csft S, u dt sttstnt è stt I Svz Cdt Sp Ctzzzn nt ntgmnt d bn d dg, n d n t bnh Cpgupp n qunt sh bnf d gnt d Gupp, psptt pgtv ss nnss sn stt tsft stà d dt d ptfg dut (tt pt). v t h n fm nh n I Svz ALM & Cpt Mngmnt, sstnz. n mbt d gstn d ttà, L ut tzzzn, d punt d vst sgn mptnt funzn s p ntb, nn mptn dgntn qu sn vvsb ptnz sh p d ttvtà sttstnt. ptt d nts. L A Rvsn Intn, n qutà d Sstm d Cnt Sgnzn gn d nt d tz v, vf At Dzn pdmnt, n ns mpn: I pss d gstn d tzzzn ttzz d gd d upbtà è ssstt d un spf dttv ntn ttbut h ssgn mpt spnsbtà n ttbut v stuttu, n d Cpgupp dfns mptmnt tt ndvduzn d u d gn dn ttvtà p spnsbtà; pzn d tzzzn. I Gupp nfmtà d pdu nfmtv/ un ppst ntb stuttu pss A Svz Spst pfmng. dspszn vgnt, vntu t stuttu; dfn t g p gstn tzzzn vvnds nh d bzn d d Cdt Cpgupp n funzn d d vvnut suzn d nt d L funzn ALM & Cpt Mngmnt sttut dut vu d tt mss; fs d pss. h dt nsguntmnt ttzz d f dvs stuttu gnzztv nvt n Mntpsh sstnz d vntu s d nftt d In ntss n nfnt d ptt d pt ntn d t A Svz Cdt Sp Ctzzzn dfns tt; sptt, n ns mpn, ptvmnt n gud undn g dg dmpmnt pvst d Lgg sptt g dmpmnt gt ttvtà d 97/9 sussv mdfzn. L svng. tzzzn nn pfmng vn sn nv sgut d A Rup ttvs Cdt, mnt ttvtà nnss vzn pdh (mns tmst) tzzzn d dt gnt d d fuss d nss d pt sdu, d t Stà ntt (n pt mstà d pszn n ntnzs Mps Lsng&Ftng) sn gstt d gnt d t tzzzn. mdsm. L ndmnt d stntmnt t pzn mntt d m b 0

163 6 Espszn n pszn vs tzzzn th d ptu d sh ttzz qutà d pmt d qunt nn pdu p mt nst ng pptv d Fnt mntgg d sh tv d pzn Off d Mkt Rsk Mngmnt d tzzzn pp, Bn utzz ntndn fqunz qutà g stumnt d nt gà sstnt p d ggnmnt. dt n ptfg. In dmpmnt L qunt dspst d Istuzn d Vgnz tdzn pzn d ut mnt d Bn d It n mt, tzzzn d u gupp è gnt Bn vf h pzn n sn vnt nh fn d mntgg mpss sn gstt n nfmtà d gstn d sh d qudtà. L gg psptt nfmtv. tzzzn sn stt utzzt d N stuttuzn d pzn, mpt Gupp ng utm nn pvntmnt Svz ALM & Cpt Mngmnt, n n bttv d tsfm n fm bzn n Ang d n d t g ttv mm, utzznd n stuttu tnut d sst, p fnnzmnt pss BCE p funzn Cnt Qutà d Cdt pzn d pstt tzzt. qu d Rsk Mngmnt, pt ttmzz ffnz nmtà d ppvzn Fnnz qust pzn un u, hst n dfnzn d sttg d hdgng stuttu, sn svt gnmnt d vntu s d un bk t bk stss bn gnt. In pt, u swp fn d p sh nnss h vstn pt vnz fn szn d tss d ntss n zn d qudtà sn: tt ggtt d tzzzn. Sv: sggtt gnnt h d Cmtt pzn d tzzzn qunt gud pdu p gsts fuss d ss h mntn mntgg d sh tv d stmnt ppt dtt n pzn d tzzzn d tz, pp nt, vtnd d mun bn utzz g stumnt d nt n d dbt dut d un sggtt md ntn zzt p tz nmnt sut pgmnt msuzn gstn d sh d su ptfg gstn qutdn mt n sptt d qust quttv d stss; quntttv ndt dg gnsm Aunt Bnk: sggtt h ustds gmnt. N dttg, s vfn qudtà d tzzzn vv mt dfnt d CdA n tmn d Stp bn dpst dg nss, vst Lss, Vu t Rsk (VR) mt nmn gnmnt d sv; d mssm spszn p tg Cntpt swp: sggtt ntpt mgh d mttnt, dffnzt dtt p g swp d ptu d p ss d tng. Infn, s mnt sh tss d v. G u pp M n t s h

164 64 Espszn n pszn vs tzzzn gnnd ft pdt d qudtà; vst u suddtt, è nss h sggtt sptt spf qust d p u d Cntpt Swp, mt dtz dunt nt pd d stt d un t v d mt n u pzn d tzzzn dtz Agnz pssn hd è n ss. L gnt, p mntn ssttuzn/ gnz d ntpt tng d pp pzn, qu un spf tzzzn, mnt subs un dssmnt d mt d stt d un sg mt Agnz dtz h pt tng d stt mpngn d v mnm hst d Agnz gnz d dvt. stnzzzn d Rtng, sà tnut p n ss d md h spngn stss sh Opzn d Cvd Bnd d qudtà. In pt, sà d vt n I Gupp MS h n ss du pgmm vt nss tzz gnt d spszn dtz dvnt d u Obbgzn Bn Gntt, nh stss ppu tv un ssttut pss OBG n psgu) p un pfnd un tz sttuzn. mpssv d 0 /md. N s d 00 D nsgunz, dwngd mpt Gupp Mntpsh, fn d mg un sgnftv n d bnh pf fnnz md ung tmn, gnnt n tmn d sh d qudtà h vt un pm pgmm d mssn s p mgg t hst p d Cvd Bnd p un mpt gn mntnmnt d u tp d qust d 0 /md. pzn, s st d stnzzzn d I pgmm, stnt vuzn d pt d t u. mt fnnz, s nqud n un pù ù n dttg: mp sttg, vt : p mntn u d Sv, qu ntn st d pvvst, gz tng d bn snd d stt d vt gdmnt d OBG, n v mnm hst d Agnz d qunt stumnt mss dttmnt d tng, stss dvà vs un sv un bn u mbs è gntt d dtt d mmngng, dstnt p un ptmn spt (n fttsp sh h, n s d dfut, smm mutu pt sdnz ); ptt nsst p nt d v m nn d OBG, nftt, gz pssbtà d n dtt su nt d stss, vs, n s d fmnt d bn vdn nfu n mss dt mttnt, su ttvtà d vt qutà d bn ft; ppstmnt sggt, sn dspst mssn d Cvd Bnd ( p u d Aunt Bnk, Agnz d d tt un ndmnt mn vt Rtng pssn hd ffdmnt sptt qu d ngh bbgzn tz d ustd d ss d v, nn gntt; d m b 0

165 6 Espszn n pszn vs tzzzn dvsf fnnzmnt pp nh d ) Cpgupp t stà d Gupp mt tsfs p sut un nsm d ttvtà, fnt su vnt dtmnt ttsth, ntnzn; v (MS Cvd Bnd S... MS ung sdnz md d pp Cvd Bnd S...), fmnd un pf d dbt. ptmn sggt (Cv ); I 6 gugn 0 ssmb dg bbgznst d vd bnd h ppvt b) stss dnt g v un ppst d mdf gmm h pstt subdnt, fnzzt hnn nsntt d: fnnz pgmnt d pzz d () mdf gmm, p ttn qust d ttvtà d pt d v; pt ) Cpgupp mtt OBG supptt d gnz DBRS OBG mss d un gnz pm hst, d mtts ntn d gmm utnm, vb nndznt stss (t h d pt d Mdy s mss d v d susv bnf Fth) ; dg nvstt dtnt d OBG ssgnzn d tng d () ttv, n s d vfs d d dbt sn d pgmm: dtmnt s d ndmpmnt gnz è s mtt sug ttv sns d gmm, un mnsm d Cv d pptà d v d mbs d tt mss d tp (gunt). L stuttu d pzn vd nntt ndtn pss thugh. Sussvmnt, n s d 0, n Cpgupp t funzn d dnt fn d mg ffnz stbtà (), fnnzt (b), d mttnt (). d d A fn d nsnt stà ssn Gupp, è stt utzzt sttuzn d dmp g bbgh d gnz d un snd pgmm d mssn pstt, Cpgupp utzz dn d Obbgzn Bn Gntt n tnh d Asst & Lbty Mngmnt pnz mssm d 0 /md, nn dtt p ssu un tndnz qub t d tng spt mmnt d n. sdnz d fuss fnnz gnt dg N s d 0 g è stt ssgnt un ttv dut sdnz d pgmnt tng (A) d gnz DBRS. I snd dvut n zn OBG mss g pgmm nn è dstnt mt t st d pzn. m è vt zzzn d pzn I gmm, n ntmb s, sn stt gb m t n pzn d stuttut n nfmtà dspszn fnnzmnt pss Bn Cnt nmtv gmnt ppb, h Eup. nsntn mssn d OBG n psnz L stuttu d qust pzn pvd h d dtmnt qust ptmn p vngn zzt sgunt ttvtà: bnh dnt d mttnt. G Cuntbnng u pp Cpty M n t s h

166 66 Espszn n pszn vs tzzzn L stuttu d pgmm d mssn V vs ntpt d mt. In p Cpgupp (dnt sv) è pt, sttg zzt m sttpst stngnt vn nmtv p s spszn ntt d v pvd ntnu ntvnt, su bs g sh tss d ntss, nzhé qu p sun pzn, d A Svz nmn. A tmp stss, n Dmb Spst d Cdt, d A Fnnz, 0, s è pdut n stnzzzn Ts Cpt Mngmnt d A d t Cvd Bnd Swp n ntpt Rsk Mngmnt, nnhé nt d d mt, zn psgut n 04 n pt d un vs stn (Dtt & ut stnzzzn d Cvd Tuh) n qutà d Asst Mnt. In Bnd Swp p un mpt mpssv d pt g ntvnt gudn: md. vutzn qust ptmn N sgut sn ptt nfmzn hst d Dspszn d Vgnz ntu d sh sst n ntst d pzn d mssn d ntssnz n v MS Cvd OBG; Bnd S..., u ssts sn pst gnz d mssn bbgzn d Cpgupp vfh su qutà ntgtà dg ttv dut, n pt stm d t n pt su mt. v dg mmb, s sdnz h In pt tmn dg d nn sdnz, su u gv pt n ntttu h ptbb pvd h zn dt fnd d pt Gupp fns sstgn fnnz dut; ntvnt ptà sstnzs n v MS Cvd Bnd S... sn qust, ntgzn nuv ssn d sgunt: ttv ntgtv; Cpgupp s mpgn, sns vfh su mntnmnt d tt d ntttust d pgmm, ppt t OBG mss g ttv gnt n tmp sptt d tst dut gnz (Cv dt nmtv ntttu t snd fnd mtdg d vt n vt dfnt d pt sdnz d gnz d tng mm p snd pgmm); n s n u tng d Cpgupp, vfh su ssvnz d mt dvng nf BBB(w) d pt d ssn d mdtà d ntgzn; vfh su ffttv d dgut DBRS, BBB d pt d Fth B ptu d sh fft d nttt d pt d Mdy s, mbs d dvt n zn pzn. sun fnnzmnt subdnt và N 0 s è pvvdut stuttuzn dznt d 6 ms dp pp d sttg d mtgzn d sh sdnz gn; tss d ntss su pm pgmm, Cpgupp, sns d Mst fn d mnmzz spszn d Dfntn Agmnt, h bbg d d m b 0

167 67 Espszn n pszn vs tzzzn sttuzn vzn d mmnt D sgut vngn ptt tv d sv d qudtà vb n dttg: funzn d t dfnt n d n gnz d tng. Dt ssn tfg N. mutu Ammnt ( /md) /0/0 Mutu BMS 6.7 4,4 N s d sz, Cpgupp 9//0 Mutu BMS 9.08,4 su ntt, nn hnn fnt sstgn /0/ Mutu BMS 40.67,9 fnnz d t tp snz ss /0/ Mutu BMS (x BAV) 6.804, bbgt d nttt. 6/09/ Mutu BMS 7.97, Nn v sn s d sstgn fnnz 4/06/ Mutu BMS 4.9 0,4 d t tp un nttà stuttut 8/09/ Mutu BMS.080, pdntmnt nn nsdt, p u Tt 70. 7, sstgn h dtmnt nt d nttà stuttut d pt d Gupp. N Cvd Bnd nn è v, m MS I Gupp nn h ntnzn d fn h mtt dttmnt tt. sstgn fnnz d t tp L Cpgupp h pfznt, n mbt v, nus ntnzn d ssst d pm gmm, un tt d vntun nttà mssn, d u dd mssn nn n n ttnmnt d sstgn sdut mbst ntptmnt p un fnnz. tt, Dmb 0, d 8.70 mn. d u d u 6.00 mn d u t Dszn sng mssn L Cpgupp h dut, fn su mt.70 mn d u qustt d suppt mssn d pm d Bn. pgmm d mssn d OBG, un I dbt sdu d ptfg, ptfg d 70 m mutu p un Dmb 0, è p.909,4 mn d mpt tt d 7, md, sttut d u p 40.6 mutu. mutu sdnz pfmng pptnnt N 0 sn stt mss du tt p un d d ntvnt fnd d dz tt d.70 mn, ntmnt t su mpgnt d pt d gd d n mt: g n pgmnt d t dt d vutzn d ptfg. N 0 s è pvvdut ssn d un ptfg d n..080 mutu pfmng Dt d mssn Dt d sdnz Tss Ammnt /md) 8/0/ gn,% 0,7 6// nv,% Tt,7 gt fv d psn fsh sdnt n It, spndnt t d szn ndvdut, sstnzmnt sm qu utzzt p pdnt ssn, p un mpt p.9 mn d u. G u pp M N mbt d snd pgmm d mssn d OBG pgupp h dut un ptfg d 0 m mutu p un mpt tt d 4,6 md n t s h

168 68 Espszn n pszn vs tzzzn suppt d 7 mssn d OBG (d mbst ntptmnt, nn sn u 6 sdut mbst) p un tt, stt dstnt mt m qustt //0, d 6.00 mn d u d stss bn d utzzt gnz nn dstnt mt m qustt p pzn d fnnzmnt pss d stss Bn d utzzt gnz Eusstm p un tt, Dmb p pzn d fnnzmnt pss 0, d 6.00 mn d u. usstm. N s d 0 sn stt ffttut I ptfg dut è sttut d sgunt mssn: dt fnd d pt sdnz mm, dt vs pubbh Dt d mssn Dt d sdnz mmnstzn gntt d stss 04/0/ p8 tt mss n mbt d pzn d 06/0/ ug8 tzzzn vnt d ggtt dt Tt Tss Ammnt /md) Vb Eub m+,0% Vb Eub m+,0% 0,8 0,, d stss ntu d pdnt. N s D punt d vst ntb ntmb d 0, 6 ttb, s è pvvdut pzn d OBG nn hnn mptt ssn d un ptfg d n..67 mutu dgntn d ttvtà dut pt sdnz mm p nsgunt vzn n bn dg 977, mn. swp nnss pzn. In mt s D sgut vngn ptt vdnz h: ttsth: Dt ssn 7/04/ /06/ 4/08/ /09/ /0/ /06/ 9/0/4 6/0/ mutu ggtt d ssn ntnun d ss vt n ttv d tfg N. mutu Ammnt ( /md) Mutu sdnz pt Mutu pt sdnz mm. Mutu pt sdnz mm. Mutu pt sdnz mm. Mutu pt sdnz mm. Mutu pt sdnz mm. Mutu pt sdnz mm. Mutu pt sdnz mm ,8.99,48 7., ,47 9.0,9.77,.64,46 V nn è vt n bn v.67 0,98 pp, phé vn mpnst n 0.8 4,6 dbt vs v n qu è stt Tt stt ptmn d bn d Cpgupp, n qunt ss ntnu dtn sh bnf nnss pptà d mutu gudmnt dut; pstt gt d Cpgupp vt pzz nz d ssn; L gstn d nuv gmm d OBG t pstt nn è qund ggtt d sgu udt pss nt gà vutzn fn d sh d dt, n dttt p gstn d gmm d qunt t sh è ntmnt fss OBG sttut n 00. L OBG mss n vutzn d mutu ggtt d n mbt d snd pgmm sn ssn, h ntnun d ss stt dstt, d u nn n sdut n bn d Cpgupp; d m b 0

169 69 Espszn n pszn vs tzzzn mutu subsn mvmntzn vsmnt d stss qut su bs dg vnt pp (num ntss v è vt n d vutzn); ntptt d szn d un t nsst d pt d Cpgupp (h svg nh funzn d Sv) t dt vn hus mmnt sn vst qutdnmnt v d nss d gmb ttv d n Ctn Aunt vt Cv Swp. ntbmnt d pgupp m v MS Cvd Bnd S.. sgu: è ptpt d Cpgupp p nss d qut pt d qut d nt d 90%, vt n mutut è vt n ntptt V 00 tpzn, d è nus d dmnuzn d dt vs n bn nsdt d Gupp n stss mutut; mtd ntg; vsmnt d stss qut v MS Cvd Bnd S.. pt v è vt n è ptpt d Cpgupp p ntptt d szn d un qut d nt d 90%, vt n dt vs v; t dt V 00 tpzn, d è nus vn hus mmnt d mbs n bn nsdt d Gupp n d pstt subdnt; mtd ntg; G dt vs v mdsm; d OBG mss sn stt n pssv mutut è vt n ntptt n v 0 Tt n zn d V 0 Intss ttv: dt tv ntss pssv sn ppsntt vs nt (g ntss su mutu p mptnz. N tb sussv ntnun d ss vt p vngn mptnz ttvs mputzn quntttv d spszn d Gupp d t); vs tzzzn. qut u ntss pp nsst M n t ptt s nfmzn h

170 70 Espszn n pszn vs tzzzn. Espszn n pszn vs tzzzn Tb... Espszn sttstnt ttvtà tzzt d Gupp MS Espszn d u sp. ntt dtt Tpg d Tt/Sttstnt RMBS dt d pd Csft S (Bn MS) Sn Mtggs 0 7 (Bn MS) Sn MI 0 S.60.7 Cdt nn pfmng Mutu pt Mntgn Fnn II (Bm qust /8/0) ABS Cdt nsum Sn Cnsum (Cnsum.t npt '.6.0) Sn Cnsum 0(Cnsum.t npt '.6.0) CDO Obbgzn dvt dtz Gnzg Fnn (Bm) Tt // Tt // L tb pt mpt d ttvtà sttstnt tzzzn n ss zzt d Bn n qutà d gnt t n tfg Bn n tfg d Ngzzn. L tzzzn sp ptt sn ggtt d ntg nzn d Bn tnn Sn Mtggs 0 7, Sn MI 0 S, Sn Cnsum Sn Cnsum 0. I Gupp fn nn h mss tzzzn sntth. N tb h sgun sn ptt d Vgnz pudnz nudn nh spszn tt d pszn vs spszn vs tzzzn h tzzzn n bn fu bn nn sn nsut fn d d suddvs qust ptmn. qust utm, tfg d Ngzzn d Vgnz nftt, qust vngn t n p tpg d tt. fmnt ttvtà tzzt nn L spszn ptt s fsn spndnt spszn. p tfg Bn spszn utzzt fn d Sgnzn d m b 0

171 7 Espszn n pszn vs tzzzn Tb... Espszn tt d pszn vs tzzzn ptt p tpg d tt(*) (Bn Fu bn) Ctzzzn Tt pp d tz CLO.8.84 CDO CLO CDO Tt // Tt // Espszn p ss tfg Bn tfg d Ngzzn d Vgnz ABS. Espszn fu bn (*) p dszn d tpg d tt s mnd gss. Tb... Espszn dvnt d pzn d tzzzn pp ptt p tpg d tt tpg d sttstnt tfg Bn Jun Mzznn Sn Tt CLO.8.8 Mutu nn sdnz.8.8 Tt //0.8.8 Tt // L spszn ppsntt nn sn nsut fn d d qust pudnz ptt n sussv Tb Tttnds d tzzzn pp n dgntn dg ttv sttstnt, s vdnz h n Cdt sn nus g ttv qustt d gnt Bn MS dunqu mps n spszn d tv ptfg gmnt spst n tv... G u pp M n t s h

172 7 Espszn n pszn vs tzzzn Tb...4 Espszn dvnt d pzn d tzzzn d tz ptt p tpg d tt tpg d sttstnt tfg Bn Jun Mzznn Sn Tt CDO Bnd.90 CLO Mutu nn sdnz Tt // Tt // Tb... Espszn dvnt d pzn d tzzzn pp ptt p tpg d tt tpg d sttstnt tfg d Ngzzn d Vgnz Jun Mzznn Sn Tt CBO Bnd CLO Mutu nn sdnz Tt // Tt // L spszn ppsntt nn sn nsut fn d d qust pudnz ptt n sussv Tb Tb...6 Espszn dvnt d pzn d tzzzn d Tz ptt p tpg d tt tpg d sttstnt tfg d Ngzzn d Vgnz Jun Mzznn Sn Tt ABS Mutu nn sdnz 7 7 Mutu sdnz Cdt nsum CLO ub St Lns Tt // Tt // d m b 0

173 7 Espszn n pszn vs tzzzn Tb...7 Espszn tt vs tzzzn suddvs p tfg qust ptmn (pp stndd) Tpg Espszn tfg bn Rqust ptmn d u stndd d u AIRB tfg Ngzzn d Vgnz Tt // Tt // N tb sgunt s ptn nus n spszn d tv ptfg spszn vs tzzzn (pp gmnt spst n tv... d tz) suddvs p ptfg qu s pp pp stndd tv L spszn vs tzzzn qust ptnt, tzzzn pp d tz nn sn sus spszn vs tzzzn pt d tnh d ttnuzn d p qu qust vngn t sh d dt (CRM) m ptt n fmnt ttvtà sttstnt. n tb D sgut tb qust utm s ppn ftt d suddvs p ptfg, tpg d pndzn pvst d nmtv sn tzzzn fs d pndzn. ptmn. Sn, Tb...8 Espszn vs tzzzn suddvs p fs d pndzn tfg Bn ndzn 0% 0% 0% 00% % 60% 0% 0% v d Rtng Ctzzzn p Ctzzzn d Tz Rsutstn Tt // Tt // Ru/sttstnt Tt L tb mst spszn vs tzzzn dstnt p fs d pndzn tpg d pzn. G mpt psntt, su fsg d dspn d Vgnz, s fsn spszn vs tzzzn pp d tz nus n tfg Bn. Sn ptnt sus d tb spszn vs tzzzn nus n tfg d Ngzzn d Vgnz, ptt n sussv tb...0. Int, p qunt nn tzzzn pp, s ps h, n ssqu dspn d vgnz, nn sn nsdt spszn vs tzzzn h : ) s fsn d pzn h nn sn nsut m tzzzn fn d vgnz pudnz, phé d smp nn zzn ffttv tsfmnt d sh d dt; b) phé v pndt p sh d tutt pszn vs un mdsm tzzzn sut sup v pndt d ttvtà tzzt, t m s qust utm nn fss stt tzzt (p tst). S n s ) s n qu b) qust ptmn sn t n fmnt ttvtà tzzt nn spndnt spszn vs tzzzn. Int, n qust s ttvtà tzzt sn ssft n ss gmnt d gn (spszn gntt d mmb,.) sn ptnt sus d ss Ctzzzn. G u pp M n t s h

174 74 Espszn n pszn vs tzzzn Tb...9 Rqust ptmn d spszn vs tzzzn suddvs p fs d pndzn tfg Bn ndzn 0% 0% 0% 00% % 60% 0% 0% v d Rtng Ctzzzn p Ctzzzn d Tz Rsutstn Tt // Tt // Ru/sttstnt Tt Tb...0 Espszn vs tzzzn suddvs p fs d pndzn tfg d Ngzzn fn d Vgnz ndzn 0% 0% 00% % 0% 60% 0% 0% v d Rtng Ctzzzn p Ctzzzn d Tz Tt // Tt // Ru/sttstnt Rsutstn Tt L tb mst spszn vs tzzzn dstnt p fs d pndzn tpg d pzn. G mpt psntt s fsn spszn vs tzzzn pp d tz nus n tfg d Ngzzn d Vgnz. Tb... Rqust ptmn d spszn vs tzzzn suddvs p fs d pndzn tfg d Ngzzn fn d Vgnz ndzn 0% 0% 00% % 0% 60% 0% 0% v d Rtng Ctzzzn p Ctzzzn d Tz Tt // Tt // Ru/sttstnt Rsutstn d m b 0 Tt

175 7 Rsh ptv. Rsh ptv. Rsh ptv: nfmzn gn I Gupp Mntpsh h mpmntt pnp fnt nfmtv (nfmzn un sstm ntgt d gstn d sh dt) s quttv s quntttv (Md ptv stut su un md d gvn mst LDASn). h vd nvt tutt stà d Gupp L mpnnt quntttv, d tp Lss Mntpsh ndvdut n pmt d Dstbutn Apph, s bs su t, ppzn. L pp dfns stndd, ns mdzzzn sttst d dt mtdg stumnt h nsntn st d pdt ntn d stn (DIO). d vut spszn sh g I md pvd su 7 tg fftt d mtgzn p sun d d vnt stbt d Bs utzzt m busnss. sk ss, tmt dzn d tnh Cn pvvdmnt mmnsttv dtt d Extm Vu Thy. L stm d gugn 008, Gupp Mntpsh è fqunz d dmnt è bst su s stt utzzt, d pt d Bn d It, dt ntn. utzz d md ntn vnzt L mpnnt quttv è fzzt (AMA) p dtmnzn d qust su vutzn d pf d sh d ptmn fnt d sh ptv. sun untà s bs su ndvduzn L stss md vnzt h vut d sn vnt. In qust mbt vv fm d pm gnn 008. L nvgmnt d Stà vvn n pm sgnzn d vgnz nsdt fs d dntfzn d pss d ffttut su bs d md è vvnut sh d vut, n vutzn d su sutt 0 gugn 008. pt d spnsb d pss d sh Rntn n pmt d pp stss, n ndvduzn d pssb pn vnzt pnp d mtgzn, n ndvsn n fnnz funzn nt d ptà d (AMA) mpnnt tutt bn dmsth. fttbtà tnnm dg ntvnt mnnt mpnnt p stà d mtgzn. st, s sn nv dttt mtd bs. I Gupp MS pu dspnnd d L ttu ptu d md ntn, ptu n tmn d ndt vnt, sut mtgzn d sh ptv v sup 9%. gstn, nn utzz ssuzn fn L pp vnzt dttt d Gupp d ttnuzn d sh n mbt d Mntpsh è npt n md t d qust ptmn n qunt d mbn mgnmnt tutt nn n utzzt d supvs. G u pp M n t ssutv s fnzzt h

176 76 Rsh ptv 4 Cpu mts Intn Lss Dt Exptd Lss Ddutn Intgtd VR (gss) Nt VAR LDA mts Emp nd mt Apph wth EVT Anyss Extn Dt Dvsfd VR (jnt smutn) LDA VR Fquny Anyss LDA COMONENT VAR CALCULATION Busnss Envnmnt nd Cnt Ft Assssmnt Sn VR Busnss nd Cnt Ft Infmtn (BEICF) TpDwn Atn Sn Assssmnt Cnstutn Lss Infmtn Sn Assssmnt Bn MS MS Cpt Svs MS Lsng & Ftng Cnsum.t Cnsz Optv Sn mts VAR ALLOCATION SCENARIO & BEICF COMONENT S pt, nfn, dstbuzn pntu d bbgh pfssn vs nt d num d vnt d pdt ptv vv d ntu d ttsth vt n 0, suddvs n sgunt d pdtt d svz pstt; ss d sh: Dnn bn mt: pdt dvnt Fd Intn: pdt dvut d ttvtà d vnt stn, qu tstf ntu, nn utzzt, fd, pppzn tsm tt vnd; ndbt vzn d gg, gmnt Intuzn d ptvtà Dsfunzn dttv znd h nvgn d sstm: pdt dvut ntuzn mn un ss ntn d bn; d ptvtà, Fd Estn: pdt dvut fd, dsfunzn ndspnbtà d sstm; pppzn ndbt vzn Esuzn, nsgn gstn d d gg d pt d sggtt stn pss: pdt dvut nz n bn; pfznmnt d pzn n Rppt d mpg Suzz su gstn d pss, nnhé pdt v: pdt dvnt d tt nn dvut zn n ntpt nfm gg g d n mm, vndt fnt. mt d mpg, sut suzz su v, d pgmnt d smnt A Dmb 0 pdt ptv tt d sn psn d psd d sn n sgnftv dmnuzn sptt dsmnzn d mnt ppzn 04 sì m è n duzn nh d ndzn pt; numstà dg vnt d sh ptv. Cnt, pdtt pss ptv: L tpg d vnt n mgg mptt pdt dvnt d ndmpnz tv su nt nm sn ndub d m b 0

177 77 Rsh ptv vzn dg bbgh pfssn vs bbgh pfssn vs nt, g nt (ss Cnt, pdtt pss vnt fnn pnpmnt fmnt ptv : 60% d tt) nz ntstzn su ppzn d ntss n pfznmnt d pzn n ntst. gstn d pss (ss Esuzn, ut nfmzn s mnd nsgn gstn d pss : 8% d Nt ntgtv nsdt t E tt). Infmzn su sh su tv pth qunt ttn vzn dg d ptu Sz. 4 Rsh ptv. Dstbuzn % d Num Evnt Gupp Mntpsh //0 Fd Intn: 0,% Fd Estn:,9% Rppt d Impg: 0,% Cnt, pdtt, pss ptv: 4,4% Dnn bn mt: <0,% Dsfunzn Sstm: % Esuzn, nsgn gstn d pss: 9,% Dstbuzn % d dt Gupp Mntpsh //0 Fd Intn: 6,6% Fd Estn: 8,% Rppt d Impg: 7,% Cnt, pdtt, pss ptv: 9,8% Dnn bn mt: <0,% Dsfunzn Sstm: 0,% Esuzn, nsgn gstn d pss: 8% N gf sgunt s pt nv ptzn d qust gmnt p ss d sh: Dstbuzn % d dt Gupp Mntpsh //0 Fd Intn: 9,4% Fd Estn:,8% Rppt d Impg: 6,% Cnt, pdtt, pss ptv:,6% Dnn bn mt: 0,9% Dsfunzn Sstm:,% Esuzn, nsgn gstn d pss: 7,% I Rqust Rgmnt Dmb ntumnt d dstbuzn d pt 0 sut sstnzmnt stb sptt n qunt qust utm è t su un qust d Dmb 04. s st d nn ps pvntmnt L ptzn d pdt ptv dffs mpnnt d pdt ntts. G u pp M n t s h

178 78 Rsh ptv. Rsh Optv: us d mtd vnzt d msuzn Tb. Rqust ptmn p Rsh ptv Rqust p Mtdg Mtd Bs d0 d Mtd Stnddzzt Mtd Avnzt Tt Rsh Optv d m b 0

179 Dhzn d Ammnstt Dgt sns d At. 4, tt ) d f) d Rgmnt UE 7/0 d Dhzn d Ammnstt Dgt sns d At. 4, tt ) d f) d Rgmnt UE 7/0 d 6060 L Ammnstt Dgt Fbz V, su ubb : ggnmnt mndt d Cnsg d Ammnstzn Dmb 0, sn n n n d Bn Mnt d sh d Sn S.p.A., pf sttg d nt; dh sns d tt ) d f ) d At. b) h n pt pgf Exutv 4 d Rgmnt UE 7/0 d 6 Summy d tt dumnt dsv 060, h: snttmnt pf d sh ) sstm d gstn d sh pst n mpssv d Gupp Mntpsh, ss d Cpgupp Bn n zn sttg znd dstt n dumnt Infmtv dttt. Sn, Fbb 06 Fbz V Ammnstt Dgt G u pp M n t s h

180 80 Dhzn d Dgnt pst dzn d dumnt ntb st Dhzn d Dgnt pst dzn d dumnt ntb st I Dgnt pst dzn d fnnz, h dumnt ntnut n ntb st, Atu nfmtv psnt ntb dumnt Btun, dh sns d mm spnd sutnz dumnt, t 4 bs d Tst Un d b d sttu ntb. Dspszn n mt d ntmdzn Sn, Fbb 06 Atu Btun Dgnt pst dzn d dumnt ntb st d m b 0

181 8 En d Tb A d nsdmnt Cttsth dg stumnt CET Cttsth dg stumnt Addtn T Cttsth dg stumnt T Shd ttsth pnp dg Stumnt d Cpt Tb... Md tnst p pubbzn d nfmzn su Fnd p Tb... Fnd p: Cpt gguntv d Css Tb... Fnd p: Cpt d Css Tb...4 Fnd p: Cffnt sv d pt Tb.. Rnzn t tmn ntt ntb Cpt pm d Css Tb.. Rnzn mpt dg mnt d pt pm d ss, d pt gguntv d ss d pt d ss, nnhé ft dduzn ppt fnd pp d nt, stt ptmn d bn Tb. 4 Rqust ptmn ffnt d vgnz Tb. 4. Rqust ptmn p Rsh d Cdt d Cntpt Tb. 4. Rqust ptmn p Rsh d Cdt d Cntpt Tb. 4. Rqust ptmn p Rsh d Cdt d ntpt (Mtd IRB) Fnnzmnt spzzt sttng t Tb. 4.4 Rqust ptmn p Rsh d mt Tb. 4. Rqust ptmn p Rsh Optv Tb Lv fnnz: LR Sum (Snts d nzn t ttv ntb spszn fn d ndt d Lv Fnnz) Tb Lv fnnz: LR Cm (Infmtv su Indt d Lv Fnnz) Tb Lv fnnz: LR Sp (Suddvsn d spszn n bn (sus Dvt, SFT d ttvtà snt) Tb... Rpg EAD RWA t Rsh d Cdt Rsh d Cntpt Tb... Rsh d Cdt d Cntpt: Espszn d RWA Tb... Mtd Stndd: V d Espszn Ant st CRM Tb... Mtd Stndd: Dstbuzn n ss d mt (pst CRM) Tb... Mtd IRB: Rpg d Espszn, RWA, pdt tts d ffttv Tb... Mtd IRB: Espszn, pdt tts d ffttv suddvs p ptfg gmnt ss d D (sus Fnnzmnt Spzzt Ctzzzn AIRB) Tb... Mtd IRB: Espszn vs gntt d mps MI Tb...4 Mtd IRB: Espszn vs gntt d mps At Imps Tb... Mtd IRB: Fnnzmnt Spzzt Tb...6 Mtd IRB: Espszn dttg gntt d mmb: MI Tb...7 Mtd IRB: Espszn dttg gntt d mmb: sn fsh Tb...8 Mtd IRB: Espszn ttv dttg quft Tb...9 Mtd IRB: At spszn dttg: MI Tb...0 Mtd IRB: At spszn dttg: sn fsh Tb... Mtd IRB: Espszn vs gntt d mps Rptzn Ggf.. Tb... Mtd IRB: Espszn dttg Rptzn Ggf G u pp M n t s h

182 8 Tb... Cnfnt dt Atts dt Effttv Tb..4. Rsh d dt: ttfh Tb... Tnh d ttnuzn d sh d dt (Mtd Stndd) Tb... Tnh d ttnuzn d sh d dt (Mtd IRB) Tb. 6.. Rsh d ntpt: pg Tb. 6.. Rsh d ntpt: dvt Tb. 6.. Dstbuzn d f vu pstv p tp d sttstnt Tb V nzn nttt dvt dtz Tb. 8 Espszn sh d tss d ntss d tfg Bn Tb. 9. Espszn n stumnt d pt nn nus n ptfg d ngzzn Tb. 9. Qut d O.I.C.R.: mpszn p pnp tpg Tb. 0. Attvtà Tb. 0. Gnz vut Tb. 0. Bn vnt / gnz vut pssvtà sst Tb... Espszn sttstnt ttvtà tzzt d Gupp MS Tb... Espszn tt d pszn vs tzzzn ptt p tpg d tt(*) (Bn Fu bn) Tb... Espszn dvnt d pzn d tzzzn pp ptt p tpg d tt tpg d sttstnt tfg Bn Tb...4 Espszn dvnt d pzn d tzzzn d tz ptt p tpg d tt tpg d sttstnt tfg Bn Tb... Espszn dvnt d pzn d tzzzn pp ptt p tpg d tt tpg d sttstnt tfg d Ngzzn d Vgnz Tb...6 Espszn dvnt d pzn d tzzzn d Tz ptt p tpg d tt tpg d sttstnt tfg d Ngzzn d Vgnz Tb...7 Espszn tt vs tzzzn suddvs p tfg qust ptmn (pp stndd) Tb...8 Espszn vs tzzzn suddvs p fs d pndzn tfg Bn Tb...9 Rqust ptmn d spszn vs tzzzn suddvs p fs d pndzn tfg Bn Tb...0 Espszn vs tzzzn suddvs p fs d pndzn tfg d Ngzzn fn d Vgnz Tb... Rqust ptmn d spszn vs tzzzn suddvs p fs d pndzn tfg d Ngzzn fn d Vgnz Tb. Rqust ptmn p Rsh ptv d m b 0

183 8 Gss d pnp tmn utzzt Gss d pnp tmn utzzt tss, qudtà mb d Bnkng Bk vn tpmnt msut tmt md d Asst & Lbty Mngmnt (ALM). Cf. tfg Bn d Vgnz. ABS (Asst Bkd Suts): Stumnt fnnz u ndmnt d mbs sn gntt d un ptfg d ttvtà (t) n ptfg d mttnt (stmnt un SV), dstnt n v susv sddsfmnt d dtt npt ng stumnt fnnz stss. Tpmnt s dstngun t RMBS CMBS. Bs : nmtv tv ppzn d Ad Mnm su Cpt mnt d Cmtt d Bs d 988. AFS (Avb F S): Ctg ntb IAS utzzt p ssf ttvtà dspnb p vndt. Bs : nmtv tv ppzn d Nuv Ad su Cpt mnt d Cmtt d Bs n 006. AIRB (Advnd Intn Rtng Bsd): s ntndn md ntn vnzt utzzt p dtmnzn d qust ptmn p sh d dt ntpt n mbt d gmntzn ntnzn Bs Bs. S dffnzn d md FIRB, phé n s d md AIRB bn stm ntnmnt tutt pmt d sh. Cf. nh D, LGD, EAD. Bs : nsm d fm h Cmtt d Bs h pdspst pt d 00 p ffz gmntzn n mt d ptmn qudtà d s sì snz d stt bn. L fm sn fnzzt ptnz ptà d sstm bn d ssb g shk dvnt d tnsn fnnz d nmh, ndpndntmnt d gn, dund n t md sh d ntg d stt fnnz nm. Rpt n mbt Cmunt d CRR, Rgmnt (UE) n. 7/0 d CRD IV, Dttv 0/6/UE. ALM (Asst & Lbty Mngmnt): mpss d tnh d md d sk mngmnt ppt tfg Bn fnzzt msuzn d sh tss d sh qudtà. Cf. nh Bnkng Bk, Intst Rt Snstvty, Shft Snstvty, V Enm pspttv d. AMA (Advnd Msumnt Apph): s ntndn md ntn vnzt utzzt p dtmnzn d qust ptmn p sh ptv n mbt d gmntzn ntnzn Bs Bs. Cn t pp qust ptmn è msut d bn ttvs md d bst su dt d pdt ptv d t mnt d vutzn d stss t d bt. AT (Addtn T ): Cpt ddzn d ss, sttut d: stumnt d pt dvs d zn dn (mputb n CET) h sddsfn ndzn p ss mputb n pt d ss ntt d dtzn dg mnt d ss. Qust utm fnn fmnt pnpmnt stumnt dtnut n sggtt fnnz n psnz d nvstmnt sgnftv nn d ptpzn nt. Bnkng Bk: n d n bst pt ntnzn è dfnt m nsm d ptvtà mm nnss tsfmzn d sdnz d ttv d pssv d Bn, d Ts, d f st d dvt d ptu d fmnt. I sh G u pp M BCU: Busnss Cnt Unt. Funzn d sk mngmnt d pm v, dst pss /untà d busnss (BU). B (bss pnt): un ntsm d un punt pntu, vv bp = 0,0% = 0,000. BU: Busnss Unt. Cp Tst Ctzzzn: è tst u sn sttpst pzn d tzzzn nsut fn pudnz, snd u g RWA d pszn vs tzzzn vngn nfntt n qu d spszn tzzt (t m s qust utm nn fss stt tzzt). S g RWA d pm sn sup snd (p) s nsdn qust utm. Cpt Enm: è pt nss fntgg vntu pdt d v gnt d vzn ntts d ndzn, ntn stn, p fftt d sh. E t su bs d md gstn d msuzn d sh svuppt d Rsk Mngmnt. In gn è ttnut su bs d tsfmzn mgn n tmn d pd d dtnzn d ntv d nfdnz d msu d VR t p sng ftt d sh d pptunmnt dvsft t. L ntv d nfdnz è n t s h

184 84 Gss d pnp tmn utzzt funzn d tng bttv d Bn. I Cpt Enm è stm ntn d pt nss f fnt sh vv quvnt gstn d Rqust tmn (Cpt Rgmnt). Cpt Intn Cmpssv: ( Cpt Intn Cmpssvmnt Assbt) è nts m mmnt gstn d ss ptmn mnm nss ptu d pdt nmh dvut vfs d vnt ntts gnt d spszn smutn dvs tpg d sh. A qust gmnt d p Rsh d Cdt Cntpt (h gà nudn qu tv Rsh Emttnt su tfg Bn, Rsh tpzn Rsh Immb) p Rsh Optv, vngn ggunt qust d md ntn gstn tv Rsh d Mt, Rsh tss d ntss d Bnkng Bk, Rsh Cnntzn Rsh Sttg. I Cpt Intn Cmpssv è t snz nsd dvsfzn ntsh, smmnd dttmnt ntbut d sng sh. CCF (Cdt Cnvsn Ft): Ftt d Cnvsn d Cdt. CDS (Cdt Dfut Swp): Cnttt qu un sggtt, dt pgmnt d un pm, tsfs d un t sggtt sh dtz nst n un pstt n un tt, vfs d un dtmnt vnt gt dtmnt d gd d svbtà d dbt. CDO (Ctzd Dbt Obgtn): Tt mss n ss d shstà dffnzt n dvs subdnzn n mbs (tnh), n sgut un pzn d tzzzn d un ptfg d stumnt d dbt npnt sh d dt. Tpmnt ttzzt d psnz d un v fnnz. CDO d ABS: CDO n qu ptfg d pszn sttstnt è mpst pnpmnt d ABS. Cnt Cpt: fs d nt spndnt mps d md gnd dmnsn (mdpt, g pt). Cnt Rt: fs d nt h mpnd pnpmnt pvt, pfssnst, g snt g tgn. CMBS (Cmm Mtgg Bkd Suts): ABS n sttstnt mutu mm. Cffnt pudnz: ndt gmnt d Vgnz h pptn tpg dff d nzt d tmn Attvtà pndt p sh (RWA). Cf, nh CET Cpt Rt, T Cpt Rt, Tt Cpt Rt. Cmmn Equty T (CET) Cpt Rt: ppt t CET RWA mpssv. Cnfdn v: f. v d nfdnz. Lv d pbbtà sst d un msu d sh (s. VR). Cvd bnd: sp bbgzn bn h, t gnz d bn mttnt può usufu nh d gnz d un ptfg d mutu pt d t pstt d t qutà dut, p t sp, d un ppst stà v. CRD IV (Cpt Rqumnts Dtv IV): Dttv 0/6/UE d mnt Eup d Cnsg d 6 gugn 0 su ss ttvtà dg nt dtz su vgnz pudnz sug nt dtz su mps d nvstmnt, h mdf Dttv 00/87/CE d bg Dttv 006/48/CE 006/49/CE. CRR (Cpt Rqumnts Rgutn): Rgmnt (UE) n. 7/0 d mnt Eup d Cnsg d 6 gugn 0, tv qust pudnz p g nt dtz mps d nvstmnt h mdf Rgmnt (UE) n. 648/0. Cdt dvtvs: Cnttt dvt h hnn fftt d tsf sh dtz. Sn pdtt h pmttn g nvstt d ffttu btgg / ptu su mt d dt, d ssum spszn dtz dvsft p dut ntnstà, d mdf pf d sh d un ptfg, d sp sh d dt dg t sh d mt. CRM (Cdt Rsk Mtgtn): nsm d tnh d ttnuzn d sh d dt nsut fn d vgnz (d smp, mpnszn d pst n bn, gnz psn, dvt dtz, gnz fnnz), p qu sn pvst qust d mmssbtà gud, nm gnzztv fn d duzn d sh. Cu Rt: è tss d nt n bns d pszn dtz nm. Dfut, spszn dtz n: v ntn sffnz, g ng, dt stuttut d dt sdut snfnnt (pst du). Dfut, stt d: stt d nsvnz ndmp m b 0

185 8 Gss d pnp tmn utzzt nz d pt d dbt. Idntf ndzn d dht mpssbtà d n pp dbt / pgmnt d tv ntss. Dfd Tx Assts (DTA): ttvtà fs h pu ssnd d mptnz d sz futu sn gà stt pgt us d dffnz tmpn t v ttbut d un ttvtà d un pssvtà snd t vst d v ttbut qu ttvtà qu pssvtà fn fs Dfd Tx Assts (DTA) dpndnt d ddtvtà futu: ttvtà fs dfft u v futu può ss zzt stnt n s n u nt gn un ut mpnb n futu. S suddvdn vt n DTA h dvn d dffnz tmpn DTA h nn dvn d dffnz tmpn (s. pdt fs). Dt A: f. Ednz d pdt tts su ttfh ntt ntb. Dvt OTC (Ov th Cunt): stumnt dvt fnnz dtz ngzt fu bs (s: swp, fwd t gmnt). DIO: Dtbs Itn dt Optv. Bs dt utzzt n mbt d sh ptv. Dvsfzn: bnf dvnt d dtn smutnmnt n ptfg stumnt fnnz h dpndn d ftt d sh nn pfttmnt t. N s d VR spnd fftt zn t ftt d sh su v d VR mpssv. pn vn dt stutud vv d qust/vndt d ptzn tmt dvt dtz. Espszn mmnt d dfut (EAD, ExpsutDfut): Ammnt d spszn d bn vs un ntpt mmnt d ndmpnz. EAD, fn d d qust d pt, mpnd s spszn p ss, s utzz tts d spszn d fm. Rppsnt un d pmt d md vnzt p msuzn d sh d dt (AIRB Advnd Intn Rtng Bsd Apph ) pvst d Nmtv d Bs. F Vu (FV): è spttv qu un ttvtà ptbb ss smbt un pssvtà stnt, n un b tnszn t pt nspv d ndpndnt. Ftt d sh (sk ft): è dv/vb h dtmn vzn d v d un stumnt fnnz. FIRB (Fundtn Intn Rtng Bsd): s ntndn md ntn utzzt p dtmnzn d qust ptmn p sh d dt ntpt n mbt d gmntzn ntnzn Bs Bs. S dffnzn d md AIRB phé n qust s bn stm ntnmnt s pmt d D. Fnd p (Own Funds): smm d pt d ss (T) d pt d ss (T). ECA (Expt Cdt Agny): Agnz p dt sptzn. Gndfthng: Cus d svgud d dgutzz ptmn. Ess s ttu n un stuzn n u un vh g ntnu d pps d un stuzn sstnt, mnt un nuv g s pp tutt stuzn futu. ECAI (Extn Cdt Assssmnt Insttutn): Agnz stn p vutzn d mt d dt (Agnz d Rtng). HFT (Hd F Tdng): Ctg ntb IAS utzzt p ssf ttvtà pssvtà d ngzzn. Ednz d pdt tts su ttfh ntt ntb (.d. Dt A ): dffnz t mpt d pdt tts ttfh v mpssv, mttmnt spszn sggtt md ntn p sh d dt; è un mpnnt d Fnd p. Hdng pd (hp): zznt tmp fwdkng d dtnzn d pszn. EAD (ExpsutDfut): f. Espszn mmnt d dfut. Emttnt, Rsh: nnss tng uff d mttnt, è sh d dmnuzn d v d ptfg dvut un vzn sfvv d stndng dtz d mttnt fn s stm d dfut, n s d mpvndt ntnt d tt bbgzn G u pp M IAS/IFRS: pnp ntb IAS (Intntn Auntng Stndds) sn mnt d Intntn Auntng Stndds Bd (IASB). I pnp mnt sussvmnt ug 00 sn dnmnt IFRS (Intntn Fnn Rptng Stndds). ICAA (Intn Cpt Adquy Assssmnt ss): è dspn d Snd st d nmtv d Bs; hd bnh d n t s h

186 86 Gss d pnp tmn utzzt dts d pss stumnt p dtmn v d pt ntn dgut fntgg gn tpg d sh, nh dvs d qu psdt d qust ptmn mpssv ( m st ), n mbt d un vutzn d spszn, ttu psptt, h tng nt d sttg d vuzn d ntst d fmnt. ILAA (Intn Lqudty Adquy Assssmnt ss): è pss ntn d vutzn d dgutzz d pf d qudtà mpssv d un nt. L quvnt ICAA p sh qudtà n mbt SRE. IMA (Intn Mds Apph): mtd d md ntn VR n mbt d d qust ptmn fnt d sh d mt. Impmnt: n fmnt d un ttvtà fnnz, s ndvdu un stuzn d mpmnt qund v d bn d t ttvtà è sup stm d mmnt upb d stss. Indt Rsk Adjustd: f. Rsk Adjustd fmn Msumnt. Intst Rt Snstvty (pp d V Enm): msu d mptt h un spstmnt ntts (p nn) d uv d ndmnt p sdnz pdu su v nm d bn. Vn tpmnt utzzt p msu sh tss d Bnkng Bk n mbt d sstm d Asst & Lbty Mngmnt (ALM). S ttn d d vzn n v ttu d fuss d ss nzn d pszn ttv, pssv fu bn n ss d un t dt v d uv d tss (s. + bp) sptt v d stuzn bs. mbnzn d vntpdt d busnss n, mmnt d pdt tts d qu ntts. Lvg Rt: ndt dt d ppt t T tt ttv ntdtt d nmtv d Bs n bttv d ntn nmnt d v fnnz n stt bn ffz qust bst su sh tmt un dvs msu bst su gggt d Bn. LGD (Lss Gvn Dfut): f. Tss d pdt n s d nsvnz (dfut) dtmnt m ppt t pdt subt su un spszn us d dfut d un ntpt mpt sdu mmnt d dfut. Lv d nfdnz: f nfdn v. L&R (Lns & Rvbs): Ctg ntb IAS utzzt p ssf dt. M (Mtuty): vt sdu d un spszn, t snd g pudnz p sh d dt. bnh utzzt us d tng ntn vn nsdt sptmnt s s dtt mtd AIRB, mnt vn pfsst d nmtv n s d utzz d pp FIRB. Mgn Snstvty (Snstvty d mgn d Intss): msu d mptt su stm d Mgn d Intss d un nn d Bn gt d un spstmnt ntts (p nn) d uv d ndmnt p sdnz. Vn tpmnt utzzt p msu sh tss d Bnkng Bk n mbt d sstm d Asst & Lbty Mngmnt (ALM) nsm Intst Rt Snstvty. Jun tnh: In un pzn d tzzzn è tnh pù subdnt d tt mss, h sppt p pm pdt h s pssn vf n s d up d ttvtà sttstnt. Mktmkt. vutzn v d mt d un pszn, tpmnt d tfg d Ngzzn. stumnt tttt uffmnt su mt gnzzt, spnd gnmnt pzz d mt d husu. g stumnt nn qutt, dv d svupp d ppzn d png funtn ppstmnt svuppt h dtmnn t vutzn pt d pmt d mt tv ftt d sh d ptnnz. E bs d d &L d tfg d Ngzzn. LCR (Lqudty Cvg Rt): nd gmnt d qudtà. H m bttv ffzmnt d snz bv tmn d pf d qudtà d bn. I d LCR è n s d dfnzn d pt d EBA. Mktmd. Vutzn d stumnt fnnz ffttut fnd fmnt md ntn d vutzn n qunt nn dspnb pzz d mt pubbmnt ssvb pp mpb. LDA (Lss Dstbutn Apph): Md utzzt p vutzn d spszn sh ptv. Cnsnt d stm, p gn Mzznn tnh: ppsnt tnh n gd d subdnzn ntmd t qu d tnh jun qu d tnh sn. L Invstmnt gd: mttnt mssn n un tng mps t AAA BBB. d m b 0

187 87 Gss d pnp tmn utzzt tnh mzznn è d g suddvs n pù tnh n gd dvs d sh, subdnt un t. Ess tpmnt s ntddstngun p un tng nvstmnt gd. NSF: Nuv Stumnt Fnnz mss sns d t. sxs d dt gg 6 ug 0, n.9, nt Dspszn ugnt p vsn d sps pubb n nvnz d svz ttdn nnhé msu d ffzmnt ptmn d mps n stt bn nvtt, n mdfzn, d gg 7 gst 0, n. m sussvmnt mdft. NSFR (Nt Stb Fundng Rt): nd gmnt d qudtà. E dfnt m ppt t mmnt dspnb d pvvst stb (Avb Amunt f Stb Fundng) mmnt d fbbsgn d fundng stb (Rqud Amunt f Stb Fundng). L zznt tmp nsdt p vut pvvst stb è d un nn. I d NSFR è n s d dfnzn d pt d EBA. Nn pfmng: tmn ft gnmnt dt d ndmnt nn g. OICR: Ognsm d nvstmnt ttv d spm. Opzn LST (Lng Sttmnt Tnstns): tnszn tmn n qu un ntpt s mpgn nsgn (v) un tt, un m un vut st nt vmnt (nsgn) d ntnt, t stumnt fnnz m n gmnt un dt ntttumnt dfnt, sussv sptt qu pvst d pss d mt p tnszn d mdsm sp vv sptt nqu gn vtv sussv dt d stpu d pzn. Opzn SFT (Suty Fnnng Tnstns): pzn pnt nt tmn ttv pssv su tt m, pzn d nssn ssunzn d tt m n pstt fnnzmnt n mgn. st du: f. Dfut. D (bbty f Dfut): f. bbtà d Dfut. dt tts (A Exptd Lss): mmnt d pdt h n md bn s ttnd (stm) d n n ms sussv dt d fmnt su mmnt dg mpgh dtz n bns psnt n ptfg u pp fmng: tmn ft gnmnt dt d ndmnt g. MI: Md Imps. tfg Bn d Vgnz (Bnkng Bk): mpss d pszn dvs d qu mps n tfg d Ngzzn d Vgnz; sgu ptnt un dfnzn sdu, sbbn t ptfg fn fmnt mgg pt d spszn d un bn mm; tndnzmnt t ptfg s ppn g p dtmnzn d Rqust tmn su Rsh d Cdt. Cf. nh Bnkng Bk. tfg d Ngzzn d Vgnz (Tdng Bk): ttts d pszn dtnut ntnznmnt p fntà d Tdng dstnt un sussv dsmssn n bv tmn / ssunt sp d bnf, n bv tmn, d dffnz t pzz d qust d vndt, d t vzn d pzz d tss d ntss. Cnsst n un nsm d pszn n stumnt fnnz su m, dtnut p ngzzn ptu d sh nnt d t mnt d stss ptfg. A fn d mmssn tttmnt pudnz d ptfg d ngzzn, g stumnt fnnz dvn ss snt d gn us h n mt ngzbtà, n tntv pt ss pt ntgmnt. Int, pszn dvn ss vutt n fqunz utzz. I ptfg dv ss gstt ttvmnt. vt quty: ttvtà mt quszn d ntssnz ptptv d sussv ssn ntpt spfh, snz mnt pubb. OTC: f. Dvt OTC. G mmnt d msuzn. Stmt xnt m stfdngbusnss, è nus n tmn d spd n ndzn d pzz ppt nt fntggt d un dgut pt d ntnmnt ntb. É dfnt m pdtt t pbbtà d dfut (D) tss d pdt n s d nsvnz (LGD): A = D x LGD L mpt d pdt tts è dfnt m pdtt t A spszn tts n s d nsvnz (EAD): Impt A = A x EAD M fn shs: sn stumnt nnvtv d pt h gdn d pvg ptmn n zn s dvdnd (h pssn ss umub nn umub) s dtt d qudzn u dtt mmnsttv sn, d nm, mtt subdnt d t ndzn. n t s h

188 88 Gss d pnp tmn utzzt bbtà d Dfut (D): pbbtà h un nt/ntpt pss nd n dfut n zznt tmp d un nn. L sng D sn dsunt d sstm ntn d tng qund t n ppst ng d v spndnt qu utzzt d gnz uff d tng (msts) sì d nsnt mgntà d tttmnt t tng ntn d stn. ft & Lss (&L): ndt gstn d ut pdt d ptfg d Tdng h spm dffnz d v d un stumnt d un ptfg n un dtmnt zznt tmp, t su bs d v d mt dttmnt vt/qutt ( mktmkt ) dtmnt su bs d md d png ntnmnt dttt ( mktmd ). RAM: f. Rsk Adjustd fmn Msumnt. Rtng: vutzn d gd d sh d ndmpnz gudnt un dtmnt dbt (tng d ntpt d mttnt) un sng pstt (tng d mssn). É tpmnt spss tmt un gudz quttv fnt pt d un s d gdzn. S dtmnt d gnz d tng (ECAI) è dnmnt tng uff. Qu gnt su bs d md svuppt ntnmnt bnh vn dnmnt tng ntn. Dtmn pbbtà d dfut d nsvnz. Rgmnt, Rsh d: sh h s dtmn n pzn d tnszn su tt qu ntpt, dp sdnz d nttt, nn dmp pp bbgzn d nsgn d tt dg mpt n dn dvut. Rqust tmn Cmpssv ( Cpt Rgmnt): smm d qust ptmn tv sng tpg d sh d m st (Cdt, Cntpt, Mt Optv). Rqust tmn: mmnt d ptmn, t snd nmtv d vgnz, dstnt f fnt sng sh d m st snd g d Vgnz. Rsh: s può dfn m un pdt nm ptnz ntts. I sh è un pdt nm n sns h, fnt d nztv mm ntps, s s mnfst, dà smp ug d un pdt d v n b d Bn. I sh è un pdt ntts mpt nsstà d un spndnt qunttà d pt p gnt stbtà svbtà n ung pd d bn. I sh è un d pdt ptnz, n sns h s può vf mn n un t v d nfdnz (pbbtà) d è ptnt un stm, nn un v t. In qunt ptnz, sh è smp un gndzz psptt, vv un stm p futu (tt fwdkng) nn msuzn d un fftt nm gà zzt. Rsh d Cntpt: sh d ntpt è sh h ntpt d un tnszn vnt ggtt dtmnt stumnt fnnz sut ndmpnt pm d gmnt d tnszn stss. I sh d ntpt gv su un tpg d tnszn, spfmnt ndvdut, qu psntn sgunt ttsth: ) gnn un spszn p f vu pstv; ) hnn un v d mt h vv n tmp n funzn d vb d mt sttstnt; ) gnn un smb d pgmnt ppu smb d stumnt fnnz m nt pgmnt. L tg d tnszn sggtt sh d ntpt sn: stumnt dvt fnnz dtz ngzt fu bs (OTC); pzn SFT; pzn n gmnt ung tmn. Rsh d Cdt: è sh h dbt nn ssv pp bbgzn, né sdnz né sussvmnt. I Rsh d dt è sst d un vzn ntts d mt dtz d un ntpt ffdt, n nfnt d qu sst un spszn, h gn un spndnt vzn ntts d v d pszn dt. Rsh d Lqudtà: pssbtà h mps nn s f fnt pp mpgn d pgmnt us d nptà d smbzz ttvtà d ttn n md dgut fnd d mt (fundng qudty sk), vv us d dfftà mpssbtà d mntzz fmnt pszn n ttvtà fnnz snz nfunzn n msu sgnftv sfvv pzz p v d nsuffnt pfndtà d mt fnnz d un su tmpn mfunznmnt (mkt qudty sk). Rsh d Mt: è sh d pdt d v d un stumnt fnnz d un ptfg d stumnt fnnz, pvt d un vzn sfvv ntts d ftt d sh d mt (tss d ntss, pzz zn, tss d mb, pzz d m, nd, ). Rsh tp d tfg d Ngzzn. Rsh Optv: s ntnd sh d sub pdt dvnt d ndgutzz d dsfunzn d pdu, ss umn sstm ntn, ppu d vnt sgn, v nus m b 0

189 89 Gss d pnp tmn utzzt sh g. Rntn n t tpg, t t, pdt dvnt d fd, umn, ntuzn d ptvtà, ndspnbtà d sstm, ndmpnz ntttu, tstf ntu. N Rsh Optv è mps sh g, mnt nn sn nus qu sttg d putzn (nus n dspn d Snd st d Bs). Rsk Adjustd fmn Msumnt (RAM): msuzn d pfmn ggustt p sh. Mdtà d msuzn d ddtvtà, dfnt tt p sh n qunt d un t np n ut d sz un nuv mpnnt ngtv d nt nm, snt s d mpnnt tts d sh (dt Atts) d t ssttus pt ntb mpgt n tnszn n qu gstn (Cpt Enm). Rsk Ft: f. ftt d sh. RMBS (Rsdnt Mtgg Bkd Suts): ABS n sttstnt mutu sdnz. RWA (Rsk Wghtd Assts): ttvtà pndt p sh: è sutt d ppzn d dtmnt ffnt d pndzn (sk wght) spszn dtmnt snd g d Vgnz. Sng: sstm d ns d nt znd h s ntzz n un ndt ttnut s d sm d dt d bn s d vutzn d pvsn d ndmnt stt, nzzt su bs d mtdg d tt sttst. Sn/SupSn tnh: ppsnt tnh n pù vt gd d dt nhnmnt vv mgg gd d pvg n tmn d ptà d munzn mbs. snt un tng vt sup sptt tnh mzznn. Snty: Lv d subdnzn n mbs d tt, gnmnt suddvs (n dn dsnt) n SupSn, Sn, Mzznn, Jun. Sv: n pzn d tzzzn è sggtt h su bs d un ppst nttt d svng ntnu gst dt ttvtà tzzt dp h sn stt dut stà v (SV) nt d mssn d tt. Shft Snstvty: msu d mptt h un spstmnt ntts p d uv d G u pp M ndmnt p sdnz, pdu su v nm d bn. Cf. ALM, Bnkng Bk, Intst Rt Snstvty, V Enm pspttv d. Sputv gd: mttnt mssn n un tng nf BBB. SE/SV (Sp ups Entts Sp ups Vhs): v st sttut p psgu spf bttv, pnpmnt p s sh fnnz. L ttv è sttut d un ptfg u pvnt vngn utzzt p svz d pstt bbgzn mss. Tpmnt utzzt p pzn d tzzzn d sst. SRE (Supvsy Rvw nd Evutn ss): pss d vsn vutzn pudnz pst n ss d pt d Auttà d Vgnz h s mpn d t mnt pnp: un sstm d ns d sh (Rsk Assssmnt Systm, RAS), h vut v d sh ttvtà d nt dg nt dtz; un vsn mpssv d pss ICAA ILAA; un mtdg d quntfzn d pt qudtà u d sutt d vutzn d sh. Stss tst: nsm d tnh quntttv quttv n qu bnh vutn pp vunbtà d vnt zn, m pusb. Tss d pdt n s d nsvnz (LGD, LssGvnDfut): Tss d pdt n s d nsvnz (dfut) dtmnt m ppt t pdt subt su un spszn us d dfut d un ntpt mpt sdu mmnt d dfut. L LGD vn stmt n tmn d un ffnt mps t 0 d (ppu n tmn pntu) su bs d sgunt dvs: tpg d pndt, tpg d gnz pstt, fm tn d mpg. V hst n mbt d md vnzt p msuzn d sh d dt (AIRB Advnd Intn Rtng Bsd Apph ) sì m pvst d nmtv d Bs. I pmt LGD qu s vntumnt ndznt sn mnm vvs, s dfns dwntun LGD. Tst Un Bn (T.U.B): I Dt Lgstv 8 d sttmb 99, sussv mdfh ntgzn. n t s h

190 90 Gss d pnp tmn utzzt T (T ): Cpt d ss. Dt d smm d CET AT. T (T ): Cpt d ss. È mpst pnpmnt d pssvtà subdnt mputb d vntu dnz d ttfh d v sptt pdt tts p spszn pndt snd mtd AIRB. T Cpt Rt: ppt t T RWA mpssv. T Tt (f. Fnd p, x tmn d Vgnz): smm d pt d ss (T) pt d ss (T). Tt Cpt Rt: ppt t T Tt (Fnd p) RWA mpssv. TTC (Thughthy): un md d tng, stmt su s sth d ung pd, h ftt mggmnt sh gt ftt spf d sng dbt snt n md mtt d ndmnt mnm è dfnt thughthy, mnt un md, stmt su s sth d bv pd su d un s nn, h ftt nh nfmzn dffnt sptt qu gt sng dbt, pduà d tng h mbn n funzn d ndmnt d ftt sstm d è dfnt pntntm. L mgg pt d md d tng ntn stmt d bnh nn sn pfttmnt spndnt un t mtdg, m puttst s n n pszn ntmd t du stm thughth y pntntm vngn dfnt hybd. V d Mt, Mtd d (x Mtd d V Cnt): mtdg d Vgnz p dtmnzn d sh qund d ptmn fnt d sh d ntpt d dvt. I d v nt s ffttu smmnd st d ssttuzn ( v ntns, dtmnt su bs d mktmkt d dvt, s pstv) n spszn dtz futu (h ppssm sddtt tm vu d dvt, vv d pbbtà h n futu v ntns, s pstv, pss umnt, s ngtv, pss tsfms n un pszn dt); spszn dtz futu vn dtmnt p tutt nttt, ndpndntmnt d v pstv d st d ssttuzn, mtpnd v nmn d sun nttt p d ffnt dffnzt p vt sdu p tpg d nttt. V Enm, spttv d: msu vbtà d v ttu mpssv ntt d Bnkng Bk (dfnt m dffnz t v ttu d ttv, v ttu d pssv qu d dvt d ptu) n psnz d dvs sn tntv d tss d ntss. L ttnzn s nnt su vbtà d v nm d qudzn stntn d bn tn nt qund d tutt sdnz d pst ttv, pssv fu bn n ss mmnt d sun vutzn. Vn tpmnt msut n pts d shft snstvty d tss. Cf. nh ALM, Bnkng Bk, Intst Rt Snstvty, Shft Snstvty. VutRsk (VR, V Rsh): msu d ntu pbbst h snttzz sh d mt d un ptfg. É dfnt m mssm pdt ptnzmnt nb su d un dtmnt tmp (hdng pd pd d dtnzn) su bs d un dtmnt ntv d nfdnz (nfdn v, spssn d pbbtà d msu). Ad smp, n s d ptfg d ngzzn, VR stm mssm vzn ngtv (pdt) h s ttnd ptfg pss sub n un pfsst pbbtà (s. 99%), nt zznt tmp dfnt (s. gn). Ovv n msu spu, n s d un VR 99% gn, s stm h s s un pbbtà d % h bn pss pd pù d mmnt ppsntt d VR n un s gn vtv. Vttà: msu d vbtà d un sk ft (s. tss, pzz, mb, ) n un spf pd tmp. m b 0

191 9 Cnttt Dzn Gn Bn Mnt d sh d Sn S.p.A. zz Smbn, 00 Sn T: Invst Rtns zz Smbn, 00 Sn Em: nvst.tns@mps.t A Md zz Smbn, 00 Sn Em: uff.stmp@mps.t Intnt G u pp M n t s h

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