Annual Reports 2010

Bank of Annual Reports 2010

Annual Reports December 2010

Banca IMI S.p.A.

Largo Raffaele Mattioli 3 - 20121 Milan (Italy) – Share capital 962,464,000 Euro – ABI Code 3249.0 – Member of the Intesa Sanpaolo banking group – Member of the Interbank Deposit Protection Fund – Registered with the Milan Business Registry – Registration number and tax ID 04377700150 – e-mail: [email protected] – www.bancaimi.com – Telephone +39 02.72611

Contents

Officers and boards 5

FINANCIAL STATEMENTS

Financial highlights and performance ratios 9

Executive summary 10

Report by the Board of Directors on the Company’s situation and management trends The macroeconomic outlook and capital markets 15 Results by business area 17 Results in 2010 27 Financial aggregates 35 Equity investments and holdings 44 Capital adequacy 47 Operations support and organisational change 49 Human resources 52 Management and coordination by Intesa Sanpaolo 54 Dealings with other Group companies 55 Business outlook 56 Proposals to the Shareholders’ Meeting 57

Financial statements of Banca IMI Balance sheet 61 Income statement 63 Statement of comprehensive income 64 Statement of changes in shareholders’ equity 65 Statement of cash flows 67

Notes to the financial statements Part A – Accounting policies 71 - A.1 – General criteria 71 - A.2 – Main financial statements captions 74 - A.3 – Information on fair value 84 Part B – Information on the balance sheet 90 Part C – Information on the income statement 117 Part D – Comprehensive income 131 Part E – Information on risks and hedging policies 132 Part F – Information on capital 199 Part H – Transactions with related parties 204 Part L – Segment reporting 206

Certification by the executive in charge of accounting documents 209

Independent auditors’ report 213

Board of statutory auditors’ report 217

Attachments 221 Auditors’ fees 223 Earnings and financial position of subsidiaries and associates 224 Details of bond issues 234 Report on corporate governance and ownership 238

3 CONSOLIDATED ANNUAL REPORT

Consolidated financial highlights and performance ratios 245

Consolidated report on operations 246

Consolidated financial the statements of the Banca IMI Group Consolidated balance sheet 261 Consolidated income statement 263 Consolidated statement of comprehensive income 264 Statement of changes in consolidated shareholders’ equity 265 Consolidated statement of cash flows 266

Notes to the consolidated financial statements Part A – Accounting policies 271 Part B – Information on the consolidated balance sheet 276 Part C – Information on the consolidated income statement 304 Part D – Consolidated comprehensive income 319 Part E – Information on risks and hedging policies 320 Part F – Information on consolidated capital 358 Part H – Transactions with related parties 360 Part L – Segment reporting 362

Independent auditors’ report on the consolidated financial statements 365

Attachments 369 Consolidated auditors’ fees 370 List of international accounting standards (IASs/IFRSs) 371 Disclosure of significant equity interests in unlisted companies pursuant to art. 126 of Consob Regulation 11971 of 14 May 1999 373

4 Officers and boards

Board of Directors (in office for the period 2010-2012)

Chairman Emilio Ottolenghi

Deputy Chairman Giangiacomo Nardozzi Tonielli

Managing Director Gaetano Miccichè

Directors Giuliano Asperti Aureliano Benedetti Lorenzo Caprio Stefano Del Punta Vincenzo De Stasio (*) Massimo Mattera Marco Morelli Eugenio Rossetti Marcello Sala (**)

Board of Statutory Auditors (in office for the period 2010-2012)

Chairman Gianluca Ponzellini

Full Auditors Stefania Mancino Riccardo Rota

Substitute Auditors Alessandro Cotto Paolo Giolla

Direzione Generale

General Manager Andrea Munari

Independent Auditors Reconta Ernst & Young S.p.A. (appointed for the period 2007-2011)

(*) Co-opted by the Board of Directors on 4 October 2010 (**) Resigned on 31 August 2010

5

FINANCIAL STATEMENTS

Financial highlights and performance ratios

(in millions of euro) 31.12.2010 31.12.2009 Changes amount % Income statement Core business results 1,062.3 1,130.9 (68.6) -6.1 Non-recurring results 40.6 (93.0) 133.6 Net interest and other banking income 1,102.9 1,037.9 65.0 6.3 Net operating costs (287.9) (265.9) (22.0) 8.3 of which: - personnel expenses (114.1) (106.2) (7.9) 7.4 Operating Income 815.0 772.0 43.0 5.6 Taxes on income (235.0) (259.0) 24.0 -9.3 Net income 547.3 508.6 38.7 7.6

Balance Sheet Owned securities (HFT and L&R) 13,751.0 15,443.7 (1,692.7) -11.0 Investments 2,952.8 3,859.2 (906.4) -23.5 Structured finance assets 6,507.9 5,840.0 667.9 11.4 Total assets 125,686.0 117,324.6 8,361.4 7.1 Repurchase agreements and securities lending (4,603.8) (6,712.2) 2,108.4 -31.4 Net inter-bank position 30,456.6 28,122.2 2,334.4 8.3 Bond and subordinate issues 40,762.5 38,918.5 1,844.0 4.7 Guarantees given and commitments to lend 6,530.8 4,427.2 2,103.6 47.5 Notional amount of financial derivatives 3,010,644.2 3,071,738.7 (61,094.5) -2.0 Notional amount of credit derivatives 99,643.5 133,373.1 (33,729.6) -25.3 Shareholders' equity (1) 2,951.4 2,939.8 11.6 0.4

Profitability and risk ratios Cost / Income ratio (2) 26.1% 25.6% Average Var for the period 11.5 13.6 -2.1 -15.4 Average VaR for the last quarter 14.5 10.1 4.4 43.6 Non performing loans/Total credit exposures 2.6% 0.0% Net impairment on loans/Performing loans 1.5% 1.3% Net Income/Average shareholders' equity (ROE) (3) 18.9% 23.4% Basic earning per share (EPS basic) - euros (2) 0.569 0.677 EVA ® (2) 404.7 379.4

Capital ratios Tier 1 Capital Ratio 10.78% 10.23% Tier Total Capital Ratio 10.80% 10.31%

Operating structure Total dedicated resources (4) 695 672 23

Ratings Moody's Aa3 Fitch AA- Standard & Poors A+

1) Including net profits for the period 2) With the exclusion of those effects which impact the overall redditivity of the period 3) Profits for the period in relation to the average capital, reassessment reserves and other reserves 4) It includes seconded resources proportionately

9 Executive summary

Banca IMI closed 2010 with a net income of 547 million, representing a significant increase (+7.6%) over the already extraordinary performance in the previous year.

Among other factors, the reporting year was characterised by considerable turbulence on credit and interest-rate markets, especially the EU sovereign debt market, which felt the effects of the Greek crisis in the second quarter and the Irish crisis in the fourth quarter. The ensuing debate and the decisions adopted at the level of the national governments and the European Community contributed positively to dealing with the crisis, yet they also resulted in a more complex market scenario in which to operate than in 2009.

Finally, the effects of the adoption of stricter new controls of financial institutions’ capital and liquidity (Basel 3) should not be underestimated. Their overall impact was a gradual increase in the cost of the Bank’s access to the interbank market, the difficulty of achieving a return on investment and the degree of caution exercised by the Bank’s customers.

Despite this scenario, attentive discipline in managing capital resources and contributions from all business segments, and especially the trading business, which showed gradual improvement in the course of the year, allowed the Bank to recoup revenue margins and earnings indicators to a considerable degree. These latter goals were achieved while turning a profit, despite the significant increase in the average risk-weighted assets invested during the year (over 30% more than in 2009), chiefly attributable to the Structured Finance business unit contributed by the Parent Company. While net interest and other banking income benefited from an increase in revenue in absolute terms, the same cannot be said of the return on investment and the creation of value.

It is in the spirit of the constant striving to increase the efficiency of the capital invested in Banca IMI that one ought to interpret the initiatives that the Bank has undertaken with the aim of optimising weighted assets and the associated requirements and new rating models for Structured Finance and regulatory reporting.

Net interest and other banking income, which saw an increase in all revenue margins - interest-bearing loans, income on services rendered and trading profits - reached 1,103 million (1,038 million at the end of 2009). The greater revenue earned by the Structured Finance unit were offset by the lesser contributions of the Bank’s “historical” business segments, owing in part to a significant slowdown in customer activity starting from May, due to customers’ preference on many occasions, as mentioned above, to avoid recourse to capital markets due to perceived excessive volatility.

The caption comprises the core business results yielded by Capital Markets (744 million), Investment Banking (89 million) and Structured Finance (230 million). Also included are net non-recurring results, namely revenue not directly attributable to operating desks originating from strategic management (with 36 million in dividends from subsidiaries) and the effects of the application of accounting standards. In further detail, the change in the creditworthiness of Banca IMI and other financial institutions generally implicit in the valuation of securities designated at fair value and investments in securities linked to the former for management purposes yielded a net income of 4 million.

Operating costs of 288 million increased by 8% due to the expanded scope of operation and the greater average number of resources employed than in 2009. At the quarterly level, the item has remained stable since the fourth quarter of 2009, with a constant focus on the overall level of costs and a downtrend in the second half of the year following the considerable investments undertaken in support of strategic initiatives and projects aimed at reinforcing the infrastructure of the Bank and its subsidiaries.

Operating income came to 815 million compared to 772 million at 31 December 2009, resulting in a cost/ income ratio of 26.1%. The modest worsening of this indicator compared to the 25.6% reported in the previous year reflects the greater marginal weight of structural costs on net interest and other banking income.

10 Provisions and adjustments came to 38 million compared to the previous 10 million. The increase is primarily due to the deterioration of the general economic scenario, which resulted in the recognition of greater individual and collective impairment losses on the loan portfolio according to the mathematical models used to assess performing loans. Collective adjustments to on-balance sheet exposures and endorsements thus climbed to 1.5%. Classification to restructured and substandard status affected a modest 2.6% of the total portfolio. Coverage of potential liabilities was rounded out by provisions for risks and charges of 8 million.

Finally, net income was shaped by taxes of 235 million, resulting in a tax rate of 30%. That percentage, which is below the nominal rate, benefited in the first half of 2010 from the more limited taxation of dividends collected from subsidiaries and the positive effects of the realignment of the tax value of the goodwill carried on the Structured Finance business unit. In further detail, tax assets corresponding to a tax savings of 62.7 million in future years were recognised on the basis of the payment of a substitute tax of 31 million.

The net income of 547 million yielded a return on equity of 18.9% (23.4% in 2009). The decrease in the indicator is a consequence of a higher average book equity following the capital increase of 750 million in September 2009. The creation of value for the shareholder came to an EVA ® for Banca IMI of 405 million, up in a manner consistent with the performance of the net income for the year.

Owing to an attentive balance-sheet management policy, assets rose from 117 billion at the end of 2009 to the current 126 billion, driven by more liquid, lower-risk investments. During the fourth quarter, portfolio management choices resulted in a prudent yet significant reduction in financial assets, down nearly 20% from the peak of 150 billion reached on 30 September 2010. Earnings were entirely unaffected by the divestments undertaken, further proof of the quality of the net assets held by the Bank, more than 80% of which are monitored and carried at fair value.

The Bank’s capital solidity showed a total capital ratio of 10.8% after authorising the distribution of over 400 million in dividends to the shareholder.

11

Report by the Board of Directors on the Company’s situation and management trends

The macroeconomic outlook and capital markets

Thanks to the decisive contribution made by monetary and fiscal stimuli, 2010 proved a year of economic recovery, yet also of severe tensions for the price of government debt in the Eurozone.

The international scenario was favourable. Global output and trade flows grew at relatively brisk rates for the entire year, although only emerging nations may be said to have made a full return to the levels prior to the financial crisis and recession. The recovery of gross domestic product exceeded 4% in Japan and neared 2.9% in the United States. Growth in the Eurozone, while exceeding expectations, halted at 1.7%.

Italy reported an increase in its GDP of approximately 1.1%, below the Eurozone average. Growth was driven by domestic demand and inventories, while the robust increase in imports resulted in an overall negative contribution by net exports. Domestic demand benefited from the uptrend in investments in transport equipment, and especially in machinery, favoured by tax subsidies. Despite the decline in real disposable income, household spending also rose, benefiting from a net decline in the propensity to save.

The level of official ECB rates did not change during the year. The central bank continued to meet all liquidity demand through its open-market transactions, extending the current extraordinary programme through April 2011. However, in the second half of the year European banks renewed only part of the expiring repurchase agreements, with the effect of reducing surplus reserves by two-thirds. Accordingly, Euribor rates were under upwards pressure: the one-month maturity showed an increase of 33 basis points compared to 0.45% at the end of 2009. In the course of the year there was also a gradual increase in the concentration of demand for liquidity, with some peripheral banking systems (Ireland, Portugal, Spain and Greece) absorbing a share of ECB funds far in excess of their economic weight. While Euribor rates rose moderately, medium- and long-term IRS rates declined through the last week of August, when they embarked upon a period of swift recovery. However, at the end of 2010 rates on the five-year maturity (2.47%) were still 34 basis points below one year prior.

The sovereign debt crisis struck Greece in the first few months of 2010, obligating the Eurogroup and IMF to launch an extensive long-term financial support and fiscal austerity programme. Far from calming the markets, the laborious launch of the aid plan on 2 May was accompanied by severe tensions on all peripheral markets, obligating Ecofin as early as 9 May to announce a special Community support mechanism for countries in difficulty, as well as to promote an agenda of reform of the macroeconomic and fiscal supervision system. In parallel, the ECB launched a government bond purchasing program, which by year-end had allowed a total of 73.5 billion in bonds to be withdrawn from the secondary market.

After several months of truce, in autumn the crisis intensified once more, obligating Ireland and Portugal to place their debt at prohibitive costs. While Portugal continued to refinance on the market, in late November Ireland was forced to apply for financial support from the European Union and IMF, owing in part to the state of severe instability of its banking system.

The resolution of the Irish crisis did not eliminate investors’ doubts surrounding the ability of other Eurozone nations to refinance and the inadequacy of the current protection mechanisms, with the result that debt risk premiums remained under stress. The BTP-Bund spread on the ten-year maturity had climbed from 75 to 144 basis points in the second quarter of 2010. During the Irish crisis, it reached a peak of 201 basis points, subsequently fluctuating between 153 and 186 basis points, more than twice the level at the beginning of the year. The performance of spreads on Italian debt was better in relative terms than that of the other peripheral European nations, including Spain.

The lack of confidence surrounding European public debt also had repercussions for euro exchange rates. The rate against the dollar decreased by 31 points between December 2009 and June 2010, when it reached a low of 1.19. Then, driven by the favourable performance of the rate spread, it recovered to a high of 1.42 dollars. However, the relapse into crisis in autumn caused the euro to depreciate once more in the last two months of the year. The impact of the crisis was even more marked on the exchange rate between the euro and the Swiss franc, which fell from 1.49 at the end of 2009 to 1.25 at 31 December 2010.

15 Report by the Board of Directors - The macroeconomic outlook and capital markets

During 2010, international equity markets performed in a highly discontinuous manner, with diverging trends and highly volatile prices. Early in the year, indices gave ground, reflecting uncertainties regarding the true strength of the economic recovery and, for European markets, the first signs of the Greek crisis. Then, from February to early April, the markets performed well, driven by 2009 earnings that on the whole exceeded consensus expectations, as well as by favourable liquidity conditions.

In the second quarter, equity markets, and those of peripheral European nations in particular, suffered the severe effects of the sovereign debt crisis, reporting marked price declines: concerns of new possible losses for Europe’s financial system and renewed worries regarding the intensity of the economic recovery yielded a sharp increase in investors’ aversion to risk. At the beginning of the third quarter, the trend was reversed, with a significant price rally that continued until early October, buoyed by semi-annual results representing an overall improvement and liquidity conditions that remained favourable. The price recovery continued at a moderate pace, while slowing compared to the first few months of the year. Then, in the last few months of 2010, markets once more showed the effects of the European sovereign debt crisis, with peripheral markets most severely affected by concerns of contagion. Investors’ aversion to risk remained at unusually high levels for most of 2010 as a consequence of strong concerns regarding the imbalances in public finances in various Euro Area nations.

In the 12 months, the S&P rose 12.8%, in line with the gains posted by the DJ Composite (+13.1%). Conversely, the major European indices showed highly diverging performances. The DAX ended the year with a significant increase (+16.1%), reflecting the recovery of the German economy. The FTSE 100 climbed 9.0%, while the CAC 40 declined moderately (-3.3%). The Euro Stoxx remained essentially unchanged (+0.5% from -10% in mid-year). The Chinese equity market declined sharply, with the SSE Composite down 14.5%. The decline in the Nikkei was more modest, closing the year down 3.0%.

The Italian equity market performed less brilliantly than the Euro Area’s major indices, as a reflection of investors’ greater aversion to peripheral markets and the greater weight of the country’s financial segment. The FTSE All Shares index declined 11.5% over the year (-16% in the first six months), while the FTSE MIB lost 13.2% (compared to -17% in June 2010). Mid-capitalisation stocks continued to outperform blue chips: the FTSE Italia STAR index in particular closed 2010 up slightly (+2.9%).

The performance of the European corporate bond market differed by segment and instrument. The investment-grade segment yielded an overall negative performance that was especially pronounced in the case of the financial segment. It was also a bad year for the derivatives segment, which was characterised by an increase in the risk premiums on all of the main European iTraxx indices (for credit default swaps). The non-investment grade bond segment continued to perform well, with spreads falling.

After a slightly negative start to 2010, the market began to move in the direction of lower risk premiums, encouraged by the reassuring signs from the macroeconomic scenario. The tensions generated by the Greek crisis then resulted in a phase of severe correction, which intensified again with the Irish crisis and concerns of contagion for other nations on the Euro Area’s periphery.

16 Results by business area

Capital Markets

Fixed Income Trading Throughout 2010, the markets’ attention was focused on tensions on the government debt segment, a phenomenon that conditioned the Fixed Income desk’s operations. First the Greek crisis, then the Irish crisis and the possible spread to other European nations and bank debt had a significant influence on capital markets across all asset classes, resulting in larger and more volatile debt spreads, the depreciation of the euro against all major currencies and increases in the volatility of all underlying assets over both the short and long term. The overall effect was an absence of defined market trends, with unpredictable phases over the 12-month period: moments of relative calm alternated with periods of severe volatility and uncertainty, making it more difficult to manage risks and undertake trading. In particular, the situation that emerged in the government debt segment limited action by the Govies desk and suggested a reduction in positions with consequences for market-making and primary market activity. Attentive, shrewd management of portfolios and distribution to customers nonetheless allowed highly positive results to be achieved.

The IR Derivatives desk focused on flows from the Banca dei Territori Division of Intesa Sanpaolo and a new line of plain-vanilla and exotic hedging business promoted by the Parent Company’s ALM activities. Also worthy of note is brokerage of interest-rate risk on securitisations originated by non-Group banks, a business segment that was profitably explored owing to commercial collaboration with units of the Investment Banking division. In a manner consistent with 2009, the earnings results achieved were determined to a considerable degree by the management of significant positions in exotic deals closed in the past, constantly monitored through attentive management inspired by prudential principles.

The results of the Swap & Inflation desk were driven by sound risk management on nominals (delta, curve, base and asset swaps) and inflation (on linear risks and floors, with a significant improvement in the contribution by the government segment). Flows from clients continued to decline across almost all channels, with the sole exception of corporate clients. Hedging of securities for the retail market fell short of estimates made in early 2010. The Forex business was highly positive on the whole: the derivatives segment showed signs of recovery with renewed interest by investors in this asset class and hedging derivatives requested by corporate clients - concentrated in very simple instruments - while exotic payoffs and less liquid pairings were of interest to institutional clients.

In 2010 the Commodities desk continued to show an increase in operations on the corporate side, with high percentage growth rates in terms of revenues as well, although the increased number of deals was accompanied a decrease in unit margins due to greater price competition, especially on the Italian energy top producer and energy consumer segments. Activity focused in particular on the underlying commodities gas and power. In the trading arena, there was also a continued increase in the desk’s ability to compete in terms of pricing, especially for the most liquid commodities, while an additional revenue stream was found in market-marking on the London brokered OTC market, where Banca IMI acts as a primary swap dealer.

Credit Trading Despite the net decline in volumes, the results achieved by Credit Trading remained highly satisfactory in 2010 in terms of revenues and commercial distribution. Notwithstanding the extreme widening of spreads, and spreads on sovereign and financial securities in particular, the desk managed operations with clients in an optimal manner and optimised the return on the securities portfolio through dynamic management of hedges (indices, rates and CDSs). Participation in international electronic distribution platforms (Tradeweb and Market Axess) also provided greater visibility for market-making activities in the eyes of international investors and clients. The search for alternative revenue streams continued in the area of negotiated-spread products for clients, with risk management through indices and CDSs and product innovation focused on the use of credit derivatives. In the field of securitisation products, an asset class that has seen a considerable renewal of interest on the part of specialised investors since the 2008 financial crisis, business with leading institutional clients at the European level was consolidated. For the Credit Derivatives desk, 2010 was an exceptional year in terms of volumes and profitability

17 Report by the Board of Directors - Results by business area

owing to the process of diversifying the business. Early in the year, the desk succeeded in both seizing the investment opportunities offered by sovereign CDSs and monetising the differential between bond credit spreads and the corresponding CDSs (base). This approach to the market allowed an expansion of the commercial presence in tailor-made products and market-making in the sovereign risk area. During the year, Banca IMI became a licensed market maker on Itraxx indices.

In Emerging Markets debt operations, 2010 saw an internal reorganisation that laid the foundation for more rapid, organic future growth: active risk management and the use of hedging derivatives (indices, futures, etc.) were accompanied by expanded services available to clients. The desk also embarked upon a gradual expansion of quoted products, extending to new countries and new corporate issuers, in addition to expanding its client pool at the geographical level by initiating operations via electronic channels with North and South American clients assisted by the subsidiary IMI Securities.

Equity Trading Equity indices moved within a rather limited range in 2010. Accordingly, volatility consistently remained at historically low levels, especially during the latter portion of the year, with the sole exception of the spike at the apex of the European sovereign debt crisis. Products with payoffs showed moderate volatility, closing the year (in the case of dividend futures on the EuroStoxx50E) with relatively moderate variations for short maturities and a decline for maturities in 2014- 2015. The correlations implicit in global indices remained essentially stable in the course of the year.

The Volatility Trading desk’s business in the plain-vanilla option market with institutional clients in 2010 was comparable in terms of volumes to 2009. Trading and risk management yielded results in excess of expectations despite strong competition on the end client market. Business was increasingly concentrated on regulated markets, to the detriment of OTC markets. In business with retail customers, certificates with linear pay-offs continued to be distributed successfully (over 100 million in 2010), while the covered warrants market remained at the previous year’s levels in terms of volumes and profitability.

In the Securities Lending segment, the year was characterised by declining volumes across all markets: the international economic scenario, the continuing debate surrounding short-selling rules and changes in the tax code in several countries significantly conditioned business. The desk thus profitably concentrated activity on U.S. equities, achieving synergies on the ETF segment with the Delta 1 desk. The latter enjoyed another successful year in 2010 in terms of volumes and new instruments, with over 1,000 replicating products quoted on European exchanges. A valid investment alternative that in recent years has met with interest from institutional and retail investors, in the ETF segment Banca IMI operates in Italy, France, the Netherlands and Germany, where it currently acts as specialist for leading issuers. Market-maker on the Liffe market since 2010 for Dutch securities as well with 25 listed underlying securities, the Company remained a leader on the Italian market (IDEM) with 19.45% share. 1 The desk is currently acting as specialist to 29 companies on the MTA and two on the MAC.

The Structured Equity and Fund Derivatives business showed significant demand for structured certificates with underlying equities during the year. The types of pay-offs offered are equity protection, profit-taking and autocallable. The total notional amount placed came to approximately 800 million, up from 600 million in 2009. Trading of certificates on the secondary market also achieved positive volumes of exchange, especially during equity bull market phases.

Capital Market Solutions The desk, formed to develop tailor-made solutions for institutional clients aimed at active management of economic capital and credit risks, achieved an unprecedented performance in 2010, representing an important point of reference within the Group. The first complex secured-financing transactions (1.2 billion) were undertaken by repacking illiquid assets used as collateral, as were the first transactions aimed at transferring risk associated with distressed assets. In detail, the first securitisation of non-performing receivables deriving from the supply of electrical power ever undertaken in Italy was organised for the ENEL Group through a 500 million programme involving equity investors on the international market. Business also focused on studying and implementing capital-markets solutions from a Basel 3 standpoint, combining retail and investment banks’ opposing needs for coverage and investment, with volumes of 4 billion.

1 Source Assosim.

18 Report by the Board of Directors - Results by business area

Financial Institutions Sales Following the late and (in the eyes of the market) unconvincing resolution to the Greek situation, concerns regarding debt sustainability gradually spread on the European sovereign market throughout 2010, resulting in phases of extreme volatility characterised by reduced liquidity, lower creditworthiness and higher spreads on the Bund. For institutional clients, this represented an opportunity to accumulate Italian securities, both at the primary level (with a high degree of participation in auctions and syndicates) and on the secondary market. Insurers continued to invest in instruments with returns in excess of 4%, while gradually reducing the duration of those investments. Banks accumulated positions in asset swaps in the 2-5 year area. Funds changed their asset allocations compared to the respective benchmarks, aiming for a greater share of BTP as “peripheral debt” and of Bunds as “core debt”. It was only late in the year that extreme loss-cutting stances were taken by funds and banks on BTP investment portfolios, to be attributed primarily to the deterioration of the European scenario.

Especially in the second half of the year, the equity market was characterised by a lateral performance with limited shifts in the main European equity indices and blue chips (within a range of approximately 10- 12% between troughs and peaks). Market volatility also decreased constantly, bringing implicit values to the levels of the period prior to the market crisis triggered by the Lehman bankruptcy. The lateral market and low volatility clearly had a negative impact on the trading and sale of equity derivatives. In particular, business was conducted with banks and asset managers, both for traditional funds and hedge funds, while business with insurers was much more limited for reasons both related to the economic crisis and the new Solvency II rules (in effect beginning in late 2012).

Volumes were concentrated on the major European equity indices and some of the Continent’s most liquid blue chips, such as Assicurazioni Generali, Unicredit, Fiat, GDF Suez, France Telecom, Sanofi–Aventis and E.On. Products were almost exclusively plain-vanilla options with maturities rarely in excess of 12 months. Demand was relatively limited for long-term and complex structured solutions, while there was a certain degree of interest in instruments that allow positions of leverage or hedging of dividend risk to be taken on the Eurostoxx50 index.

The outlook for 2011 calls for an even greater focus on consolidating business with Italian clients and developing greater business volumes with international clients (primarily in the UK and Benelux), with targeted attention on Swiss clients, which for trading-related reasons have a modus operandi highly similar to that of Italian clients. Greater space will be devoted to developing ad hoc solutions to optimise equity portfolios for international pension funds, and it may be expected that Italian insurers will resume more extensive investments in equities, resulting in the need for hedging and risk/return optimisation strategies.

The Equity Cash desk achieved considerable results and extended coverage of its clients by developing new relationships with Anglo-Saxon institutional investors of significant size. There was a particular emphasis on distribution related to the extraordinary transactions to which Banca IMI made a significant contribution: the Enel Green Power IPO, the placement of Prysmian shares, Piaggio, Maire Tecnimont, Amplifon and Deutz.

The credit market showed alternating phases in 2010, with a first quarter characterised by lower volatility that in 2009. Clients’ risk appetite remained low and privileged purchases of short-term securities. However, in some cases there were also considerable purchase flows for the asset classes that had suffered the most in the previous year, such as subordinated bank debt. Conversely, in the second quarter, owing to the Greek crisis and tensions on the sovereign debt market, volatility returned to very high levels and volumes on the secondary market decreased considerably. The phenomenon continued in the third quarter, and not only due to the seasonal effect of the summer months. Within this scenario, institutional investors preferred to focus on highly rated short-term securities with maturities of up to two years.

It was only in September that renewed interest was shown in longer-term, riskier securities, particularly on the subordinated Tier 1 market, owing both to greater clarity of Basel 3 prospects and decisions by certain issuers to recall previous securities. The final period of the year was more turbulent: sovereign debt tensions intensified and extended to the financial sector in a preoccupying manner.

Corporate Sales The rates segment showed overall volume stability due to growth on international counterparties with significant hedging transactions requested by clients for structured long-term loans, and on Italian mid and

19 Report by the Board of Directors - Results by business area

large corporate clients, where growth compared to 2009 stood at approximately 50%. The commodities segment saw Banca IMI definitively established as one of the leading players in Italy, with significant development driven by the energy producer and trader sector, which showed exponential growth in terms of the number of transactions, volumes and number of active clients.

In the Forex segment, there was an increase in business in terms of both volumes and mark-up. Transactions were undertaken with approximately 1,800 counterparties, with 37,000 total trades of an average size of 1.4 million. The U.S. dollar remained the absolute leader in terms of turnover by notional amount (more than two-thirds of the total). Business with the Group’s international branches and investees, while in the start-up phase, succeeded in generating particularly attractive volumes. In the foreign-exchange derivatives segment, 2010 was characterised by a significant increase in trade volumes, driven by the expansion of the client base and the acquisition of greater market share with historical clients. This result was achieved despite the strong competition from international players, which returned to the market with an aggressive approach after a period of absence in the post-Lehman environment.

Retail Hub All retail segments showed a trend towards growth and a gradual expansion of the client base on the domestic market. In keeping with the development plants for the Corporate & Investment Banking Division of which Banca IMI is a part, preparatory activities to commercial development on international markets were launched.

The Private Banks & Family Offices segment was responsible for issuing numerous investment products for a total of over 2 billion. For the first time, autocallable certificates linked to equity indices were issued and the first controlled-volatility guarantee on investment-management schemes involving equity ETFs was finalised. In business with Intesa Sanpaolo’s Banca dei Territori Division, the bond placements of 13.9 billion primarily consisted of captive securities, while options (certificates) of 540 million were also sold. The overall performance continues to show a certain degree of aversion to risk and a preference for simple rate structures and plain-vanilla products on the part of investors. In the Banks and Insurers segment, placements on third-party networks came to over 3 billion, equally distributed throughout the 12 months. Worthy of note are operations involving hedging flows for mortgages and proprietary issues by client banking networks, as well as the increase in volumes compared to 2009 shown by “third-branch” insurance products, although they continued to be concentrated with a few distributors.

In 2010, international business focused primarily on Eastern Europe through Intesa Sanpaolo’s international subsidiary banks, involving hedging flows on structured products with currencies, equities and loans as their underlying assets (interest-rate swaps and caps). The expansion of the client base was completed with the finalisation of legal and financial documentation to be used in commercial offerings in Slovenia, Poland and Serbia. Marketing activities were also launched in Spain and Portugal in the fourth quarter.

In the Corporate segment, in regards to the offerings of interest-rate risk hedging products, over 3,600 new transactions were closed during the year, for a total of approximately 4 billion, with 55% of contracts passing through the automated IDEA channel. Clients were interested in hedging against the risk of a rise in interest rates, mostly on medium-/long-term maturities, with a clear prevalence of split-premium caps. The use of exchange-rate hedging also increased constantly, driven by the wide swings in the EUR/USD rate. Over 1,500 exchange-rate hedging transactions were closed, of which 27% passed through IDEA, for a notional value of approximately 900 million. Traditional spot and forward currency transactions came to 5,800, for a total of 2.3 billion.

The reporting year was an important one for the Market Hub, whose business was spread across a broad range of activities including offering innovative trading solutions suited to new market structures as well as increasing the efficiency of the auxiliary services of transparency and quality of information underlying the core business. There was a particular focus on building and consolidating the client base in the three business sectors: – Cash Equities: international market development with an increase of 20% in terms of volumes and 26% in terms of orders. In terms of markets, the year witnessed the first real shift in orders to MTFs to the detriment of national exchanges, which nonetheless remained the benchmarks by volume, owing in part to the severe volatility seen on the markets and the constant arbitrage between alternative venues; – ETD: the reporting year was devoted to transferring all of the London branch’s clients to Milan. The increase in brokered volumes compared to 2009 (+11.5%) is especially significant in light of the above

20 Report by the Board of Directors - Results by business area

transfer and represents proof of the appreciation of the level of service offered by Banca IMI. The increase was only marginally reflected on the segment’s overall profitability, due both to pressures on fee levels and the practice adopted by certain exchanges of imposing a fee cap for certain types of transactions; – Cash Bonds: the aforementioned European sovereign debt crisis also resulted in a decline in brokered volumes in this sector, and hence the need to modify conditions of access to the primary market for issuers with bonds nearing maturity or requiring refinancing or to suggest postponing the issuance of new bonds. A considerable degree of preference was shown for liquidity profiles, with a massive return to very short term investments (including BOT). Liquidity was ensured by the efficient operation of the multilateral EuroTLX system, within which Banca IMI confirmed its leadership 2, as well as its improved market share on the markets operated by Borsa Italiana 3. Also noteworthy were internalisation activities (RetLots).

Finance and Capital Management

Treasury and ALM Treasury and short-term curve operations continued to yield impressive profit margins in 2010 owing to high volatility and large brokerage margins. In the second part of the year, business took an especially conservative turn, given the scenario of distressed state of government debt markets for several days. Risk management was initially focused on the direction of the rate curve, which showed a less pronounced downtrend than in the past, yet a rising degree of volatility. In the second part of the year, macro-hedging strategies were implemented, allowing the Bank to maintain strong high profitability profile despite the two phases of extreme crisis in European capital markets relating to the sovereign debt situation.

The repurchase market offered excellent trading opportunities against the backdrop of more predictable rates. The general goal was to maintain a balanced interbank position by refinancing on the longer-term maturities.

The held-for-trading portfolio of Italian government bonds was managed conservatively, involving very short durations with the aim of seeking the opportunities offered by the market in the first part of the year. A substantial disposal was undertaken late in the year, passing from the peak of 9 billion reached in late June to approximately 3 billion in December 2010. Management of the AFS portfolio followed a similar strategy aimed at increasing diversification in the area of government and covered bonds in order to improve the carry profile.

Also worthy of note are the asset-financing transactions undertaken, which benefited from the Bank’s excellent liquidity position, allowing it to acquire profitable assets, as well as novation transactions, where the Bank deployed a degree of professionalism and expertise almost without peer in the Italian financial industry. The approval of the Liquidity Policy, consistent with that of the Intesa Sanpaolo Group, now places the Company among the users of market best practices and balances business requirements against the need for strict, efficient supervision of liquidity resources.

In credit market operations, Credit Treasury achieved positive results owing to the strong performance of the securities portfolio and brisk credit index trading business. Management was primarily tactical in orientation, and the stock of trading securities increased marginally, while the portfolio of loans and receivables, which includes approximately 400 million in ABSs, saw the transfer from the Parent Company of CDOs comprising U.S. leveraged loans in the amount of approximately USD 230 million. Finally, in the area of credit risk transfer, definition of the procedure for active management of credit value adjustment for derivatives was nearly completed, and an analysis of the possibility of extending that procedure to the structured loans in the banking book was launched.

In Strategic Asset Allocation, business was concentrated in the management of macro-hedges, suffering early in the year due to the intensified narrowing of credit spreads. Following the outbreak of the government debt crisis, that strategy proved especially appropriate. The most significant and profitable positions were hedges on the investment portfolio of government securities, specifically the long put position on EUR/USD and the long protection position on Italy risk. Tactical trading operations with a strong basis in quantitative models also continued, involving the creation of

2 Number-one by value of trades and number of transactions, with a market share of approximately 40%. 3 Number-two operator on the MOT, with 18% share, up from 14%, and number-one operator on the EuroMOT, with 23% share, up from 18%.

21 Report by the Board of Directors - Results by business area

algorithm-based strategies for equities and commodities, and the framework for efficient investment in alpha and relative-value strategies through total return swaps was also completed.

Investment Banking

Equity Capital Markets The reporting year was characterised by diverging performances by the world’s various equity markets. The primary market saw a sharp rise in volumes in Asia, stability in the United States and a decline in issues in Europe, with the sole exception of Germany. Within this scenario, Banca IMI reinforced its position of leadership on the domestic Italian market and continued to develop its international presence, achieving several significant successes.

In Italy, it acted as joint global coordinator and joint bookrunner for the largest European IPO of the year, Enel Green Power (2.5 billion). It organised capital increases by Safilo and Molmed and served as sponsor for the listing of Fiat Industrial. In secondary-market placements, it was joint bookrunner in accelerated bookbuilding for Prysmian and Amplifon. Banca IMI also coordinated the public purchase offerings for Fastweb, Permasteelisa and Beauty Healthcare. As confirmation of its traditional coverage of the small-caps segment, it oversaw the listing of Rosetti Marino on the MAC - Mercato Alternativo dei Capitali.

In the international arena, the Bank played important roles as co-bookrunner in the capital increase by Deutsche Bank (9 billion) and joint bookrunner for the capital increase by Telecinco, and acted as underwriter for capital increases by National Grid, National Bank of Greece and Standard Chartered. In placements, Banca IMI was part of the secondary offering syndicate for Banco do Brasil (USD 5.3 billion), acted as joint bookrunner in accelerated bookbuilding for Deutz and served as co-lead manager in accelerated bookbuilding for Axel Springer.

Debt Capital Market A total of 932 billion in new bonds were issued in Europe in 2010. Of the total, 71 billion was issued in Italy, a decline of 30% compared to 2009. Banca IMI, with 28 transactions closed for domestic Italian issuers, remained the national leader with a market share of 12.4% (8.8 billion) 4.

There was an especially high level of activity in the new corporate bonds segment, where the Bank acted as bookrunner for Eni, Prysmian, Italcementi, Edison, Acea, Telecom Italia, Mediaset, Atlantia, Luxottica, Saras and Impregilo. The Bank also increased its presence on the international market, where it acted as bookrunner for bonds issued by Deutsche Bahn, AB Inbev, PPR, Vodafone, General Electric and Auchan. It should be noted that the Bank was chosen to assist several important Italian companies in their debuts on the euro public debt market in the role of joint bookrunner. Worthy of note on the high-yield market is the Bank’s role as bookrunner in the issue of two tranches in euro and dollars by Wind and the issue by Seat Pagine Gialle. Also deserving of mention is the Bank’s coordination of the placement syndicate for the public bond offering by ENEL (3 billion): the two classes of bonds (fixed- and floating-rate) were distributed to the general public in Italy, France, Germany and Belgium.

In business with financial institutions, the Bank confirmed its leadership in the placement of bonds issued by Italian banks, further improving is position with European clients. On the domestic Italian market, the Bank acted as bookrunner for the eurobonds issued by Ubi Banca and Banca delle Marche, as well as for the senior unsecured notes issued by Intesa Sanpaolo, for which Banca IMI also served as joint bookrunner. In detail, these included 1 billion in eight-year notes, 12-year notes in pounds of a nominal 350 million and the first public bond issue in dollars (3.625% 08/2015 USD 1 billion), in addition to the ten-year bond (4.125% 04/2020 Euro 1.25 billion) and the double benchmark tranche launched early in the year (floater 01/2012 Euro 1.5 billion and 3.375% 01/2015 Euro 1 billion). In other business with the Parent Company, the Bank dealt in covered bonds secured by public assets and residential mortgages in the total amount of 3 billion.

In the subordinated debt segment, Banca IMI acted as joint lead manager and bookrunner to Intesa Sanpaolo for the first issue of hybrid tier 1 notes with an innovative Perp-NC2016 structure for 1 billion and ten-year lower tier 2 notes of 1.5 billion.

4 Source: Thomson Reuters – League Table All Bonds – 2010.

22 Report by the Board of Directors - Results by business area

In business with international clients, the Bank was joint lead manager and bookrunner for bond issues by LeasePlan, Nordea Bank, Banque PSA Finance and RCI Banque, all of which were placed throughout Europe. The Bank also acted as joint lead manager and bookrunner for covered bonds issued by Société Générale, BNP Paribas, Banque Populaires, The Royal Bank of Scotland and Unicredit. In retail placements, Banca IMI was responsible for placing bonds issued by leading international banks such as DNB Nor, Nordea Bank, Commonwealth Bank of Australia, HSBC and Danske Bank for a total of 2.5 billion.

In business with issuers in the Sovereign, Supranational and Agencies sector, the Company played an important role in the distribution of Italian government debt, ranking as the number-one bank by volumes of securities placed through syndicate in 2010. Of the six transactions managed, particular importance should be attached to the inaugural issues of the new CCTeu instruments, benchmarked on the Euribor, which are gradually to replace the traditional CCT notes linked to BOT yields, and the issue of new benchmark 15-year BTP notes (4.5% 09/2021 3 billion). Support for the nation’s funding strategy was also supplied by distributing private placements of 500 million to institutional investors.

In the international arena, the Bank served as joint bookrunner for the issue of two billion in five-year floating notes by theH ellenic Republic, while in the Sub-Sovereign segment the Bank played the roles of joint bookrunner for the issue of ten-year notes by Région Ile de France and joint lead manager for the new seven-year notes issued by Cassa del Trentino and guaranteed by the Autonomous Province of Trento.

Lastly, in the area of alternative investment products aimed at institutional clients, the Bank acted as financial advisor and sole placement agent in the placement of units of the real-estate investment fund Venti-M sponsored by the Metro Group and served as co-placement agent for units of the reserved real-estate fund Anastasia managed by Prelios SGR.

Advisory Although there were signs of improvement in the second half of the year, the volumes of completed M&A transactions were down in 2010 compared to the previous year, by 14% in Europe (366 billion) and 24% in Italy (25.4 billion). Within this scenario, the Bank nonetheless achieved positive results, completing 30 transactions worth a total of approximately 7 billion 5.

Business was especially brisk in the Energy and Utilities sector, where the Bank assisted: Iride in the merger with Enìa; Enel in the incorporation of a joint venture to operate hydroelectric power plans in the province of Bolzano; Gas Plus in the acquisition from Eni of Padania Energia, a company that holds gas reserves in Italy; the supervisory board of A2A in analyzing strategic options relating to the investments held in Edison and Edipower; F2i in its partnership with Iride to develop the water operations of Mediterranea delle Acque and in the acquisition from BBA Airports (Ferrovial Group) of Gesac (which operates the Naples airport). During the year, the Bank also assisted F2i and Axa with the acquisition of E.On Rete Gas Italia, a transaction scheduled to be closed in the first quarter of 2011, and Eni in the process of disposing of Eni GTI and the investment in Transitgas.

In the industrial sector, the Bank also assisted MetasystemGroup with the disposal of a majority interest in Octo Telematics to the fund Charme and Finaval Holding with the acquisition of Perazzoli Drilling; in the Luxury and Consumer Goods sector, it aided Safilo with the restructuring process that culminated in the acquisition of an investment in the Dutch group HAL and the owners of Fila with the acquisition of an interest by a new financial investor; and in the TMT sector, it assisted Swisscom with the delisting of Fastweb, TI Sparkle with the disposal of the parent company, Elettra, and HG Capital with the acquisition of Teamsystem. Further transactions included, in the Pharmaceuticals sector, the acquisition by a consortium of financial investors of Esaote, the acquisition by Sigma Tau of the pharmaceutical operations of the Enzon Pharmaceuticals group; in the Engineering & Construction sector, the acquisition by the Salini Group of 60% of the Todini Group; in the Automotive sector, the spin-off by FIAT of Fiat Industrial, carried out in the first few days of 2011; in the Airport Retailing sector, the acquisition by PAI of 50% of The Nuance Group, a deal which is expected to be closed in the first quarter of 2011.

In the Financial Institutions sector, the Bank assisted Fondazione Cassa di Risparmio di Lucca with the sale

5 Source: Thomson Reuters – League Table Any Italian Involvement – 2010.

23 Report by the Board of Directors - Results by business area

of its interest in Cassa di Risparmio di Lucca to Banco Popolare and TERCAS - Cassa di Risparmio della Provincia di Teramo with the acquisition of CARIPE - Cassa di Risparmio di Pescara e Loreto Aprutino. The Bank also advised the Parent Company regarding the sale of its custodian bank operations to State Street Corp., as well as the sale of 96 branches and Cassa di Risparmio della Spezia to Crédit Agricole.

Structured Finance

Leveraged and Acquisition Finance In 2010, European and Italian markets for leveraged finance transactions registered an uneven, uncertain performance, while yielding a recovery in the second half of the year. Within this scenario, Banca IMI acted as mandated lead arranger in structuring and disbursing a wide range of credit facilities, including: (i) 652 million for Gruppo Coin S.p.A. in connection with the acquisition of UPIM S.p.A.; (ii) GBP 375 million intended to finance the acquisition by the private-equity fund KKR of the Pets at Home Ltd group (Great Britain); (iii) 33.5 million for Kiko S.r.l. intended to cover the costs associated with the planned openings through 2012 and working capital needs; (iv) 212.8 million intended to finance the acquisition by the private-equity fund HG Capital of the Teamsystem Group (Italy); (v) GBP 90 million intended to finance the acquisition by the private-equity fund TPG of the Republic (Retail) Limited Group (Great Britain); (vi) 315 million intended to finance the acquisition by the private-equity fund Bridgepoint of the groups Histoire d’Or (France) and Marc Orian (France) and then integrate them; (vii) 353.8 million intended to finance the acquisition by Amplifon S.p.A. of the National Hearing Care Pty Ltd group (Australia); and (viii) 398 million intended to support the integration of the asset management companies Anima SGR and Prima SGR under the control of Banca Monte dei Paschi di Siena, Banca Popolare di Milano and the private-equity fund Clessidra SGR.

In collaboration with the competent relationship units of Intesa Sanpaolo’s Corporate Division, the unit also contributed to originating and structuring credit facilities featuring a high degree of financial leverage for corporate acquisition, leveraged buy-out and medium-term refinancing transactions set to be executed in 2011.

Project and Industry Specialized Lending In 2010 the Bank continued to follow a selective approach in assessing transactions based essentially on the presence of sponsors of high standing and an adequate risk profile. The goal pursued was to take the role of a regional player, while maintaining a strong position on the domestic market, leveraging the Group’s international network and existing client base.

Various credit facilities were closed in the Energy sector with the Bank acting as mandated lead arranger. These include (i) 566 million for Synerail, a French company sponsored by Vinci, for the development of a mobile telephone network (GSM-R technology) devoted to serving the French rail network (syndicated share of 67.5 million); (ii) 93 million for Planta de Regasificación de Sagunto (SAGGAS), a Spanish company whose sponsors included the ENI Group, for the expansion of a regasification plant located near Valencia, Spain; (iii) 1,590 million for Exeltium, a French company incorporated at the initiative of a consortium formed by the main industrial groups operating in the chemicals, metallurgy and paper-making industries in France; the transaction was intended to finance the purchase of electrical power under a 24-year contract aimed at reducing the volatility of energy prices (syndicated share of 150 million); (ivi) USD 540.8 million, part of a larger facility involving Saudi Arabian multilateral agencies and banks, for Dhuruma Electricity Company (Project Riyadh PP11), a Saudi Arabian company with GDF-Suez and Saudi Electricity Company among its sponsors, for the construction of a combined-cycle natural gas power plant near the Saudi Arabian capital; (v) 1,318.3 million for Escal UGS (Project Castor), a Spanish company with ACS as its main sponsor, for the construction of a strategic gas storage facility off the coast of Valencia; and (vi) 230 million for Falck Renewables Plc, a wind-power company, intended to finance the construction of a wind-power park in Sardinia that with its 69 turbines and total installed capacity of 138 MW will rank among Europe’s largest.

In the Telecoms sector, the Bank acted as mandated lead arranger for credit facilities issued to Wind Telecomunicazioni in the total amount of 3.2 billion in support of refinancing the company’s existing debt. Banca IMI’s share came to 327 million. In the Infrastructure sector, the Bank closed credit facilities in support of the extraordinary transaction involving the Naples airport, while in the Shipping sector it issued a total of USD 50 million in credit facilities, acting as mandated lead arranger for top Italian companies.

24 Report by the Board of Directors - Results by business area

Real Estate The European and Italian real-estate market continued to register a difficult, uncertain performance in 2010. Despite this scenario, Banca IMI maintained its position of leadership in structuring loans and covered all segments of the market, offering a full range of financial products dedicated to real estate and also providing specialised advisory services to the real-estate sector. Origination remained brisk thanks to constant cooperation with the other units of the Corporate and Investment Banking Division.

In detail, the Real Estate business unit structured a total of 1.7 billion in credit facilities in the role of mandated lead arranger. These include: (i) 67 million in support of an acquisition by Beni Stabili of a property intended for hotel use located on Corso Matteotti in Milan; (ii) 197 million in support of the acquisition by the funds Anastasia and Monteverdi of a real-estate portfolio consisting primarily of already leased properties and the associated capital expenditures; (iii) 306 million in support of the acquisition and development by the fund HB (Tritone) of land and building rights pertaining to seven property development initiatives within the municipality of Rome, for total gross area of approximately 300,000 m²; (iv) the refinancing of a total of 316 million in debt held by the real-estate fund Cloe, managed by Prelios SGR; and (v) 167 million in support of the acquisition of a portfolio of 20 properties leased to Metro in Italy by the real-estate fund Venti-M managed by BNP REIM SGR.

In real-estate advisory business, Banca IMI is assisting several real-estate operators with developing their portfolios. Discussions are also in progress with leading Italian asset management companies concerning the potential structuring and placement of real-estate funds with institutional investors. These include the mandates received from the Franza Group – brought to a positive conclusion – to develop two luxury hotels located in Taormina; the Redigaffi Group, to develop the real-estate portfolio of the real-estate fund Fondo Due; and Pirelli Real Estate (currently Prelios) in the de-merger from Pirelli & C. S.p.A.

Syndication In 2010 the syndicated loan market showed a high degree of volatility and general market complexity. Especially in the first part of the year, syndication activity on the Euromarket focused on supporting financing transactions by forming club deals.

In the second half of the year, there was a recovery in the leverage and acquisition transactions undertaken in syndication by institutional investors as well, along with a resumption of underwriting activity.

The main transactions in which Banca IMI acted as global coordinator, mandated lead arranger and/or bookrunner were as follows: Farmafactoring, Lottomatica, Pirelli, Prada, Prysmian (Forward Start Agreement), Fiat Industrial, Team System and Telecom Italia S.p.A. On the domestic Italian market, the Bank, in part through the Intesa Sanpaolo Group, confirmed its leadership, taking the top position as mandated lead arranger and bookrunner 6.

Securitisation and Risk Transfer The uptrend in the asset-backed commercial paper market that began in 2009 continued in the reporting year, with a gradual expansion of the investor pool, although spreads declined. The Bank acted as arranger in structuring the securitisation of: (i) receivables deriving from the production and sale of steel generated by a European group of companies belonging to the ArcelorMittal Group; (ii) receivables deriving from leasing and financing contracts entered into by Comifin S.p.A. with Italian pharmacies; and (iii) a portfolio of leasing receivables issued to Italian customers of GE Capital Servizi Finanziari.

In addition, the Bank completed the securitisation of receivables deriving from car loan agreements issued to German retail customers of FGA Bank Germany in the total amount of 700 million. The senior notes, rated AAAsf/AAA(sf), met with great interest from European institutional investors. In transactions aimed at creating bank instruments eligible for open-market transactions with the ECB, the Bank acted as sole arranger, sole lead manager and hedging counterparty in the securitisation of receivables deriving from residential mortgages originated by Cassa Risparmio di Asti in the amount of approximately 470 million. The Bank also completed the securitisation of residential mortgages originated by a regional bank in the amount of 150 million, subsequently subject to a repurchase agreement with Banca IMI.

6 By amount and number of transactions, according to Dealogic.

25 Report by the Board of Directors - Results by business area

In business on behalf of the Intesa Sanpaolo Group, the following deals were closed: the inaugural public issue in April of the public-sector covered bond programme ISP CB Pubblico for a total of 2 billion; and the structuring as joint arranger in October of the mortgage covered bond programme ISP CB Ipotecario, leading to the closing of the inaugural issue of 1 billion.

The Bank was also responsible for the hedging of the inaugural and second issues in the covered bond programme of Banco Popolare, with a total notional value of 4.3 billion, and the Felsina Funding S.r.l. securitisation undertaken by Banca di Bologna in the amount of 250 million.

Loan Agency In continuity with the previous year, 2010 was distinguished by extensive demand for Banca IMI to act as agent bank in syndicated loans, both for corporate clients and Banca dei Territori customers. This demand contemplates all types of loans: plain-vanilla, more complex structured-finance transactions, club deals and international syndicates.

26 Results in 2010

Banca IMI’s year-end results at 31 December 2010 show a net income of 547 million, up 7.6% on the 509 million reported at the end of the previous year.

In the interest of a more complete analysis of earnings performance, the following table shows the income statement in reclassified form, which permits a more accurate presentation of the main captions that compose core business results and results of a non-recurring nature.

Restated income statement (in millions of euro) 31.12.2010 31.12.2009 changes amount % Net interest income 500.0 451.2 48.8 10.8 Net fee and commission income 258.1 242.9 15.2 6.3 Profits from financial transactions 304.2 436.8 (132.6) -30.4 Core business results 1,062.3 1,130.9 (68.6) -6.1 Net non-recurring results 40.6 (93.0) 133.6 Net interest and other banking income 1,102.9 1,037.9 65.0 6.3 Net administrative expenses: (287.3) (265.0) (22.3) 8.4 of which: - personnel expenses (114.1) (106.2) (7.9) 7.4 - other administrative expenses (173.2) (158.8) (14.4) 9.1 Adjustments to property, equipments and intangibles assets (0.6) (0.9) 0.3 Operating costs (287.9) (265.9) (22.0) 8.3 Income from other activities 815.0 772.0 43.0 5.6 Provisions and adjustments (37.8) (10.1) (27.7) Other operating income (expenses) 5.1 5.7 (0.6) -10.5 Income before tax from continuing operations 782.3 767.6 14.7 1.9 Taxes on income from continuing operations (235.0) (259.0) 24.0 -9.3 Net income 547.3 508.6 38.7 7.6

In further detail: – the dividends and manufactured dividends collected on shares held for trading, as well as the costs of placing HFT financial instruments, have been attributed to profits from financial transactions; – revenues and costs associated with strategic operations or of a non-recurring nature are presented on a separate line within net interest and other banking income (net non-recurring results); and – personnel expenses and other administrative expenses are stated net of recoveries.

27 Report by the Board of Directors - Results in 2010

Net interest and other banking income showed significant overall growth, with positive progress from one quarter to the next.

On the one hand, there was a continuing trend towards a lesser contribution by investments in debt securities, net of the costs of funding through repurchase agreements, primarily due to the more limited carry margins. The discrepancy in the scope of operation between the two years compared resulted in the triplication of structured finance loans. This segment’s contribution, which remained essentially stable throughout 2010, should be considered in light of the funding expenses of approximately 70 million included in the sub-caption “Borrowings”.

Net interest (in millions of euro) 31.12.2010 31.12.2009 changes amount % Bond and repo 388.5 408.3 (19.8) -4.8 Structured finance 175.3 63.5 111.8 Interbank market 840.0 958.7 (118.7) -12.4 Loans (90.7) (39.6) (51.1) Bond issues (803.5) (927.4) 123.9 -13.4 Other (9.6) (12.3) 2.7 -22.0 Net interest income 500.0 451.2 48.8 10.8

Bond funding expenses, which include both the face interest paid to bondholders and the positive differentials on hedging transactions, are juxtaposed in both periods to the revenues on the investment of funds, primarily in the form of deposits held with the Parent Company. The changes in the associated balance-sheet aggregates are commented upon below in this report. The remaining funding costs refer to funding for equity instruments, the management of cash collateral and account overdrafts.

28 Report by the Board of Directors - Results in 2010

Income on services rendered, up 6.3%, was driven by origination, arrangement and risk assumption in the Structured Finance segment, while the contribution of the Capital Markets segment remained essentially unchanged.

In detail, the decrease in revenues on the dealing and acceptance of trading instructions, which were negatively affected by the sovereign debt crises, the bear equity market performances and the shift in investors’ choices, was followed by an increase in the revenues given back by the Parent Company on the brokerage of spot and forward exchange transactions.

Thanks to the strategy of diversifying its businesses, Banca IMI was able to improve upon the level of profitability achieved at 31 December 2009, a year in which it reported considerable revenue volume (of a non-recurring nature) on advisory and placement on the primary market. In contrast, 2010 offered fewer opportunities in investment banking, which resulted in the postponement - and in some cases the cancellation - of M&A and IPO transactions already announced to the market.

Net fee and commission income (in millions of euro) 31.12.2010 31.12.2009 changes amount % Dealing and consultancy Dealing and acceptance of trading instructions 25.7 30.0 (4.3) -14.3 Currency dealing 31.2 26.9 4.3 16.0 Placement of equity and debt 76.8 112.2 (35.4) -31.6 Structured finance 125.1 55.4 69.7 Advisory 19.1 37.2 (18.1) -48.7 Other 1.7 1.6 0.1 6.2 279.6 263.3 16.3 6.2 Management and services Custody and administration of securities (15.3) (14.4) (0.9) 6.3 Collection and payment services (6.0) (6.0) Other services (0.2) 0.0 (0.2) (21.5) (20.4) (1.1) 5.4 Net fee and commission income 258.1 242.9 15.2 6.3

29 Report by the Board of Directors - Results in 2010

Financial profits were affected by the difficult conditions on debt markets. Throughout 2010, operators’ attention was drawn to government-debt tensions, a phenomenon that conditioned both the Fixed Income desk’s activity and the overall return on the investment portfolio.

The Greek crisis, followed by the Irish crisis, concerns of possible spread to other European nations and bank debt and, most recently, other issuers, had a significant affect on capital markets across all asset classes, resulting in larger and more volatile credit spreads. Lesser realised profits were thus accompanied by decreases in the fair value of portfolios of trading securities, including those issued by the Group for its retail customers.

Financial profits (in millions of euro) 31.12.2010 31.12.2009 changes amount % Assets: rates and receivables 211.0 344.7 (133.7) -38.8 Assets: stock securities and indices 10.8 (14.9) 25.7 Assets: currencies 66.4 86.3 (19.9) -23.1 Other assets 16.0 20.7 (4.7) -22.7 Total 304.2 436.8 (132.6) -30.4

Profits on rates and debt securities include approximately 15 million in profits on the sale of securities from the AFS portfolio (73 million at 31 December 2009). Conversely, the caption excludes the effects (losses of 47 million, net of the tax effect) of the mark-to-market of securities at the end of the year, effects which were instead registered through shareholders’ equity reserves.

Business on equity markets, which was essentially comparable in volume to 2009, was increasingly concentrated in regulated and organised markets, to the detriment of OTC markets. The significant demand for certificates with equities as their underlying assets brought the notional amount placed to 800 million, up from 600 million in 2009.

The recovery of flows originating with clients, the more significant role played by Banca IMI on the ETF segment in Italy, France, the Netherlands and Germany, the acquisition of the role of market maker on the Liffe market for Dutch securities beginning in 2010 and the lesser degree of volatility of equity prices and indices all contributed to improving the segment’s overall profitability.

The operating dynamics commented upon above drove core business results to exceed the considerable amount of one billion euro. The aggregate (1,062 million) was in line with pre-determined objectives, although down 6% compared to 1,131 million at 31 December 2009, essentially owing to the changed, less favourable economic context in which Banca IMI operated.

Net non-recurring results include income and expenses not attributable to operating desks or deriving from the application of international standards.

The caption thus includes the valuation expenses for the bonds issued by Banca IMI and subject to the fair value option instead of the amortised cost method.

The volatility of the creditworthiness of bank issuers resulted in alternating positive and negative effects from one quarter to the next, also influenced by redemptions of 2 billion in bonds. The offsetting effects result in the marginal registration during the 12 months of 1 million in costs - compared to 129 million at 31 December 2009 - due to the measurement of the liabilities issued by Banca IMI designated at fair value.

The residual creditworthiness component of 16 million will be reversed to the income statement in 2011 and 2012 as the financial duration of the stock of bonds is gradually reduced.

30 Report by the Board of Directors - Results in 2010

Net non-recurring results (in millions of euro) 31.12.2010 31.12.2009 changes amount % Capital gains on investments 36.5 10.5 26.0 IMI Creditworthiness (1.2) (129.0) 127.8 -99.1 SPQR II Creditworthiness 5.3 25.5 (20.2) -79.2 Net non-recurring results 40.6 (93.0) 133.6

The negative effects described above were offset by the income of the same nature recognised in conjunction with the early redemption of the securitisation of own receivables designated SPQR II. That sum of 5.3 million, previously presented in the financial report at 30 June 2010, refers to the underlying securities in that transaction, which were repurchased in their entirety in July. The caption is rounded out by capital gains on investments, which in both periods included dividends paid by subsidiaries, and therefore deriving from operational management in previous years.

Net interest and other banking income came to 1,103 million for the year, up 6.3% from the 1,038 million reported in the previous year. In accordance with the accounting standards applied, the figure for the previous year reflected the reversal of over 140 million euro in revenue recognised in 2008 on the valuation of bonds designated at fair value. That effect derived from the depreciation of prices of instruments issued by financial institutions, including Banca IMI.

Turning to a review of operating costs, it should firstly be noted that the difference in the Bank’s industrial structure between the two years at issue render a comparison with 2009 (an overall increase of 8.4%) scarcely meaningful.

Subsequent to the contribution of the Structured Finance business unit, personnel expenses remained essentially stable from one quarter to the next, while increasing over 7% on an annual basis. The expenses in question initially showed structural growth, reflecting the larger workforce, which effective 14 September 2009 also witnessed the transfer of the employment agreements with 125 resources (some of whom were already on partial secondment). The number of employees then increased, with a net total of 23 incoming new staff members in the 12 months.

Other administrative expenses were up 9%, driven largely by an increase in the cost of services outsourced to Intesa Sanpaolo Group Services, which rose by an average of 12% in all four quarters. The above increase was due not only to the expanded scope of post-trading support services, but also the broader base of information technology investments and new products in 2010.

Administrative expenses (in millions of euro) 31.12.2010 31.12.2009 changes amount % Outsourcing costs (108.1) (96.8) (11.3) 11.7 Compulsory costs (4.3) (2.6) (1.7) 65.4 Logistics and functioning costs (7.8) (7.8) 0.0 0.0 Databases and market information costs (31.8) (32.4) 0.6 -1.9 Legal and consulting expenses (12.5) (11.1) (1.4) 12.6 Other expenses (8.7) (8.1) (0.6) 7.4 Total administrative expenses (173.2) (158.8) (14.4) 9.1

Increases in costs under the direct control of Banca IMI were driven by growth of the areas of operation: compulsories costs include the greater contributions to supervisory authorities in proportion to the

31 Report by the Board of Directors - Results in 2010

financial instruments issued and business volumes and legal and consulting expenses reflect greater investments in business initiatives, while those of a more strategic nature remained stable on the whole. The remaining operating expenses increased moderately and are expected to rise in 2011 once all of the Bank’s units have been moved to the property complex located on Largo Mattioli.

Lastly, the constant decrease in the amount of adjustments to property, equipment and intangible assets was due to the industrial structure of the Bank, which carries solely non-information technology assets and long-term leasehold improvements.

Due to the foregoing factors, operating income came to 815 million, up more than 5% on 2009 (772 million). The cost-income ratio remained essentially stable at 26.1% from the previous 25.6%.

The net income of 547 million is after provisions for risks and charges and net adjustments of 38 million. The above adjustments were driven to an essentially equal extent by two factors, the deterioration of the valuation parameters employed to determine the collective impairment losses on on-balance sheet loans and commitments to lend, following a trend that began as early as the second quarter, and the adjustment of individual impairment losses on positions classified as substandard and restructured. They also include the adjustment of 1 million to the carrying amount of the investment in EuroTLX. Provisions for risks and charges of 8 million were recognised in order to establish adequate coverage of the remaining liabilities.

Net Income (in millions of euro) 31.12.2010 31.12.2009 changes amount % Income from operating activities 815.0 772.0 43.0 5.6 Provisions and adjustments (29.8) (4.8) (25.0) Provisions for risks and charges (8.0) (5.3) (2.7) Other non-operational revenues 13.1 10.0 3.1 31.0 Other non-operational charges (8.0) (4.3) (3.7) 86.0 Profits from ordinary activities 782.3 767.6 14.7 1.9 Income taxes for the period (235.0) (259.0) 24.0 -9.3 Net income 547.3 508.6 38.7 7.6

There was essentially no change in the contribution of other non-operational revenues, which in both years included the release to the income statement of provisions exceeding the sum effectively required to discharge the liability (2.5 million and 1 million, respectively), revenues due to the derecognition of liabilities to suppliers (3.5 million and 0.5 million, respectively) and the elimination from the accounts of positions payable and receivable.

Net income is also after income taxes of 235 million, resulting in a tax rate of 30%. That percentage, which is lower than both the 2009 rate (33.7%) and the structural rate to which the Company is subject, reflects phenomena that affected the first half of the year: the lesser fiscal relevance of the dividends paid by subsidiaries and the positive effects of the realignment of the tax value of the goodwill carried in the financial statements. In light of the circular distributed by the Italian Revenue Agency in March 2010, a positive opinion was formed regarding the possibility of paying a substitute tax for the amount recognised in conjunction with the contribution of the Structured Finance business unit. In further detail, tax assets corresponding to a tax savings of 62.7 million in future years were recognised on the basis of the payment of a substitute tax of 31 million.

Audits of the years from 2003 to 2006 that may result in tax liabilities are currently in progress. The audits notified on the Bank to date primarily regard transactions in equity instruments, in addition to other matters typical of banking operations. Banca IMI will defend its rights at all instances of the proceedings, under the conviction that many of the allegations are unfounded and based on faulty interpretations of the tax code, in some cases even in conflict with the letter of the law.

32 Report by the Board of Directors - Results in 2010

Quarterly reclassified income statement figures are presented in the following table in the interest of further analysis of the development of the income statement during the years compared.

Restated Income Statement by quarter (in millions of euro) 4QT10 3QT10 2QT10 1QT10 4QT09 3QT09 2QT09 1QT09 Net interest income 145.6 122.6 128.4 103.4 96.4 113.3 121.0 120.5 Net fee and commission income 88.2 48.8 47.1 74.0 74.5 49.5 57.3 61.6 Profits from financial transactions 45.5 27.6 58.4 172.7 57.2 98.0 184.1 97.5 Core business results 279.3 199.0 233.9 350.1 228.1 260.8 362.4 279.6 Net non-recurring results 0.8 (7.2) 48.0 (1.0) (8.6) (15.0) (29.8) (39.6) Net interest and other banking income 280.1 191.8 281.9 349.1 219.5 245.8 332.6 240.0 Net administrative expenses: (70.5) (70.7) (74.1) (72.0) (75.2) (65.1) (61.6) (63.1) of which: - personnel expenses (27.1) (28.7) (29.2) (29.1) (31.9) (26.8) (23.2) (24.3) - other administrative expenses (43.4) (42.0) (44.9) (42.9) (43.3) (38.3) (38.4) (38.8) Adjustments to property, equipments and intangibles assets (0.2) (0.2) (0.1) (0.1) (0.3) (0.2) (0.2) (0.2) Operating costs (70.7) (70.9) (74.2) (72.1) (75.5) (65.3) (61.8) (63.3) Income from other activities 209.4 120.9 207.7 277.0 144.0 180.5 270.8 176.7 Provisions and adjustments (13.2) (11.4) (11.2) (2.0) (5.7) (0.1) (4.3) 0.0 Other operating income (expenses ) 6.5 (0.3) (0.9) (0.2) 3.3 0.9 2.0 (0.5) Income before tax from continuing operations 202.7 109.2 195.6 274.8 141.6 181.3 268.5 176.2 Taxes on income from continuing operations (*) (77.0) (38.0) (56.7) (63.3) (43.0) (64.0) (94.0) (58.0) Net income 125.7 71.2 138.9 211.5 98.6 117.3 174.5 118.2

(*) The low tax rate of 1QT2010 and 2QT2010 reflects the positive effects from realignment of the fiscal value of goodwill and the cash in of dividends distributed by subsidiaries.

33 Report by the Board of Directors - Results in 2010

Lastly, a statement of reconciliation between the results of the statutory income statement and the corresponding aggregates of the reclassified income statement is provided.

Reconciliation between the restated income statement as at 31 December 2010 with the civilistic balance sheet (in millions of euro) RESTATED INCOME INCOME STATEMENT - CIVILISTIC SYSTEM STATEMENT TOTAL revenues expenses Liabilities Dividends and charges at fair value Income taxes Net commissions Profits on disposal Profits Negotiating results Net interest income Net interest Personnel expenses Other administrative and intangible assets Net value adjustments Net profit from hedging from Net profit Adjustments to tangible Other costs and operating Alloc. to provisions for risks Alloc. to provisions Net interest income 491.8 8.2 500.0 Net fee and commission income 258.1 258.1 Financial profits (5.7) (42.6) 317.5 37.9 0.7 21.0 (24.6) 304.2

Non-recurring results 36.5 5.3 (1.2) 40.6

Personnel expenses (114.1) (114.1)

Administrative expenses (1.0) (175.7) 3.5 (173.2) Adjustments to property, equipment and intangibles (0.4) (0.2) (0.6) Allocations and adjustments (29.8) (8.0) (37.8)

Other revenues and costs (1.4) 6.5 5.1

Income taxes (235.0) (235.0)

TOTAL 486.1 215.5 354.0 43.2 0.7 29.2 (25.8) (31.2) (115.1) (175.7) (0.4) (8.0) 9.8 (235.0) 547.3

The restated income statement aims to better represent management phenomena, highlighting the economic connection of some civilistic plan items.

Specifically: – net interests take account of the effects of liabilities valued at fair value, hedging operations and all of financial transaction similar to them; – the dividends and manufactured dividends received on trading and returns to distribution networks are reported among the financial profits; – the results of liabilities assessed at fair value are among the financial profits, the item that includes the revenues from related investments; – non-recurring proceeds and costs are shown on a separate line; – other administrative expenses net of reimbursements and recovered amount total.

34 Financial aggregates

The following table provides a summary of asset and liability figures at 31 December 2010 and 31 December 2009, reclassified as appropriate on the basis of the nature of the underlying relationship.

Summary of the reclassified Asset and Liability Statement (in millions of euro) Assets 31.12.2010 31.12.2009 changes amount % 1. Due from banks and customers: - Repurchase agreements 11,859.3 9,249.4 2,609.9 28.2 - Securities lending 224.5 196.6 27.9 14.2 - Fixed-income securities 1,582.8 1,517.7 65.1 4.3 - Collateral deposited 2,901.7 1,740.4 1,161.3 66.7 - Structured finance assets 6,507.9 5,840.0 667.9 11.4 - Interbank deposits 41,086.1 37,196.5 3,889.6 10.5 - Checking accounts and other accounts 1,463.3 1,248.0 215.3 17.3 2. Financial assets held for trading - Fixed-income securities 11,627.5 13,367.4 (1,739.9) -13.0 - Stocks and quotas 540.7 558.6 (17.9) -3.2 - Valuation of off-balance sheet trading transactions 42,959.1 41,062.1 1,897.0 4.6 - Valuation of off-balance sheet hedging transactions 987.4 886.7 100.7 11.4 3. Investments - Fixed income securities AFS 2,856.7 3,811.0 (954.3) -25.0 - Equity investments, share capital and UCITS AFS 96.1 48.2 47.9 99.4 4. Other assets - Property, equipment and intangible assets 194.9 195.2 (0.3) -0.2 - Other asset items 798.0 406.8 391.2 96.2 Total Assets 125,686.0 117,324.6 8,361.4 7.1

35 Report by the Board of Directors - Financial aggregates

(in millions of euro) Liabilities 31.12.2010 31.12.2009 changes amount % 1. Due to banks and customers - Repurchase agreements 16,463.1 15,961.6 501.5 3.1 - Securities lending 187.1 214.1 (27.0) -12.6 - Collateral received 4,401.7 3,444.9 956.8 27.8 - Loans 11,215.0 7,473.4 3,741.6 50.1 - Checking accounts and other 678.2 2,760.7 (2,082.5) -75.4 2. Financial assets held for trading - Valuation of off-balance sheet trading transactions 45,358.2 42,101.0 3,257.2 7.7 - Short selling 2,578.3 2,307.2 271.1 11.8 - Valuation of off-balance sheet hedging transactions 586.9 668.9 (82.0) -12.3 3. Issues - fair value issues 1,213.4 3,224.4 (2,011.0) -62.4 - other 39,549.1 35,694.1 3,855.0 10.8 4. Vehicle funds 26.4 24.1 2.3 9.5 5. Other liabilities 477.2 510.4 (33.2) -6.5 6. Net shareholder's equity: - Share capital and reserve 2,404.1 2,431.2 (27.1) -1.1 - Net income 547.3 508.6 38.7 7.6 Total Liabilities and Shareholders' equity 125,686.0 117,324.6 8,361.4 7.1

(in millions of euro) Off-balance sheet transactions 31.12.2010 31.12.2009 changes amount % Guarantees given and commitments to lend 6,530.8 4,427.2 2,103.6 47.5 Financial derivatives 3,010,644.2 3,071,738.7 (61,094.5) -2.0 Credit derivatives 99,643.5 133,373.1 (33,729.6) -25.3

During the year, the amount of financial assets held for trading showed a gradual increase in the government bonds segment, which peaked at over 10 billion in mid-year. In the third quarter, scheduled redemptions resulted in a decrease in investments in Italian government bonds. As part of a tactical approach, those investments, which were funded solely through repurchase agreements, were not renewed. The year-end figure thus falls short of that reported at 31 December 2009.

Trading securities portfolio (in millions of euro) 31.12.2010 30.06.2010 31.12.2009 changes on 12/09 amount % - Government and public agency securities 4,939.1 10,534.1 7,302.6 (2,363.5) -32.4 - Bonds and other debt securities 6,688.4 6,040.5 6,064.8 623.6 10.3 - Capital securities 540.7 1,950.3 558.6 (17.9) -3.2 - Stocks 178.6 390.6 115.3 63.3 - Quotas at UCITS 362.1 1,559.7 443.3 (81.2) Total 12,168.2 18,524.9 13,926.0 (1,757.8) -12.6

The trend in investments in UCITS reflects factors of a cyclical nature associated with transactions in ETFs, partly relating to the lending of U.S. securities. Seasonal factors also shaped the volume of equity holdings, concentrated in instruments and markets for which Banca IMI has acquired the role of market- maker.ruolo di market maker.

36 Report by the Board of Directors - Financial aggregates

Investments in debt securities for a longer holding period are classified among loans and receivables and available-for-sale assets.

The former, which are not listed on an active market and normally acquired on the primary market, showed a total residual value of 1.6 billion at year-end. These include the securities reclassified from held-for-trading to loans and receivables in 2008. This portfolio, the original amount of which was 721 million, consists of senior, highly rated RMBSs acquired with the aim of forming a high-yield portfolio, intended essentially for Italian issuers and with a loan-to- value ratio of less than 50%. The following table presents changes at half-yearly intervals:

L&R Portfolio - reclassified debt securities: dynamics (in millions of euro) 2H2010 1H2010 2H2009 1H2009 2H2008 Initial Amount 361.9 409.9 507.0 640.7 721.2 Reimbursements (38.2) (48.7) (100.3) (135.6) (85.2) End period accruals and amortized cost 0.8 1.0 1.5 2.0 8.1 Portfolio impairment 0.9 (0.3) 1.7 (0.1) (3.4) Final Amount 325.4 361.9 409.9 507.0 640.7

Fair value 325.7 358.2 381.6 453.7 640.7

The portfolio’s carrying amount and fair value were essentially equal at year-end, bearing witness to the gradual improvement over the market situation that had penalised the credits and securitised instruments sector regardless of the quality of the issuers, underlying assets and redemption performance.

In 2010, the loans and receivables portfolio, which also includes 1 billion in securities issued by a leading Italian bank and 100 million in corporate bonds acquired through structured finance operations, expanded to include 150 million in additional investments in financial-sector securities. The securities, all of which were acquired within the Group at arm’s-length conditions, are part of the strategy of gradually centralising financial risks and capital markets operations with Banca IMI.

Debt securities classified as available for sale are held according to the strategy of forming a bond portfolio with a medium-/long-term holding period aimed at maximising the Bank’s strong capital position and proven fund-raising capacity in terms of profitability, while at the same time limiting the volatility on the income statement caused by price fluctuations in the short term. Year-end portfolio balances fell to 2.9 billion at 31 December 2010 and consisted primarily of government bonds issued or guaranteed by Italy, the European Union and the U.S. Treasury. A part of these securities was hedged through the use of interest rate swap contracts with the aim of protecting the portfolio from fluctuations in interest rates.

37 Report by the Board of Directors - Financial aggregates

Loans to customers are entirely attributable to the Structured Finance segment and include the Risk Participation Agreement profiting the Parent Company for on-balance sheet exposures held in portfolio by the latter. Approximately 2 billion of total loans issued are attributable to the London branch.

In qualitative terms, in 2010 the portfolio was affected by the restructuring of exposures towards a single borrower, with the expectation that in the following year a portion of an outstanding loan will be transformed into a convertible bond, and the classification of a single position as substandard.

Credit Portfolio (in millions of euro) Gross Adjustments (**) Net exposure Coverage exposure On-balance sheet exposure - performing loans 6,354.1 (98.2) 6,255.9 1.55% - restructured exposures (*) 256.5 (20.0) 236.5 7.80% - substandard loans (*) 17.5 (2.0) 15.5 11.43% Guarantees given 1,599.3 (15.3) 1,584.0 0.96% Irrevocable commitments to lend 1,685.6 (2.4) 1,683.2 0.14% Total 9,913.0 (137.9) 9,775.1

(*) Inclusive of amounts authorised but not drawn down of 10 and 3 million, respectively. (**) Inclusive of the deductible of 10.5 million on Risk Participation Agreements entered into with Intesa Sanpaolo.

The overall development of the economic scenario resulted in an increase in prudential impairment of the portfolio of performing loans: the average percentage of portfolio impairment of on-balance sheet loans thus rose to 1.55% from the previous 1.33%. There was an analogous increase in the percentage for commitments to lend, as the combined effect of the recognition of provisions for risks and the “deductible” of approximately 10 million granted by Intesa Sanpaolo for the first losses on the loan portfolio protected by RPAs.

Turning to the various forms of funding, bond issues showed continued growth, primarily in the rate-indexed segment, while instruments for which the fair-value option has been exercised, which have an average duration of approximately one year, were gradually redeemed.

Bond issues (in millions of euro) 31.12.2010 30.06.2010 31.12.2009 changes on 12/09 amount % - Bond issues: rate indexed 36,997.1 37,465.3 33,075.2 3,921.9 11.9 - Bond issues: equity indexed 2,552.0 2,678.7 2,618.9 (66.9) -2.6 - Bond issues: CPPI indexed 1,213.4 1,736.6 3,224.4 (2,011.0) -62.4 Total 40,762.5 41,880.6 38,918.5 1,844.0 4.7

The modest decline in the aggregate compared to the figure at the end of June was due to the Group’s commercial decision to postpone further placements of Banca IMI bonds to replace the considerable redemptions that occurred in the fourth quarter of 2010 until early 2011.

The increase in funding continued to drive treasury investments. At year-end, the interbank position saw a further rise in time deposits with the Parent Company, following similar trends to securities funding.

Interbank funding remained essentially stable, directed towards investments in the banking book and cash equities and capital market instruments, while also serving as an alternative approach to funding the fixed-income portfolio.

38 Report by the Board of Directors - Financial aggregates

Net inter-bank position (in millions of euro) 31.12.2010 30.06.2010 31.12.2009 changes on 12/09 amount % Net inter-bank position on demand: - checking accounts and other 197.6 282.0 (70.6) 268.2 - cash deposits 15.6 0.0 (10.0) 25.6 213.2 282.0 (80.6) 293.8 Net term inter-bank position: - time deposits 40,352.5 41,518.3 37,710.3 2,642.2 7.01 - loans (10,109.1) (10,414.0) (9,507.5) (601.6) 6.33 30,243.4 31,104.3 28,202.8 2,040.6 7.24 Net inter-bank balance 30,456.6 31,386.3 28,122.2 2,334.4 8.30

Management of funding and investments steered the Bank towards money-market instruments and debt securities. As shown by the statement of cash flows, Banca IMI generated over 400 million in cash from operating activity while using 450 million in cash to pay dividends.

Turing to credit derivatives transactions, there was an overall decrease in the stock of outstanding contracts (banking and financial, listed and OTC) compared to the levels reported at the end of the previous year.

Credit derivatives (in millions of euro) Sector of the reference entity 31 December 2010 30 June 2010 31 December 2009 Protection Protection Protection Protection Protection Protection purchases sales purchases sales purchases sales Governments 3,207.8 3,072.4 3,449.8 3,152.1 2,352.2 1,880.8 Banking and Financials 13,615.0 12,524.0 12,426.1 11,653.5 12,083.4 11,335.8 Insurance companies 1,318.5 1,221.5 1,253.9 1,171.9 1,573.2 1,481.2 Corporates 8,163.2 7,050.1 5,890.9 4,845.6 3,759.9 3,273.6 Indices 24,890.4 24,580.6 18,598.7 18,362.2 47,963.7 47,669.3 Total 51,194.9 48,448.6 41,619.4 39,185.3 67,732.4 65,640.7

In the credit derivatives segment, total notional amounts, down by over 30 billion compared to the end of 2009, showed a significant decrease in instruments for which the underlying assets are U.S. and European credit indices and an increase of over 10 billion in brokered volumes for single-name banking and corporate derivatives. While the latter increase derives from new brokerage service and operations models with the Parent Company, the decline in brokered volumes was due to bilateral, consensual early redemptions of outstanding contracts through the Trioptima circuit.

In accordance with the practice in effect since 2009, the recurring use of periodic cycles allows the Bank to optimise administrative management and reduce operating and credit risks without any effects on the income statement or changes in financial risk profiles.

In the financial derivatives segment, volumes were down 2% at year-end (approximately 60 billion) compared to 31 December 2009.

The above trend was driven by the rise in OTC derivatives held for trading (+80 billion), accompanied by a decrease in listed instruments, and options in particular, of over 140 billion. There was a constant rise in the amount of contracts transferred to the Swapclear clearing mechanism from 360 billion at the end of 2009 to the present figure of over 580 billion. By replacing the original individual counterparties to OTC derivatives, that circuit allows credit risks to be mitigated through daily margins for all transferred positions.

39 Report by the Board of Directors - Financial aggregates

In the interest of furnishing an overall analysis of the volumes outstanding at 31 December 2010, the following pages present a breakdown by product and market of listing for trading books, hedging transactions and the banking book.

The following table shows the gross positive and negative fair value of off-balance sheet transactions. Futures-style contracts, the margins of which are entered directly to the total treasury balances through the income statement, are excluded from consideration.

Measurement of off-balance sheet transactions (in millions of euro) Positive fair value of: 31.12.2010 31.12.2009 changes amount % Derivatives on debt securities and interest rates 37,641.0 35,631.2 2,009.8 5.6 Derivatives on capital securities and indices 1,427.0 1,662.2 (235.2) -14.1 Derivatives on currencies 1,749.1 1,724.8 24.3 1.4 Credit derivatives 1,956.7 1,915.0 41.7 2.2 Derivatives on commodities 175.0 108.1 66.9 61.9 Securitised derivatives and forward operations 10.3 20.8 (10.5) -50.5 Totali 42,959.1 41,062.1 1,897.0 4.6

Negative fair value of: 31.12.2010 31.12.2009 changes amount % Derivatives on debt securities and interest rates 38,135.0 35,313.4 2,821.6 8.0 Derivatives on capital securities and indices 1,540.5 1,874.1 (333.6) -17.8 Derivatives on currencies 1,746.0 1,658.0 88.0 5.3 Credit derivatives 1,778.0 1,925.3 (147.3) -7.7 Derivatives on commodities 156.7 89.6 67.1 74.9 Securitised derivatives and forward operations 2,002.0 1,240.6 761.4 61.4 Totali 45,358.2 42,101.0 3,257.2 7.7

The greater increase in the negative fair value aggregate was largely offset by the cash collected on the issue of securitised derivatives (covered warrants and certificates).

Since Banca IMI’s business includes financial risk brokerage and it makes extensive use of netting arrangements, its overall credit risk position is represented by a fraction of the positive fair value, as confirmed by the following breakdown and the moderate rise in capital requirements for counterparty risk.

40 Report by the Board of Directors - Financial aggregates

OTC Derivatives - netting arrangements (in millions of euro) Positive fair value of: 31.12.2010 no netting netting Derivatives on debt securities and interest rates 37,641.0 797.9 36,843.1 Derivatives on capital securities and indices 1,427.0 683.1 743.9 Derivatives on currencies 1,749.1 17.8 1,731.3 Credit derivatives 1,956.7 263.4 1,693.3 Derivatives on commodities 175.0 1.5 173.5 Total 42,948.8 1,763.7 41,185.1

Negative fair value of: 31,12,2010 no netting netting Derivatives on debt securities and interest rates 38,135.0 733.0 37,402.0 Derivatives on capital securities and indices 1,540.5 630.5 910.0 Derivatives on currencies 1,746.0 23.0 1,723.0 Credit derivatives 1,778.0 215.7 1,562.3 Derivatives on commodities 156.7 22.6 134.1 Securitised derivatives and forward operations 2,002.0 x x Total 45,358.2 1,624.8 41,731.4

Breakdown by risk category of outstanding derivatives at the end of the period - trading book (in millions of euro)

31.12.2010 31.12.2009

Contracts Interest Exchange Stocks Other Total Interest Exchange Stocks Other Total Rates Rates and Rates Rates and indices indices

- Unquoted 2,676,031.6 32,375.5 39,570.1 2,636.2 2,750,613.4 2,607,650.6 20,542.5 42,414.4 1,086.2 2,671,693.7

Forwards (*) 5,917.8 3,646.0 151.6 9,715.4 7,391.5 1,868.7 56.3 9,316.5

FRA 627,994.9 13.6 238.2 628,246.7 686,560.5 11.7 91.2 686,663.4

Swaps 1,068,892.5 17,189.4 108.4 1,823.4 1,088,013.7 1,101,895.0 12,751.1 311.5 615.5 1,115,573.1

Swaps - Swapclear margins 583,759.7 583,759.7 361,370.3 361,370.3

Options purchased 200,595.9 5,782.0 9,825.7 332.1 216,535.7 225,552.4 3,022.0 16,023.8 207.9 244,806.1

Options sold 188,870.8 5,744.5 29,246.2 480.7 224,342.2 224,880.9 2,889.0 25,931.6 262.8 253,964.3

- Quoted 205,580.8 4.9 17,619.2 1,512.7 224,717.6 357,546.3 13.1 12,631.8 826.1 371,017.2

Futures purchased 47,918.0 812.1 1,001.9 49,732.0 112,647.9 385.6 654.1 113,687.5

Futures sold 31,107.6 4.9 831.9 484.1 32,428.5 31,160.1 11.1 287.6 164.8 31,623.6

Options purchased 83,516.3 8,741.9 15.9 92,274.1 117,934.5 6,293.9 2.2 124,230.6

Options sold 43,038.9 - 7,233.3 10.8 50,283.0 95,803.8 2.0 5,664.7 5.0 101,475.5

Total 2,881,612.4 32,380.4 57,189.3 4,148.9 2,975,331.0 2,965,196.8 20,555.6 55,046.2 1,912.3 3,042,710.9

(*) Commitments for currencies to receive and to deliver appear at the contractual exchange rate

41 Report by the Board of Directors - Financial aggregates

The following table shows derivative contracts hedging bonds and securities in the AFS portfolio.

Breakdown by risk category of outstanding derivatives at the end of the period - banking portfolio (in millions of euro) 31.12.2010 31.12.2009 Contracts Interest Exchange Stocks Other Total Interest Exchan- Stocks Other Total Rates Rates and Rates ge Rates and indices indices

- Unquoted 35,313.2 - - - 35,313.2 29,006.1 21.7 - - 29,027.8

Forwards - - 21.7 21.7

FRA - -

Swaps 31,519.4 31,519.4 25,606.1 25,606.1

Options purchased 1,896.9 1,896.9 1,700.0 1,700.0

Options sold 1,896.9 1,896.9 1,700.0 1,700.0

- Quoted ------

Futures purchased - -

Futures sold - -

Options purchased - -

Options sold - -

Total 35,313.2 - - - 35,313.2 29,006.1 21.7 - - 29,027.8

Lastly, in the interest of providing an overview of the trends during the two years compared, the following tables contain a quarterly presentation of the main asset and liability aggregates.

Quarterly reclassified asset and liability statement (in millions of euro)

Assets 31.12.2010 30.09.2010 30.06.2010 31.03.2010 31.12.2009 30.09.2009 30.06.2009 31.03.2009

1.Due from banks and customers:

- Repurchase agreements 11,859.3 10,963.3 14,215.0 11,972.7 9,249.4 6,703.3 7,168.8 7,570.1

- Securities lending 224.5 616.4 1,527.5 1,007.9 196.6 406.1 194.2 170.9

- Fixed income securities 1,582.8 1,537.2 1,631.8 1,494.3 1,517.7 1,511.6 1,511.4 563.8

- Collateral deposited 2,901.7 3,964.0 2,445.7 1,681.1 1,740.4 1,707.9 1,258.3 1,383.7

- Structured finance assets 6,507.9 6,190.0 6,145.0 5,929.6 5,840.0 5,746.9 450.3 962.1

- Interbank and other accounts 42,549.4 45,277.7 42,792.0 39,794.5 38,444.5 36,418.1 36,243.6 34,022.7

2. Held for trading assets

- Fixed income securities 11,627.5 14,932.5 16,574.6 16,306.3 13,367.4 14,506.1 13,623.3 13,057.5

- Stocks and quotas 540.7 1,553.5 1,950.3 1,418.1 558.6 874.3 900.2 1,188.6 - Positive valuation of off-balance sheet transactions 43,946.5 59,343.1 55,568.9 48,230.2 41,948.8 45,541.5 40,506.6 46,361.7 3. Investments

- Fixed income securities AFS 2,856.7 4,167.6 4,971.2 4,637.7 3,811.0 4,311.9 4,005.8 3,914.5 - Equity investments, share capital and UCITS AFS 96.1 60.0 53.1 36.6 48.2 51.9 38.6 41.3 4. Other assets - Property, equipment and intangible assets 194.9 195.0 195.0 195.1 195.2 195.2 1.2 1.4 - Other asset items 798.0 858.8 583.9 636.1 406.8 998.7 743.8 673.8

Total Assets 125,686.0 149,659.1 148,654.0 133,340.2 117,324.6 118,973.5 106,646.1 109,912.1

42 Report by the Board of Directors - Financial aggregates

Quarterly reclassified asset and liability statement (in millions of euro)

Liabilities 31.12.2010 30.09.2010 30.06.2010 31.03.2010 31.12.2009 30.09.2009 30.06.2009 31.03.2009

1. Due to banks and customers:

- Repurchase agreements 16,463.1 19,908.0 25,016.6 22,000.5 15,961.6 16,417.3 16,179.6 16,274.4

- Securities lending 187.1 787.4 1,419.4 293.8 214.1 426.0 257.8 297.8

- Collateral received 4,401.7 6,048.4 5,528.9 4,063.2 3,444.9 3,706.7 3,374.7 3,791.4

- Loans 11,215.0 11,126.5 9,798.6 9,525.3 7,473.4 5,135.6 688.6 1,897.0 - Checking accounts and other accounts 678.2 1,495.3 1,424.0 1,303.7 2,760.7 4,516.2 4,111.3 784.0 2. Held for trading assets - Negative valuation of off-balance sheet transactions 45,945.1 60,731.7 56,522.8 48,880.1 42,769.9 45,671.1 40,341.4 45,422.2 - Short selling 2,578.3 2,630.6 3,783.1 3,969.2 2,307.2 1,771.5 1,421.5 1,574.4

3. Issues

- subordinate - - - - - 167.4 166.8 167.4

- other 40,762.5 43,429.8 41,880.6 39,343.3 38,918.5 37,755.6 37,683.1 37,313.9

4. Vehicle funds 26.4 20.9 21.2 23.4 24.1 21.2 19.1 18.2

5. Other liability items 477.2 642.2 487.8 797.3 510.4 533.9 415.9 465.1

6. Shareholders' equity

- Share capital and reserves 2,404.1 2,416.7 2,420.6 2,928.9 2,431.2 2,441.0 1,693.6 1,788.1

- Net income 547.3 421.6 350.4 211.5 508.6 410.0 292.7 118.2

Total Liabilities 125,686.0 149,659.1 148,654.0 133,340.2 117,324.6 118,973.5 106,646.1 109,912.1

(in millions of euro)

Off-balance sheet transactions 31.12.2010 30.09.2010 30.06.2010 31.03.2010 31.12.2009 30.09.2009 30.06.2009 31.03.2009

Financial derivatives (notional amount) 3,010,644.2 3,029,998.1 3,227,379.7 3,328,448.4 3,071,738.7 2,823,483.2 2,755,174.6 2,904,969.6 Credit derivatives (notional amount) 99,643.5 100,847.0 80,804.7 91,584.9 133,373.1 92,021.6 89,185.3 57,809.3 Guarantees given and commitments to lend 6,530.8 8,060.6 8,247.8 7,801.1 4,427.2 3,735.3 1,107.6 1,168.7

43 Equity investments and holdings

The Bank’s operating and product desks located in Milan are supported by its international operations: the London branch, which engages primarily in structured finance and commercial promotion on behalf of non-domestic institutional clients, and the subsidiaries based in the Grand Duchy of Luxembourg and the United States, which are specialised in investment banking and capital markets, respectively.

Banca IMI Milan

100%

IMI Investments Luxembourg

100% 100%

IMI Capital IMI Finance USA Luxembourg

100%

IMI Securities USA

The Bank also operates sales and client-relations units in Rome and Athens.

IMI Investments S.A. The equity investment holding company reported a net income of 8.2 million, primarily owing to the distribution of dividends by the subsidiary IMI Finance. In the fourth quarter, the company changed its accounting currency from the U.S. dollar to the euro, thus rendering its financial reports consistent with those of Banca IMI and eliminating the possible effects on the income statement of fluctuations in the exchange rate between the two currencies.

IMI Finance Luxembourg The financial and investment company reported a net income of 6.4 million (12 million at 31 December 2009). The decrease in net income was chiefly due to lesser fee and commission income (-2.7 million) and the reduction in the net interest collected (-4 million) following the redemption of interest-bearing loans, resulting in a reduction from 104 million at the end of the previous year to the present 86 million.

44 Report by the Board of Directors - Equity investments and holdings

Banca IMI Securities Corp. – IMI Capital Markets USA The U.S. conglomerate reported a net income (according to IFRSs) of USD 1 million in 2010. This result, attributable solely to Banca IMI Securities, was down compared to the previous year, chiefly due to the lesser revenue generated by traditional securities lending operations and a higher tax charge owing to the exhaustion of tax-loss carryforwards.

The securities lending business yielded revenues of USD 4.5 million (-30%): a decrease in matched-book transactions was accompanied by an uptrend in new business involving the ETF product launched in October 2009. There was a significant increase in the distribution of fixed-income instruments, and European government bonds in particular, which yielded revenues of USD 2.6 million, up 38%, on brokered volumes of USD 4.5 billion. There was essentially no change in brokerage commissions on U.S. and European equity markets owing to the recovery in volumes on equity markets and the enhancement of the sales team completed in late 2009.

In the origination of primary-market transactions on behalf of U.S. issuers, IMI Securities participated in over 20 DCM transactions with issuers in 2010. Also worthy of note are securitisations of the assets of Group clients, which generated revenues of USD 2.7 million in the form of advisory and administration fees during the year.

Total administrative expenses came to USD 12.1 million for the year, up 14%, primarily due to the reinforcement of front-office staff.

The following table presents an overview of the earnings results of Banca IMI and its subsidiaries at 31 December 2010.

BANCA IMI and subsidiaries (in millions of euro) Company Currency Net Exchange December 2010 December 2009 (*) result rate Net Share Net Share result Euro % result euro % BANCA IMI (**) Eur 511.7 511.7 98.99 501.7 96.98 IMI Investments (**) Eur (2.0) (2.0) -0.39 1.2 0.23 IMI Finance Eur 6.4 6.4 1.24 12.2 2.36 IMI Capital Usd 0.0 1.3299 0.0 0.00 0.0 0.00 IMI Securities Usd 1.0 1.3299 0.8 0.15 2.2 0.43 Participation in Shareholders’ equity Epsilon SGR 0.9 0.17 EuroTLX SIM (0.9) -0.17 Total 516.9 517.3

(*) The conversion of balance sheets in foreing currency is carried out with the average exchange rate for the period. (**) Result has been rectified for the dividends received from controlled companies.

The 50% interest in EuroTLX SIM, the company that manages the EuroTLX multilateral trading system, is of strategic value in support of secondary-market and retail operations. The company’s mission is to offer securities markets and services to banks in order to best satisfy the needs of non-professional investors. In detail, the company provides a liquid, transparent market for financial instruments for which there is no secondary market and which are usually traded over the counter.

The non-profit form of management employed through 2009, which led the company to essentially break even, was revised. Effective 1 January 2010, the company was transformed into a securities dealer and the Bank imposed a more traditional entrepreneurial management approach. In order fully to seize the opportunities created by changed market and regulatory conditions, trading operations on the TLX regulated market were transferred to the EuroTLX multilateral trading system and the same business opportunities were provided to members and non-members with the aim of increasing the number of instruments offered and the liquidity of those instruments, as well as of offering services at an international level.

45 Report by the Board of Directors - Equity investments and holdings

Implementation of the new business plan has been delayed in the area of connecting new participants to the market, and has been affected by a recovery in trading volumes that remains fragile, as well as the slowdown in bonds issued at the European level. Fee and commission income thus fell from 13 million to 9.2 million. Accordingly, the company closed the year with a net loss of 1.8 million.

In pursuit of the strategic goal of developing the Retail Hub, on 2 July 2010 Banca IMI acquired a 49% interest in Epsilon SGR, an asset management company belonging to the Intesa Sanpaolo Group. The deal marked the inception of an important partnership with Eurizon Capital to develop new investment products by pooling the two parties’ capital markets and wealth management expertise. From an accounting standpoint, the acquisition, which was undertaken between entities under common control for consideration of 12 million, was accounted for in continuity of carrying amounts for the vendor in accordance with IASs. The latter amount, which came to 5 million, was charged back to Banca IMI’s equity reserves.

The remaining equity investments in consortium companies created by the Intesa Sanpaolo Group are of strategic importance and allow the Bank access to IT, post-trading, and tax and corporate advisory services.

Available-for-sale assets include the following equity securities and UCITS, the latter of which are attributable to the Real Estate desk of the Structured Finance unit. (in millions of euro) Capital investments AFS % Hold Initial Revaluation Book investment Value LCH.Clearnet Group Ltd 1.27 0.6 4.6 5.2 SIA - SSB 1.39 0.9 3.4 4.3 Chicago Mercantile Exchange 0.01 0.0 0.4 0.4 Fondo Anastasia 0.11 15.0 0.0 15.0 Fondo HB-FCC 0.09 10.0 0.0 10.0 Fondo Venti 0.14 15.0 0.0 15.0 Omicron 0.02 13.6 1.9 15.5 Total 55.1 10.3 65.4

46 Capital adequacy

The Company’s shareholders’ equity came to 3 billion at year-end. Movements since 31 December 2008 are shown below:

Changes in Shareholders’ equity (in millions of euro) Share Share Reserves Fair Value Profits Total net capital premium and profits Reserves worth to be allocated Net shareholders’ equity as at 31 December 2008 662.4 131.3 688.4 12.6 293.4 1,788.1 Results of the previous accounting period 160.9 (293.4) (132.4) Fair value for AFS investments (1.3) (1.3) Capital increase due to migration 300.0 450.0 750.0 Disposal LCH.Group and CME (2.3) (2.3) Adjustments of debt securities AFS 29.2 29.2 Profit (loss) for the period 508.6 508.6 Net shareholders’ equity as at 31 December 2009 962.4 581.3 849.3 38.2 508.6 2,939.8 Breakdown Net Income 56.2 (508.6) (452.4) Purchase of Epsilon SGR (7.0) (7.0) Fair value for AFS investments (76.3) (76.3) Profit (loss) for the period 547.3 547.3 Net shareholders’ equity as at 31 December 2010 962.4 581.3 898.5 (38.1) 547.3 2,951.4

In detail, “Reserves and profits to be allocated” include 180 million covering the trading of Intesa Sanpaolo equities. Said reserve, approved by the Shareholders’ Meeting on 8 October 2009, is valid for a period of 18 months and for a maximum number of 50 million shares. The goal of the buy-back programme is to satisfy financial risk hedging needs arising from the Bank’s normal operations and to satisfy any operational needs of a technical nature that require the use of the proprietary account in the presence of limited- or zero-risk positions. In collaboration with Intesa Sanpaolo’s Audit and Compliance departments, the Bank has defined and updated operational methods in the form of a specific protocol that governs the purchases of securities and identifies the authorised units, process owners, and operational methods to be employed.

The following movements took place during the year:

Intesa Sanpaolo shares’ dynamics - trading activity

Initial Purchases Sales Valuation Final

Amount Value Amount Value Amount Value Value Amount Value (n. shares) (in euros) (n. shares) (in euros) (n. shares) (in euros) (in euros) (n. shares) (in euros)

Ordinary shares 681,185 2,145,733 10,212,849 26,366,351 8,175,711 20,040,548 -1,026,230 2,718,323 5,518,196

Savings shares 0 0 10,000 18,413 10,000 18,646 0 0 0

The bank’s capitalisation level showed a total capital ratio of 10.8% at 31 December 2010. This ratio is determined in accordance with Banca IMI’s contribution to the consolidated financial statements of the Intesa Sanpaolo Group, i.e. by weighting risk assets according to the standard 8% coefficient and without taking account of the one-fourth decrease in prudential requirements for banks belonging to banking groups.

47 Report by the Board of Directors - Capital adequacy

The increase in the tier total ratio is due to both the performance of regulatory capital and the decrease in prudential requirements. Regulatory capital includes the share of the net income at 31 December 2010 not allocated to dividends, net of prudential filters associated with the cumulative effects of the fair value option on bonds and deferred tax assets recognised on the payment of the substitute tax for goodwill.

Tier 2 capital, which has been nil or of modest amount since 30 June 2010, reflects the impact of the neutralisation of valuation of the AFS portfolio for prudential supervisory purposes. Following the issue of instructions by the Bank of Italy on 18 May 2010 authorising banks to neutralise the valuation effects of debt securities, as limited to those issued by the central governments of European Union Member States, Intesa Sanpaolo notified the supervisory authority of its exercise of that option for the entire banking group.

Total capital and capital ratios (in millions of euro) Total capital and 31.12.2010 30.09.2010 30.06.2010 31.03.2010 31.12.2009 Capital ratios Regulatory capital Tier 1 Capital 2,358.9 2,317.4 2,323.9 2,242.8 2,241.3 Tier 2 Capital 4.6 0.0 0.0 11.4 17.3 Total equity 2,363.5 2,317.4 2,323.9 2,254.2 2,258.6 Capital requirements Credit and counterparty risks 1,107.6 1,111.3 1,079.2 1,120.9 1,045.6 Market risks: debt securities - specific risk 232.6 228.0 259.9 392.3 337.2 Market risks: concentration risk 50.2 25.7 2.1 26.8 56.8 Market risks: UCITS position risk (*) 7.8 15.4 7.5 51.4 22.0 Market risks: internal model 143.0 149.2 98.7 68.9 65.8 Market risks: other 45.1 37.0 45.9 78.3 89.8 Operating risks 172.1 142.8 142.8 142.8 142.8 25% discount for internal banks (439.6) (427.3) (409.0) (470.3) (440.0) Total capital requirements 1,318.8 1,282.1 1,227.1 1,411.1 1,320.0 Risk weighted assets 21,892.1 21,282.9 20,369.9 23,424.3 21,912.0 Capital ratios Tier 1/Total risk-weighted assets 10.78% 10.89% 11.41% 9.57% 10.23% Total equity/ Total risk-weighted assets 10.80% 10.89% 11.41% 9.62% 10.31% Excess capital 1,044.7 1,035.3 1,096.8 843.1 938.6

(*) Standard requirement

Total capital requirements confirmed at a structural level the increase in the internal model of approximately 50 million registered in the third quarter of 2010. The increase, which may be attributed solely to interest- rate risk, originates from scenarios of heightened volatility relating to the crisis in peripheral Euro Area nations and an increase in short rate positions. To a more moderate extent, it reflects methodological refinements (equally weighted scenarios and VaR percentiles) following the approval of the internal model for goods. The refinements in question, as in the case at hand, increase the overall risk profile during periods of heightened volatility.

The foregoing was accompanied by an increase in the requirements for concentration risk, attributable solely to the Swapclear counterparty for OTC derivatives and deriving from the application of the standardised approach to determining future credit exposure. Owing to that approach, regulatory requirements tend to increase as the number of outstanding transactions increases, despite the presence, as in the case at hand, of cash guarantees protecting net fair value.

The increase in net interest and other banking income resulted in an increase in requirements, according to the standardised approach, of approximately 30 million for operational risk.

48 Operations support and organisational change

Banca IMI’s operational model calls for extensive reliance on specialised services outsourced to Departments of Intesa Sanpaolo or its subsidiaries.

In information technology systems, application management and the development of new software are entrusted to the Information Technology Systems Department, a part of the consortium Intesa Sanpaolo Group Services.

The following implementations were made within working processes during 2010: – Algo Trading (a trading platform based on econometric and statistical analysis of historical market data), involving the release of the application and the extension of connectivity to U.S. markets through the investee Banca IMI Securities. Additional work is planned for 2011 involving the management of short-selling transactions; – the extension of the Systematic Internaliser to the equity segment; – ETD - exchange-traded derivatives, to rationalise clearing operations by centralising them with the Central Operations Department of Intesa Sanpaolo Group Services, following the transfer of clients from the London branch to Milan; – counterparty risk, as functional to the internal model currently being validated, involving the release of the target grid for the expected positive exposure indicator; and – the ION Trading platform benefiting the Fixed Income desk, with the aim of improving the quality of prices contributed on the various markets and with the possibility of differentiating prices according to client profiles.

In the area of market and trading data, the Bank implemented a platform for collecting, recording and storing data concerning asset-backed securities (designated the Structured Products Intranet - SPIN 3 project), which in 2011 will be extended to covered bonds.

Work is also in progress on implementing the MarketAxess platform (an electronic trading platform for corporate bonds and other fixed-income instruments), involving in 2010 the launch of integration for the Chi-X market and the completion of integration with London markets and participation in Extra-MOT.

In the introduction of new lines of business, releases functional to Loan Trading (the trading of tranches of syndicated loans and the creation of an OTC secondary market) were completed late in the year. The currently adopted solution, in a manner consistent with the STP areas of capital markets, calls for the use of the Murex application as a front-office system and SIRE as a post-trading and accounting section system. In the area of new products, information technology support and the related operational processes were created for a wide range of OTC derivatives structures (including multi-period commodities options, contingent swaps, forward premium swaptions, futures and options on the new VIX index) listed products (single-name dividend futures, VSTOXX options and futures and dividend futures options) and certificates (forward credit-linked, S&P GSCI Agriculture and pay-offs on forward CDSs).

In support of Structured Finance operations, in the second quarter the Bank launched a project to implement new information technology platforms for fronting, agency and settlement, adopting the most advanced standards currently in use on the international market. It was decided to discontinue the use of the software on loan in conjunction with the contribution of the business unit in September 2009, which will remain in use until June of the current year, with the aim of equipping Banca IMI with a loan administration system capable of supporting the Structured Finance business’s current and prospective needs by covering the entire operational process from front to back.

Work in the legal and compulsory area included the completion of measures aimed at managing the pricing levels of derivative products and streaming of adjustments on the market side (NYSE LIFFE, MTS, IDEM, XETRA and EUREX).

We report that, pursuant to Legislative Decree 196 of 30 June 2003 (the Privacy Code), the Security Plan, which contains the minimum security measures to be implemented for data processing, was updated and drafted.

49 Report by the Board of Directors - Operations support and organisational change

Research and development of innovative financial instruments is subject to the prior approval of the New Products Committee, an entity charged with supervising and managing initiatives aimed at developing new products and/or processes. The Committee’s operation and composition were recently revised in pursuit of greater flexibility and speed in decision-making by the various functions, as well as to reinforce the business owner’s role as holder of operational responsibility for the progress of work and divergences from plans. The Committee retains responsibility for approving and closing projects.

During the reporting year, 11 new products and/or operating models were approved, while four others are in the process of being validated at the date of this report. The most far-reaching projects undertaken in 2010 were Loan Trading, for which a temporary operating model was released in June and work on the definitive model is proceeding, and Bond Lending, which beginning in April 2011 will allow Banca IMI to accompany its traditional cash equities activity with bond lending operations.

Execution of these projects also involves the participation of the Financial Engineering team, which since 2009 has been based on the Risk Trading Department. During the year, the desk continued to focus on financial issues relating to risk management, while continuing to enjoy extensive cooperation with new product structuring teams. In 2010, new standards for creating financial calculation libraries were introduced with the aim of further enhancing their reliability and performance.

The main activities were: – development of fixed-income models, adjusting interest-rate models to handle differentiated forwarding and discounting curves; – extension of counterparty risk and liquidity cost models with the aim of adopting the same credit models developed to calculate counterparty risk on a single contract to a netting set of consistent contracts for risk management purposes. The related issues of the valuation of the cost of liquidity were the subject of a specific theoretical and model-based inquiry; – extension of forex models, with the ability to price and management the risk associated with foreign exchange derivatives, especially within investment products; – consolidation of equity models, involving the development of new numerical schemes for pricing exotic products and the launch of development of a new volatility smile model to accompany existing models; and – systematic internaliser and algorithmic trading: information technology routines were developed for automatic market access in close collaboration with equity trading desks.

Since the 2009 restructuring, there have been no significant changes in the organisational structure, which continues to be divided into business areas responsible for clients and products, namely Capital Markets, Investment Banking and Structured Finance, and staff units, all of which report to the general manager.

Trading operations, both on a proprietary basis and on behalf of clients, and the distribution of cash and derivative financial instruments are the responsibility of Capital Markets, which also contains structuring and commercial relations units specialised in various client segments.

Capital market operations of a more structural nature (treasury, funding, investment and management portfolio and bond issues) and supervision of the Bank’s overall risk profiles have been assigned to Finance and Capital Management.

Investment Banking is responsible for originating both debt and equity securities on primary markets, as well as advisory operations, all of which are activities characterised by a service component, limited direct risk and the substantial absence of allocated capital.

Structured Finance is responsible for specifically assuming and managing credit risks in the form of on- balance sheet loans, commitments to lend and investments in debt securities, equity instruments and UCITS.

The departments are functionally responsible for the operating desks located at the London branch, the sales offices in Rome and Athens and the direct subsidiaries. At the London branch, in the course of the year the Bank completed the transfer of ETD brokerage operations, centralising client relations at Banca

50 Report by the Board of Directors - Operations support and organisational change

IMI’s Milan branch, integrating the back-office functions into the Operational Services Department of Intesa Sanpaolo Group Services and revamping the application architecture and market connectivity.

During the year, the local presence in Athens was converted from its previous branch form to a representation office. The new, streamlined structure, operational since 27 August, is thus free of administrative responsibilities – now discharged directly by the Milan office – and more closely focused on commercial promotion.

Changes to staff structures were aimed at reinforcing the workforce and expanding the functions attributed to those structures, such as strategic leverage for supporting the Bank’s ongoing sustainable growth. In December, following the petition submitted by the Parent Company to the Bank of Italy seeking authorisation for use of the internal model for measuring product risk positions by its subsidiary Banca IMI, a new organisational unit designated Product Control was instituted in response to a specific request from the supervisory authority.

The unit, which is part of the general manager’s staff, will focus on supporting front-office functions to improve data quality at the source, thus ensuring proper management of the contract life cycle.

51 Human resources

At 31 December 2010, the employees on the payroll came to 701 resources (683 at 31 December 2009), of which 75 were executives (81), 310 middle managers (297), and 316 members of the remaining professional categories (305).

Employees, including staff members on full secondment, are shown below.

Number of employees 31.12.2010 31.12.2009 30.09.2009 changes amount on 12 2009 on 09 2009 Registered employees 701 683 674 18 27 Seconded from other companies and expatriates 4 6 4 (2) 0 Seconded to other companies and expatriates (10) (17) (13) 7 3 Total dedicated resources 695 672 665 23 30 of which: Italian subsidiaries 645 626 615 19 30 of which: Branch abroad 50 46 50 4 0

The following table shows statistical distributions at year-end:

Breakdown by age group of personnel enrolled in the payroll register

Age Total < 30 30-40 41-50 > 50 Women 25 91 79 24 219 Men 56 186 204 36 482 Total 2010 81 277 283 60 701

Incidence 11.55% 39.51% 40.37% 8.56% Total 2009 63 268 285 67 683 Incidence 9.22% 39.24% 41.73% 9.81%

Average age of employees

Professional area Average age 2010 Average age 2009 Average age 2008 Capital Market 39.0 39.4 38.2 Investment Banking e Structured Finance 39.9 39.8 38.5 Staff 41.5 42.8 42.0 Distacchi out 41.9 44.5 42.1 Average age Banca IMI 39.8 40.4 39.1

Many training initiatives were planned and executed during the year in concert with the Training Service and the Corporate and Investment Banking Division of the Parent Company. The implementation of these initiatives, which covered technical and regulatory issues and human resource development, involved traditional classroom sessions as well as remote training over the e-learning platform.

Training programmes elicited positive evaluations from most of the population, amounting to more than 4,100 man-hours of training (including remote training). The following are especially deserving of mention: – Imagine: this initiative, addressed towards young people (31 years of age or less) and aimed at developing cohesion within the Group and fostering greater reciprocal awareness in support of mutual trust, continued in 2010;

52 Report by the Board of Directors - Human resources

– Coaching: individual courses, further extended to the Bank’s managers, with the goal of developing management expertise and leadership, continued; – Lectio magistralis: this initiative was targeted at managers and key people in roles with a significant relationship component that require the acquisition of specific skills in preventing and resolving conflicts; – Wellbeing in the Workplace: a training course divided into theme-based seminars aimed at creating a culture of mental and physical wellbeing and developing awareness to safeguard individual and team wellbeing; – Volunteering and Business: this initiative involved several unit heads and young participants in the Imagine project. The course consisted of traditional training sessions and hands-on experience in a “social” context at cooperatives belonging to the CGM Network; – Young Wave: this training workshop was addressed to all young people within the Division and aimed to stimulate participants to explore their environments and expand their vision of the Group’s future; – English language: group courses for various proficiency levels; the No Borders project, a customised course aimed at intermediate and advanced levels of language proficiency; and onsite training courses held at the school Linguarama Cheney Court (England); – Operational Risk Management: a training course for staff involved in operational risk management in implementation of the Operational Risk Management Rules issued to give effect to the Operational Risk Governance Guidelines; – Prevention of Money-Laundering: an e-learning course for all employees, followed by classroom sessions aimed at resources from business units in direct contact with clients; – Conflicts of Interest and Insider Information: a training course for all operating areas, taught by Intesa Sanpaolo’s Compliance unit; – Privacy Law and Legislative Decree 81/2008 (Health and Safety in the Workplace): refresher courses provided in an e-learning format aimed at all Bank employees.

53 Management and coordination by Intesa Sanpaolo

The Group’s single governance system, summarised in the Regulations issued on 17 October 2007, is guaranteed by the guidance, governance and support provided by the competent functions of Intesa Sanpaolo. Said Regulations aim to govern the institutional conditions of the Group’s operation and the relationships between the companies that comprise it, entailing powers and obligations consistent with the predetermined growth and development guidelines and objectives. The institutional conditions of the Intesa Sanpaolo Group’s operation and intragroup dealings, in accordance with the provisions of supervisory regulations, aim to (i) ensure high levels of integration consistent with the achievement of a common strategic plan, with a view towards maximising value and in accordance with the legal autonomy and proper management of the individual companies and (ii) optimise the synergies arising from membership in the Group by exploiting the various entities’ characteristics.

The Intesa Sanpaolo Group, which is organised according to a division scheme, is structured as follows: – Business units, to which all of the Group’s clients have been assigned, according to a precise, explicit segmentation process; and – Central Departments and Staff Units, which have specific guidance and control responsibilities, corresponding to precise missions and functional characteristics.

Unitary operational management of the Group is ensured by the Chief Executive Officer within the context of the strategic guidelines laid down by the Supervisory Board and Executive Board, under the supervision of said Boards and their Chairmen.

In accordance with applicable provisions of law, Intesa Sanpaolo, in its capacity as Parent Company of the Banking Group of the same name, issues orders to Group members, including as regards the implementation of instructions from the Bank of Italy. Banking Group companies are required to comply with said orders.

The Parent Bank also verifies the compliance of individual members of the BankingG roup with orders issued by the Bank of Italy in order to ensure the observance of rules concerning disclosure and regulatory supervision, without prejudice to the responsibilities of the boards of the subsidiaries to ensure the accuracy of information flows, the adequacy of generation procedures and the control of the data provided.

54 Dealings with other Group companies

For the purposes of the disclosure provided below, Intesa Sanpaolo Group companies are defined as those belonging to the banking group as defined by Legislative Decree 385 of 1 September 1993.

Intragroup transactions fall within the normal course of business and are consistent with the opportunities and means offered by the Group of which Banca IMI is a part. Dealings between the various entities that comprise the Intesa Sanpaolo Group are inspired by criteria of centrality as pertains to fundamental governance, control, guidance and assistance in the form of advisory on legal, economic and organisational issues. Dealings with the Parent Company fall within the usual course of business of a Group organised according to a multi- functional model. The effects of such dealings on the income statement are normally settled at the arm’s- length conditions governed by a specific agreement between the parties designated Service Level Agreement.

The asset and liability balances at year-end may be summarised as follows:

Assets and liabilities with Group Companies (in millions of euro) Parent Banca IMI Intesa Sanpaolo subsidiaries subsidiaries Due from banks and customers 42,771.5 69,0 92,9 Due to banks and customers 12,464.8 - 1,938.9 Financial assets - debt securities 1,448.9 400.3 Financial liabilities - securities 10,443.4 37.9 Financial derivatives (notional amount) 149,954.0 - 79,084.0 Credit derivatives (notional amount) 3,859.0 - 102.0

Dealings with the Parent Company relate primarily to financial transactions, as detailed in the following table:

Relations with Intesa Sanpaolo as at 31 December 2010 (in millions of euro) Assets Amount Liabilities Amount Checking accounts 612.3 Checking accounts 350.4 Deposits 41,387.8 Deposits 11,100.4 Repurchase agreements 756.5 Repurchase agreements 1,003.1 Invoices and other receivables 14.9 Invoices and other payables 10.9 Fixed income securities 1,448.9 Subordinate liabilities and securities issued 10,443.4 Total assets 44,220.4 Total liabilities 22,908.2

Cost and income dealings during the year are summarised below:

Costs and incomes with “Intesa Sanpaolo” Group Companies (in millions of euro) Parent Banca IMI Intesa Sanpaolo subsidiaries subsidiaries Interest income 899.5 5.1 6.4 Fee and commission income 47.0 0.1 10.7 Interest expenses (139.2) (4.3) (5.1) Commission expenses (73.1) 0.0 (54.0) Administrative expenses and recovered amount (12.9) 0.0 (99.3)

During 2010, there were no transactions “of an atypical or unusual nature” that due to their significance and/or relevance could have given rise to doubts regarding the safeguarding of the Company’s assets, either with related parties or parties other than related parties.

55 Business outlook

In 2011, the economic recovery appears to be destined for consolidation, yet within a scenario of tighter fiscal policies and rising inflationary pressures deriving from an increase in commodities prices.

For the Eurozone, 2011 is also a crucial year from the standpoint of the region’s ability to react to the investor confidence crisis, which the measures implemented in the previous year were barely able to dampen.

At the global level, projections call for a modest slowdown of economic growth, which is only expected to accelerate for large commodities exporters. The gradual process of returning to pre-crisis activity levels will continue. Economic growth in Italy is expected to come to levels similar to those of 2010, driven chiefly by domestic demand.

Liquidity conditions on the euro market will be kept accommodating until the end of 2011. Official rate increases by the ECB appear unlikely, yet the decline in surplus reserves, the expectation that auction procedures will be normalised and the growing likelihood of a turnabout in the monetary policy cycle in the second half of the year will raise money-market rates to higher levels.

In the lending sector, overall loan growth should prove moderate in relation to the low level of projected economic growth, the unemployment rate, which will improve slightly yet remain high, the further emergence of problem loans and the focus on management liquidity, funding and capital profiles in view of the gradual introduction of stricter prudential rules.

Within the overall scenario described here, forecasts for the Bank’s net interest and other banking income call for further consolidation of results against the backdrop of a more challenging competitive scenario and more costly access to the interbank liquidity market. Structural costs will remain under control, although an increase in support of commercial and business development initiatives is foreseeable.

It is the Board’s opinion that the Bank’s operations, while still in a consolidation phase in certain regards, may receive a further boost on the eve of the Intesa Sanpaolo Group’s new business plan and the CIB Division’s internationalisation plan.

The main risks and uncertainties to which the Bank is exposed are illustrated in this report and, specifically, in the chapters on the macroeconomic scenario and the description of business segments.

Additional information is provided in the sections of this report and the notes concerning risk management.

56 Proposals to the Shareholders’ Meeting

Shareholders,

We hereby submit for your approval the financial statements for the year 1 January – 31 December 2010, which comprise the balance sheet, income statement, statement of comprehensive income, statement of changes in shareholders’ equity, statement of cash flows, and the notes, accompanied by this report on operations.

In particular, we hereby submit the following for your approval.

The net decrease of 76,316,736 euro in valuation reserves for available-for-sale assets, determined as follows: – increase: 1,292,902 euro due to the measurement at fair value of the interest held in the Omicron real-estate fund and 12,465 euro due to the interest held in CME – Chicago Mercantile Exchange; – decrease: 650,723 euro due to the measurement at fair value of the interest in SIA – Società Interbancaria per l’automazione; – decrease: 15,273,148 euro (net) due to the sale of securities classified among available-for-sale financial assets at 31 December 2009. That amount, previously carried among shareholders’ equity items, was reversed to the income statement during the year; and – decrease: 61,698,232 euro (net) due to the measurement at fair value of the balances of the debt securities carried in the available-for-sale portfolio at 31 December 2010.

The transfer of the amount of 810,691 euro to the extraordinary reserve as an additional released share of the reserve originally recognised during the year ended 31 December 2008 pursuant to art. 6 of Legislative Decree 38/05. That restricted reserve in the original amount of 98,728,553 euro corresponded to the gains recognised in the income statement, net of the associated tax charge, deriving from the application of fair value to financial liabilities.

Lastly, with respect to the acquisition of a 49% interest in Epsilon SGR in a transaction between entities under common control, we request that you approve the charge of 7,057,725 euro to shareholders’ equity reserves as the difference between the consideration paid and the carrying amount of the investment for the vendor.

We propose that the net income of the year, 547,310,122 euro, be allocated as follows: – 27,366,000 euro to the legal reserve; – a total of 404,234,880 euro to dividends in the amount of 0.42 euro per each of the 962,464,000 shares; and – the remaining 115,709,242 euro to the extraordinary reserve.

If the financial statements and the foregoing proposals meet with your approval, the shareholders’ equity of Banca IMI S.p.A. at the date of approval of these financial statements will be as follows: (in millions of euro) Share capital 962,464,000 Share premium reserve 581,259,962 Legal reserve 148,207,300 Restricted reserve under Article 6 of Legislative Decree 38/05 10,633,994 Extraordinary reserve 721,660,007 Legal reserve for the purchase of shares in the Parent Company (2359-bis of the Italian Civil Code) 180,000,000 Revaluation reserve (38,099,257) Reserve for extraordinary transactions between entities under common control (7,057,725) Other reserves (11,911,672) Total 2,547,156,609

The Board of Directors

Milan, 4 March 2011

57

Financial statements of Banca IMI S.p.A.

Financial statements of Banca IMI

Balance sheet (amount in euros) Assets 31.12.2010 31.12.2009 Changes amount % 10. Cash and cash equivalents 1,143 3,866 -2,723 -70.4 20. Financial assets held for trading 55,127,356,809 54,988,080,131 139,276,678 0.3 40. Financial assets available for sale 2,922,056,640 3,835,873,587 -913,816,947 -23.8 60. Due from banks 52,488,472,525 48,281,469,802 4,207,002,723 8.7 70. Loans to customers 13,137,109,071 8,707,080,582 4,430,028,489 50.9 80. Hedging derivatives 987,355,567 886,674,963 100,680,604 11.4 100. Equity investments 30,755,982 23,328,299 7,427,683 31.8 110. Property and equipment 729,139 983,197 -254,058 -25.8 120. Intangible assets 194,132,869 194,216,722 -83,853 0.0 of which: - goodwill 194,070,000 194,070,000 0 130. Tax assets 382,848,045 147,378,191 235,469,854 a) current 258,384,788 111,587,865 146,796,923 b) tax asset liabilities 124,463,257 35,790,326 88,672,931 150. Other assets 415,180,944 259,544,287 155,636,657 60.0

Total Assets 125,685,998,734 117,324,633,627 8,361,365,107 7.1

61 Financial statements of Banca IMI

(amount in euros) Liabilities and shareholders’ equity 31.12.2010 31.12.2009 Changes amount % 10. Due to banks 25,227,602,350 25,600,890,795 -373,288,445 -1.5 20. Due to customers 7,717,551,014 4,253,754,999 3,463,796,015 81.4 30. Securities issued 39,549,073,129 35,694,069,591 3,855,003,538 10.8 40. Financial liabilities held for trading 47,936,467,995 44,408,240,472 3,528,227,523 7.9

50. Financial liabilities carried at fair value through profit and loss 1,213,368,394 3,224,428,921 -2,011,060,527 -62.4 60. Hedging derivatives 586,921,712 668,860,770 -81,939,058 -12.3 80. Tax liabilities: 324,597,011 332,812,680 -8,215,669 -2.5 a) current 321,046,551 315,715,485 5,331,066 1.7 b) deferred 3,550,460 17,097,195 -13,546,735 -79.2 100. Other liabilities 152,644,627 177,611,716 -24,967,089 -14.1 110. Employee termination indemnities 8,600,208 8,900,416 -300,208 -3.4 120. Allowances for risks and charges 17,780,805 15,249,359 2,531,446 16.6 a) retirement packages and similar obligations 12,319 12,319 0 b) other allowances 17,768,486 15,237,040 2,531,446 16.6 130. Valuation reserves -38,099,257 38,217,479 -76,316,736 160. Reserves 898,456,662 849,252,422 49,204,240 5.8 170. Share premium reserve 581,259,962 581,259,962 0 0.0 180. Share capital 962,464,000 962,464,000 0 0.0 200. Net income (loss) 547,310,122 508,620,045 38,690,077 7.6

Total liabilities and Shareholders’ Equity 125,685,998,734 117,324,633,627 8,361,365,107 7.1

62 Financial statements of Banca IMI

Income Statement (amount in euros) 2010 2009 Changes amount % 10. Interest and similar income 2,064,504,380 1,921,389,206 143,115,174 7.4 20. Interest and similar expense (1,578,401,103) (1,475,779,170) (102,621,933) 7.0 30. Interest margin 486,103,277 445,610,036 40,493,241 9.1 40. Fee and commission income 389,928,010 376,355,442 13,572,568 3.6 50. Fee and commission expense (174,400,625) (176,716,997) 2,316,372 -1.3 60. Net fee and commission income 215,527,385 199,638,445 15,888,940 8.0 70. Dividend and similar income 354,046,031 336,473,704 17,572,327 5.2 80. Profits (Losses) on trading 43,201,775 231,242,993 (188,041,218) -81.3 90. Profits (Losses) on hedging 653,115 4,781,754 (4,128,639) -86.3 100. Profits (Losses) on disposal or repurchase of: 29,194,481 73,760,568 (44,566,087) -60.4 a) loans 8,165,737 43,444 8,122,293 b) financial assets available for sale 15,085,276 73,061,057 (57,975,781) -79.4 c) investments held to maturity 0 0 0 d) financial liabilities 5,943,468 656,067 5,287,401 110. Profits (Losses) on financial assets and liabilites carried at fair value (25,815,937) (253,595,457) 227,779,520 -89.8 120. Net interest and other banking income 1,102,910,127 1,037,912,043 64,998,084 6.3 130. Net losses / recoveries on impairment of: (31,243,637) (4,843,302) (26,400,335) a) loans (42,066,013) (2,347,982) (39,718,031) b) financial assets available for sale 0 0 0 c) investments held to maturity 0 0 0 d) other financial assets 10,822,376 (2,495,320) 13,317,696 140. Net income from banking activities 1,071,666,490 1,033,068,741 38,597,749 3.7 150. Administrative expenses: (290,790,734) (267,271,156) (23,519,578) 8.8 a) personnel expenses (115,102,924) (107,137,234) (7,965,690) 7.4 b) other administrative expenses (175,687,810) (160,133,922) (15,553,888) 9.7 160. Net provisions for risks and charges (8,000,000) (5,300,000) (2,700,000) 50.9 170. Net adjustments to / recoveries on property and equipment (334,027) (333,154) (873) 0.3 180. Net adjustments to / recoveries on intangible assets (90,430) (186,661) 96,231 -51.6 190. Other operating expenses (income) 9,858,823 7,642,275 2,216,548 29.0 200. Operating expenses (289,356,368) (265,448,696) (23,907,672) 9.0 210. Profits (Losses) on equity investments 0 0 0 240. Profits (Losses) on disposal of investments 0 0 0 250. Income (Loss) before tax from continuing operations 782,310,122 767,620,045 14,690,077 1.9 260. Taxes on income from continuing operations (235,000,000) (259,000,000) 24,000,000 -9.3 270. Income (Loss) after tax from continuing operations 547,310,122 508,620,045 38,690,077 7.6 290. Net income (loss) 547,310,122 508,620,045 38,690,077 7.6

63 Financial statements of Banca IMI

Statement of Comprehensive Income (amount in euros) 31.12.2010 31.12.2009 Changes amount % 10. Net income (loss) 547,310,122 508,620,045 38,690,077 7.6 Other net income (loss) 20. Financial assets available for sale (76,316,736) 25,604,659 (101,921,395) 30. Property and equipment 0 40. Intangible assets 0 50. Hedging of foreign investments 0 60. Hedging of financial cash flows 0 70. Exchange rate differentials 0 80. Non recurring activities on disposal 0 90. Attuarial income (loss) on specific benefit plans 0 100. Valuation reserve quotas of equity investments carried at shareholders' equity 0 110. Total other net income (loss) (76,316,736) 25,604,659 (101,921,395)

120. Profitability (Captions 10 + 110) 470,993,386 534,224,704 (63,231,318) -11.8

64 Financial statements of Banca IMI

Statement of changes in shareholders’ equity as at 31 december 2009

Allocation of net income Changes during the year of the previous year

Operations on shareholders’ equity Reserves Amount as at 31.12.2008 Amount as at 01.01.2009 Changes in reserves Stock Options Changes in opening balances Issue of new shares Profitability as at 31.12.2009 Profitability Shareholders’equity as at 31.12.2009 Shareholders’equity Extraordinary dividends Extraordinary Dividends and other allocations Purchase of treasury shares of treasury Purchase Changes in equity instruments Derivatives on treasury shares Derivatives on treasury

Share capital:

a) ordinary shares 662,464,000 662,464,000 300,000,000 962,464,000

b) other 0 0 0

Share premium reserve 131,259,962 131,259,962 450,000,000 581,259,962

Reserves:

a) retained earnings 688,387,241 688,387,241 160,865,181 849,252,422

b) other 0 0 0

Valuation reserves: 12,612,820 12,612,820 25,604,659 38,217,479

Equity instruments 0 0 0

Treasury shares (-) 0 0 0

Net income ( loss ) 293,357,981 293,357,981 (160,865,181) (132,492,800) 508,620,045 508,620,045

Shareholders’ equity 1,788,082,004 0 1,788,082,004 0 (132,492,800) 0 750,000,000 0 0 0 0 0 534,224,704 2,939,813,908

65 Financial statements of Banca IMI

Statement of changes in shareholders’ equity as at 31 december 2010

Allocation of net income Changes during the year of the previous year

Operations on shareholders’ equity Reserves Amount as at 31.12.2009 Amount as at 01.01.2010 Changes in reserves Stock Options Changes in opening balances Issue of new shares Profitability as at 31.12.2010 Profitability Shareholders’equity as at 31.12.2010 Shareholders’equity Extraordinary dividends Extraordinary Dividends and other allocations Purchase of treasury shares of treasury Purchase Changes in equity instruments Derivatives on treasury shares Derivatives on treasury

Share capital:

a) ordinary shares 962,464,000 962,464,000 962,464,000

b) other 0 0 0

Share premium reserve 581,259,962 581,259,962 581,259,962

Reserves:

a) retained earnings 849,252,422 849,252,422 56,261,965 (7,057,725) 898,456,662

b) other 0 0 0

Valuation reserves: 38,217,479 38,217,479 (76,316,736) (38,099,257)

Equity instruments 0 0 0

Treasury shares (-) 0 0 0

Net income ( loss ) 508,620,045 508,620,045 (56,261,965) (452,358,080) 547,310,122 547,310,122

Shareholders’ equity 2,939,813,908 0 2,939,813,908 0 (452,358,080) (7,057,725) 0 0 0 0 0 0 470,993,386 2,951,391,489

66 Financial statements of Banca IMI

Statement of cash flows (indirect method)

Amount 31.12.2010 31.12.2009 A. OPERATING ACTIVITIES 1. Cash flow from operations 940,414,495 788,522,381 Net income 547,310,122 508,620,045 Gains/Losses on financial assets held for trading and on assets/ liabilities carried at fair value through profit and loss 61,734,053 (25,335,203) Gains/Losses on hedging activities 0 0 Net losses/recoveries on impairment 31,243,637 4,843,302 Adjustments to/net recoveries on property, equipment and intangible assets 424,457 519,815 Net provisions for risks and charges and other costs/revenues 37,031,900 46,274,608 Taxes and duties to be settled 235,000,000 259,000,000 Other adjustments 27,670,326 (5,400,186) 2. Cash flow from / used in financial assets (8,374,667,954) (29,749,823,383) Financial assets held for trading (189,822,517) (6,189,543,851) Financial assets available for sale 964,357,891 (3,308,615,073) Due from banks: repayable on demand (335,972,685) 277,096,545 Due from banks: other (3,874,478,485) (21,614,000,688) Loans to customers (4,470,316,614) 1,471,717,186 Other assets (468,435,544) (386,477,502) 3. Cash flow from / used in financial liabilities 7,863,315,302 29,085,461,361 Due to banks: repayable on demand (2,657,971,375) (527,899,784) Due to banks: other 1,846,805,000 8,213,422,566 Due to customers 3,458,952,998 1,079,654,382 Securities issued 3,703,933,446 17,949,943,713 Financial liabilities held for trading 3,547,976,294 3,098,739,826 Financial liabilities carried at fair value through profit and loss (1,997,180,707) (892,983,115) Other liabilities (39,200,354) 164,583,773 Net cash flow from (used in) operating activities 429,061,843 124,160,359

The statement of cash flows was prepared using the indirect method, according to which cash flows from operating activities are represented by adjusting net income for the effects of non-cash transactions.

In the statement, cash flows generated during the year are presented without a sign, whereas cash used is shown in parentheses.

67 Financial statements of Banca IMI

Statement of cash flows (indirect method)

Amount 31.12.2010 31.12.2009 B. INVESTMENT ACTIVITIES 1. Cash flow from operations 36,516,014 8,383,612 Sales of equity investments 0 0 Dividends collected on equity investments 36,516,014 8,383,612 Sales of investments held to maturity 0 0 Sales of property and equipment 0 0 Sales of intangible assets 0 0 Sales of business branches 0 0 2. Cash flow used in (13,222,500) (51,090) Purchases of equity investments (13,222,500) (51,090) Purchases of investments held to maturity 0 0 Purchases of property and equipment 0 0 Purchases of intangibles assets 0 0 Purchases of business branches 0 0 Net cash flow from (used in) investing activities 23,293,514 8,332,522

C. FINANCING ACTIVITIES Issues / purchases of treasury shares 0 0 Share capital increases 0 0 Dividend distribution and other (452,358,080) (132,492,800) Net cash flow from (used in) financing activities (452,358,080) (132,492,800)

Net increase (decrease) in cash and cash equivalents (2,723) 81

Reconciliation

Amount 31.12.2010 31.12.2009 Cash and cash equivalents at beginning of period 3,866 3,785 Net increase (decrease) in cash and cash equivalents (2,723) 81 Cash and cash equivalents: foreign exchange effect 0 0 Cash and cash equivalents at the end of period 1,143 3,866

68 Notes to the financial statements

Part A – Accounting policies

A.1 - GENERAL CRITERIA

SECTION 1 - DECLARATION OF COMPLIANCE WITH INTERNATIONAL ACCOUNTING STANDARDS Pursuant to Legislative Decree 38 of 28 February 2005, Banca IMI’s financial statements have been prepared in accordance with the accounting standards issued by the International Accounting Standards Board (IASB), including the interpretative documents designated SIC and the Interpretations of the International Financial Reporting Interpretations Committee (IFRIC), as provided for in Regulation (EC) No 1606 of 19 July 2002.

In preparing the financial statements, the Bank has applied the IASs/IFRSs in force at 31 December 2010 and the instructions for financial statements issued by the Bank of Italy in the Order dated 22 December 2005, the concurrent Circular 262, as amended on 18 November 2009, the general provisions of the Italian Civil Code and other applicable laws and regulations.

The specific accounting standards adopted, which are illustrated in Part A.2 of the notes below, have been applied in a continuous manner. There were no exceptions to the application of international accounting standards (IASs/IFRSs).

The financial statements have been audited by Reconta Ernst & Young S.p.A..

SECTION 2 - GENERAL BASIS OF PREPARATION The financial statements consist of: – the balance sheet; – the income statement; – the statement of comprehensive income; – the statement of changes in shareholders’ equity; – the statement of cash flows; and – the notes.

They are also accompanied by the directors’ report on operations.

In accordance with the provisions of Article 5 of Legislative Decree 38/2005, the financial statements have been drawn up using the euro as the functional currency. The amounts presented in the financial statements are expressed in euro, whereas the figures cited in the notes are stated in thousands of euro. The figures in the tables included in the directors’ report on operations are in millions of euro, unless otherwise indicated.

The financial statements have been prepared in accordance with the general principles of IAS 1 and the specific accounting standards endorsed by the European Commission and illustrated in Part A.2 of these notes, as well as in compliance with the general assumptions set forth by the Framework for the Preparation and Presentation of Financial Statements issued by the IASB.

There were no exceptions to the application of international accounting standards (IASs/IFRSs).

In the circumstances cited in the Circular mentioned above, or where deemed appropriate to a fuller understanding of the trends in earnings and financial position aggregates, numerical tables also contain comparative figures from the previous year or are accompanied by detailed analyses.

71 Notes to the financial statements - Part A – Accounting policies

Contents of financial statements

Balance sheet and income statement The presentation of the balance sheet and income statement is based on captions, sub-captions and further details (the “of which” under captions and sub-captions). With respect to the presentation laid down by the Bank of Italy, the Company has omitted captions with null values in both the reporting year and the previous year. In the income statement, revenues are presented without a sign, while costs are shown in parentheses.

Statement of comprehensive income The statement of comprehensive income comprises captions that present changes in the value of assets registered during the year through valuation reserves, net of the associated tax effect. As for the balance sheet and income statement, with respect to the presentation laid down by the Bank of Italy, the Company has omitted captions with null values in both the reporting year and the previous year.

Statement of changes in shareholders’ equity The statement of changes in shareholders’ equity is presented in accordance with the provisions of Bank of Italy Circular 262/2005 and shows the composition of and changes in shareholders’ equity captions, broken down into share capital, capital reserves, earnings reserves, asset and liability valuation reserves and net income or loss.

Statement of cash flows The statement of cash flows has been prepared using the indirect method, according to which cash flows from operating activities are represented by adjusting net income for the effects of non-cash transactions. Cash flows are divided into those associated with operating activity, investing activity, and financing activity.

Contents of the notes The notes include the information required by Bank of Italy Circular 262/2005, as updated on 18 November 2009, and the additional information required by international accounting standards and other Italian legislation.

The financial statements have been prepared in accordance with the general principles of IASs and present the figures for the period alongside the comparative figures from the previous year, for the balance sheet, or the corresponding period of the previous year, for the income statement.

SECTION 3 - EVENTS AFTER THE REPORTING DATE No events occurred after the reporting date that would have resulted in effects on the Bank’s earnings or financial position to an extent worthy of mention in these notes.

SECTION 4 - OTHER ASPECTS

National tax consolidation Banca IMI has elected to continue to participate in the Intesa Sanpaolo Group’s national tax consolidation programme for the three-year period 2010-2012. Such programmes are governed by Articles 117-129 of the Consolidated Income Tax Act and were introduced into the tax code by Legislative Decree 344/2003. Said programme allows the option of electing for the transfer of the total taxable income or loss of each company participating in the tax consolidation programme, along with withholding taxes paid, deductions and tax credits, to the parent company, on the basis of which a collective taxable income or tax loss carryforward is then calculated (namely as the algebraic sum of the parent company’s income/losses and those of participating subsidiaries, and, consequently, a single tax liability/tax credit).

Extinguishment of the securitisation of own receivables On 4 July 2008, the Bank closed a securitisation transaction pursuant to Law 130/99 with the aim of rendering a pre-existing portfolio of debt securities eligible for refinancing through repurchase agreement transactions. Within that transaction, Banca IMI had acquired senior notes in the amount of 696 million and junior

72 Notes to the financial statements - Part A – Accounting policies notes in the amount of 82 million issued by the vehicle SPQR II, effectively retaining all risks and rewards associated with the transferred bonds. On 21 April 2010, Banca IMI irrevocably exercised its option to repurchase the securitised portfolio. The unwinding of the securitisation transaction, which took the form of the repurchase of the securitised portfolio and the concurrent redemption of the notes issued by SPQR II, took legal effect on 14 July 2010.

Closure of the Athens branch The plan to transform the Athens branch into a representation office was completed during the year. In detail, closure of the branch was completed on 27 August, while the representation office opened on 1 September after receiving the required authorisation from the Greek supervisory authorities.

Acquisition of an interest in Epsilon SGR On 2 July 2010, Banca IMI acquired a 49% interest in Epsilon SGR from Eurizon Capital, which holds a 51% interest, for 12,617,500 euro. From an accounting standpoint, the transaction was between entities under common control and it was thus decided to recognise the interest on a continuity of values basis, that is to say at its carrying amount for the vendor, pursuant to the provisions of OPI 1. Concurrently, Banca IMI and Eurizon Capital defined the governance and operating rules to be followed by Epsilon SGR. The acquisition is part of the strategic plan for the Retail Hub and will allow Banca IMI to issue guarantees on its management mandates, expanding the range offered to investors to include management products with guaranteed capital and/or minimum return.

73 Notes to the financial statements - Part A – Accounting policies

A.2 - MAIN FINANCIAL STATEMENTS CAPTIONS

This chapter sets out the accounting standards adopted by Banca IMI for the preparation the financial statements at 31 December 2010. The exposition of accounting standards is divided into the stages of classification, recognition, measurement, and derecognition of the various asset and liability captions.

1. Financial assets held for trading This category includes debt securities, equity securities, shares of UCITS and the positive value of derivative contracts held for trading purposes. Derivatives contracts also include those embedded in hybrid financial instruments. Embedded derivatives are recognised separately where the following conditions have been met: – their economic characteristics and risks are not closely related to the characteristics of the host contract; – the embedded instruments, even though separate, meet the definition of derivative; and – the hybrid instruments to which they belong are not measured at fair value through the income statement.

Reclassifications to other categories of financial assets are not allowed except in cases of unusual events unlikely to recur in the near term. In such cases, debt and equity securities no longer held for trading may be reclassified to the other IAS 39 categories (financial assets held to maturity, financial assets available for sale and loans and receivables) if the conditions for recognition have been met. The carrying amount is represented by fair value at the moment of reclassification. Securities are tested for the presence of embedded derivatives to be separated during the reclassification process.

Financial assets are initially recognised on the settlement date for debt and equity securities, and on the subscription date for derivative contracts and other off-balance sheet transactions. Upon initial recognition, financial assets held for trading are entered at cost, taken as the fair value of the instrument, without considering transaction costs or revenues directly attributable to the instrument, which are instead immediately recognised through the income statement.

After initial recognition, financial assets held for trading are measured at fair value and any changes are recognised through the income statement. Market prices (bid-ask prices or average prices) are used to determine the fair value of securities listed on an active market 1. In the absence of an active market, estimation methods and valuation models are employed, taking account of all risk factors associated with the instruments, and based on data available from the market, such as: methods based on the quoted prices of instruments with similar characteristics, discounted cash flow analysis, option-pricing models and valuations of recent comparable transactions.

The valuation models used, including for reporting purposes, to determine the fair values of derivative contracts are subject to prior validation and periodic review by the Group’s Risk Management function, which is independent of the structures that draft such models. Said models may incorporate factors that require the use of estimates and parameters that are not directly observable on the market.

In order to monitor the risks associated with the assumptions internal to the models employed and the most innovative securities, the fair value measured through valuation techniques is prudentially decreased by applying a corrective factor, which is determined on the basis of the degree of complexity of the valuation model used and the level of liquidity of the security. Since liquidity risks tend to diminish as a security approaches maturity, the corresponding corrective factor is reviewed and reduced as necessary to account for the financial product’s residual life. A further corrective factor is also applied when determining fair value in order to account for the extent of the bid-offer spread and the credit risks inherent in certain categories of securities.

Financial assets are derecognised where the contractual rights to receive the cash flows from said assets expire or where the financial assets have been transferred along with substantially all associated risks and rewards. However, if the majority of risks and rewards relating to the transferred financial assets are retained,

1 A financial instrument is regarded as listed on an active market if quoted prices are readily and regularly available from an exchange, dealer, broker, industry company, pricing service or authorised entity, and those prices represent actual and regularly occurring market transactions on an arm’s-length basis over a normal reference period.

74 Notes to the financial statements - Part A – Accounting policies these assets continue to be carried on the balance sheet, even though in legal terms the ownership of said assets has been effectively transferred.

2. Financial assets available for sale This category includes financial assets (with the exception of derivatives contracts) not otherwise classified as held for trading, held to maturity or loans and receivables.

Assets in this category are initially recognised on the settlement date at their fair value, which is defined as the cost of the security, including transaction costs and revenues directly attributable to said security.

After initial recognition, assets available for sale are measured at their fair value, which is determined according to the criteria cited in paragraph 1 above, involving the recognition of the profit or loss under a specific shareholders’ equity reserve until such time as the financial asset is derecognised or impaired. When the asset is disposed of or becomes impaired, the accumulated profit or loss is transferred, in whole or in part, to the income statement. Equity securities included in this category, the fair value of which may not be determined reliably according to the guidelines set out in paragraph 1, continue to be carried at cost.

Financial assets available for sale are periodically tested in order to determine whether there is objective evidence of impairment. If such evidence exists, the amount of the loss is measured as the difference between purchase cost (net of any prior impairment and depreciation or amortisation) and the current fair value of the asset as determined by using specific measurement methods. Said loss is then recognised on the income statement. Any subsequent recoveries of the value of debt securities classified as available for sale are recognised on the income statement if and to the extent they are objectively correlated to events that occur after impairment is recognised. Recoveries recognised on equity securities are taken through shareholders’ equity.

Financial assets are derecognised when the contractual rights to the cash flows deriving from the assets expire or where substantially all associated risks and rewards are transferred along with ownership of the financial asset.

3. Loans and receivables This category includes non-derivative financial assets claimed from customers and banks, whether originated directly, purchased from third parties or contributed, that call for fixed or otherwise determinable payments, are not listed on an active market and are not classified to another category.

This category includes, inter alia, repurchase agreement transactions that call for the obligation to sell the securities at maturity and securities lending transactions involving the payment of cash collateral. Both types are carried in the accounts as investment transactions (in a like manner, they are recognised as due to banks and to customers where the transactions obligate the Bank to repurchase the securities at maturity or receive cash collateral) and do not result in changes in the inventories of owned securities. The caption also includes trade receivables deriving from the provision of financial services. Reclassifications to the other IAS 39 categories of financial assets are not allowed.

Loans and receivables are initially recognised on the date the contract is signed, which normally coincides with the date of disbursement. If the two above dates do not coincide, a commitment to lend funds is recognised when the contract is signed and then derecognised when the loan is disbursed. Loans and receivables are initially recognised at fair value. Fair value is represented by the sum disbursed or the price of the underlying security, including directly attributable costs/revenues determinable at the inception of the transaction, even if settled at a later time.

Costs that satisfy the above characteristics are excluded where they are to be reimbursed or may be considered normal internal administrative expenses. If, in certain rare circumstances, inclusion in this category occurs following reclassification from financial assets available for sale or from financial assets held for trading, the fair value of the asset as at the date of reclassification is used as the new amortised cost of the asset.

After initial recognition, loans and receivables are measured at amortised cost, equal to their initial value increased/decreased by principal repayments, adjustments/recoveries and amortisation – calculated

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applying the effective interest method – of the difference between the amount disbursed and the amount to be repaid at maturity, typically attributable to the costs/revenues directly connected to the individual loan or receivable. The effective interest rate is the rate that exactly discounts estimated future cash payments of the loan or receivable, by way of principal and interest, to the amount disbursed inclusive of the costs/revenues attributable to the loan or receivable. By taking a financial approach, this accounting method allows the economic effect of the costs/revenues to be distributed over the expected residual life of the loan or receivable.

The amortised cost method is not applied to loans and receivables the brief duration of which renders the effect of the application of the effective interest rate method negligible. Costs/revenues associated with loans and receivables that refer to repurchase agreements and securities lending transactions are taken through the income statement on a straight-line basis over the contractual duration of the loan or receivable. An analogous measurement criterion is applied to loans and receivables with unspecified maturity or a notice period.

The carrying amount of loans and receivables is periodically tested for impairment. This process contemplates the specific solvency situation of debtors experiencing difficulty in servicing their debt and the potential difficulties associated with debtors’ business segments or countries of residence, while also considering any collateral provided.

Said test is applied to non-performing loans and receivables in particular (doubtful, substandard, restructured and past-due exposures) and to those for which the Bank believes it is unlikely to be able to recover the entire amount due on the basis of the original contractual conditions or an equivalent amount. Such loans and receivables are subject to individual impairment testing.

Performing exposures, i.e. debt securities, loans and receivables and guarantees given (or equivalent instruments), to parties that have yet to show signs of specific insolvency risks as at the balance sheet date are tested for impairment collectively. Collective testing in accordance with the Parent Company’s risk management methods is applied to classes of loans and receivables that are similar in terms of credit risk, and the relative loss percentages are estimated considering past time-series, founded on observable elements at measurement date, that allow an estimate of the value of the latent loss in each category of loans and receivables.

The original value of loans and receivables is recovered to the extent to which that the grounds for impairment cease to apply in subsequent years.

Guarantees provided not representing derivatives contracts are measured by taking account of the provisions of IAS 39, which call for, on the one hand, the recognition of the commissions collected, pursuant to IAS 18, and, on the other, the measurement of the risks and expenses associated with the guarantees in application of the criteria set out in IAS 37. Said measurement, in accordance with the Bank of Italy’s instructions, is recognised through the caption Other liabilities.

Loans and receivables are derecognised when repaid or when transferred along with substantially all of the risks and rewards associated with said loans and receivables.

4. Hedging transactions Hedging transactions aim to cover potential losses attributable to certain types of risks through the gains that may be realised on the hedging instruments.

In accordance with its risk management policies and hedging strategies, the Bank has identified fair value hedging relationships and designated: – interest-rate derivatives as hedging instruments for the fair value of its bonds; and – interest-rate derivatives as hedging instruments for the fair value of the bonds carried among financial assets available for sale.

As for all derivatives, hedging derivatives are initially recognised and subsequently measured at fair value.

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When a financial instrument is classified as a hedge, the Bank formally documents the relationship between the hedging instrument and hedged items and includes the risk management objectives, the strategy for implementing the hedge, which must be in line with the risk management policy identified by Risk Control, and the methods that will be used to assess the effectiveness of the hedge. As a result, the Bank verifies that the hedging relationship of the derivative effectively compensates the changes in the fair value of the hedged item. This is carried out at the inception of the hedge as well as throughout its duration.

A hedge is considered effective if, both at inception and over the course of its life, changes in the fair value or cash flows of the hedged item are offset by the changes in the fair value of the hedging derivative.

The extent to which a hedge is ineffective is represented by the difference between the change in the fair value of the hedging instrument and the change in the fair value of the hedged item. Both these changes are recognised in the income statement under “Profits (Losses) on hedging”.

The Bank ceases to consider these transactions as hedges, and therefore to account for them as such, if: (i) the derivative is not, or has ceased to be, highly effective as a hedge, (ii) it expires, is sold, terminated or exercised or (iii) the hedged item expires or is redeemed in advance.

The accounting treatment of fair value hedges involves recognising the effect of changes in the fair value of the hedging instrument and changes in fair value attributable to the risk associated with the hedged assets/ liabilities in the income statement.

Where a hedge ceases to exist for reasons other than the realisation of the hedged item, the overall change in said item’s fair value, which is carried for such time as the hedge remains effective, is then recognised on the income statement according to the amortised cost method.

5. Equity investments “Equity investments” are defined as investments in subsidiaries, joint ventures and companies subject to significant influence.

Subsidiaries are defined as companies for which the Bank or Group is able to determine administrative, financial and managerial policies and in which the Bank or Group typically holds more than half of voting rights or a lesser share of voting rights that nonetheless entitles the Bank or Group to appoint the majority of the directors or determine financial and operational policies. Associates, i.e. entities subject to significant influence, are defined as companies in which the Group holds at least 20% of voting rights and companies in which, although the Group holds a lesser share of voting rights, it is nonetheless able to participate in the determination of the company’s financial and managerial policies by virtue of existing legal and de facto relationships.

Joint ventures are defined as companies for which a contractual agreement is in force requiring the unanimous consent of the Group and the other participants, resulting in the sharing of control over administrative, financial and management decisions.

Equity investments in subsidiaries and in companies subject to significant influence are measured at cost, and adjusted for impairment, if necessary.

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6. Property and equipment Property and equipment are recognised at their purchase cost, plus any accessory expenses and capital expenditures, and are presented net of depreciation, which is applied on a straight-line basis beginning with the period in which the assets come on stream in the production process.

Maintenance and repair expenses that do not entail an increase in the carrying amounts of the assets are charged to the income statement for the period. Paintings and other works of art, which are considered goods having indefinite useful lives, are included among capital property and equipment by convention.

7. Intangible assets Intangible assets, which consist of software and intellectual property rights, trademarks and other intangible assets, are recognised at purchase cost, including accessory expenses, where the Board of Statutory Auditors provides its consent and under the circumstances set forth in the law. The goodwill pertaining to the Investment Banking business unit contributed by the Parent Company is also carried among intangible assets. Intangible assets are recognised if and only if they are identifiable and derive from legal or contractual rights. If this is not the case, the cost of the intangible asset is charged to the income statement in the year in which it is sustained.

The cost of assets with definite useful lives is amortised on a straight-line basis or in decreasing instalments depending on the economic benefits expected to flow from the assets. Assets with indefinite useful lives are not systematically amortised, but rather periodically tested for impairment of their carrying amounts. If there is an indication that an asset may have become impaired, the recoverable amount of that asset is estimated. The amount of impairment to be recognised in the income statement is the difference between the asset’s carrying amount and recoverable amount.

The value of an intangible asset is systematically amortised beginning when the asset effectively comes on stream in the production process, over a period of three years for software and other IT procedures, and five years for all other intangible assets.

Goodwill is tested for impairment once a year (or whenever there is evidence of an impairment loss). This process involves identifying the cash-generating unit to which the goodwill is allocated. Any impairment losses are determined on the basis of the difference between the carrying amount and recoverable amount of goodwill, if the latter is lower. The recoverable amount is equal to the higher between the fair value of the cash-generating unit, less any cost to sell, and the relative value in use. As mentioned above, the ensuing adjustments are recognised in the income statement.

Intangible assets are derecognised when disposed of or when no future economic benefits are expected to flow from their use.

8. Current and deferred tax Provisions for income taxes are determined on the basis of estimates of current taxes, deferred tax assets and deferred tax liabilities, while also accounting for the tax consolidation programme.

In particular, deferred tax assets and liabilities are calculated based on the temporary differences – without time limits – between the carrying amount of assets and liabilities according to statutory criteria and their corresponding values for tax purposes. Deferred tax assets referring to tax-loss carry-forwards, where recognised, are determined within the limits of the expected benefits for future taxable income, considering budget projections and foreseeable revenue trends. Such assets are quantified by referring to the tax rates established in applicable legislation.

Deferred tax assets and liabilities are recognised in the income statement, except for those normally recognised directly in shareholders’ equity in the interest of consistent application of IASs/IFRSs. The same treatment is applied to changes arising from the modification of tax rates.

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Deferred tax liabilities on capital reserves for which taxation is suspended are not recognised inasmuch as it is reasonable to believe that the Bank will not choose to undertake transactions that would result in the taxation thereof.

9. Allowances for risks and charges

Retirement packages and similar obligations Retirement packages are based on company agreements and qualify as defined-benefit plans. Liabilities related to such plans, and the relative cost of current service, are determined according to actuarial assumptions based on the Projected Unit Credit Method. This method holds that future obligations are to be forecast using past time-series analyses and the demographic curve, and that such future cash flows are to be discounted at a market interest rate. The provisions made in each year of service are considered separately and give rise to an additional unit of benefit entitlement for the purposes of the final obligation. The rate used to discount future flows is the average market yield curve on measurement dates. The present value of the liability at the reference date of the financial statements is also adjusted by the fair value of any plan assets. Actuarial income and loss are recognised in the income statement on the basis of the “corridor approach” only to the extent of the actuarial income and loss that remains unrecognised at the end of the previous period in excess of the greater of 10% of the present value of the defined benefit obligation and 10% of fair value of plan assets; this excess amount is recognised in the income statement on the basis of the expected average remaining working life of the participants in the plan or in the year in the case of retired personnel.

Other allowances for risks and charges Allowances for risks and charges account for legal obligations associated with employment agreements or pertaining to disputes originating in prior events. They consist of liabilities the amount or maturity of which is uncertain and are recognised to the extent that: – the Bank has a present (legal or constructive) obligation owing to a prior event; – it is likely that financial resources will be expended to discharge the obligation; and – it is possible to make a reliable estimate of the likely future outlay.

Allowances are discounted where the time effect is material. Provisions to allowances are recognised on the income statement along with any interest expenses accrued on allowances subject to discounting.

Provisions are not recognised in connection with merely possible and improbable liabilities. However, a description of the nature of such liabilities is provided in the notes where they are deemed material.

The provisions recognised are reviewed at each reporting date and adjusted to reflect the best current estimates. When it appears unlikely that resources capable of generating economic benefits will need to be expended to discharge the obligation, allowances are released.

10. Due to banks and customers and securities issued Due to banks and customers and securities issued include the various forms of funding, such as loans, repurchase agreements, securities lending and bonds. They also include operational payables, with the exception of those claimed by providers of goods and services. Such financial liabilities are initially recognised on the contractually established settlement date, which normally coincides with the moment in which the sums raised are received or the debt securities are issued.

Initial recognition is based on fair value of the liabilities, which is normally the amount received or the issue price, plus or minus any costs or income directly attributable to the funding transaction or issue. Internal administrative costs are excluded.

Thereafter, except in the case of captions the contractual maturities for which fall in the near term and effects of which are not viewed as material, payables are stated at amortised cost. Securities issued are measured at amortised cost according to the effective interest rate method and are carried net of any repurchased securities.

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Derivatives may be embedded in host contracts. Such combinations, known as hybrid instruments, mainly originate from the issuance of structured debt securities.

Embedded derivatives are separated from their host contracts and are carried as ordinary derivative instruments at their fair value, if, and only if: – the economic features and risks of the derivative instrument are not strictly correlated to the economic features and risks of the host contract; – the embedded instruments, considered separately, meet the definition of a derivative; and – the hybrid instruments in which they are embedded are not measured at fair value with the respective changes through the income statement.

When dealing with own securities, the difference between the cost incurred to repurchase the securities issued and their respective carrying amount is charged to the income statement. The sale of any previously repurchased securities, from an accounting standpoint, is treated as a new placement and therefore gives rise to a change in the average carrying amount of the related liabilities.

Liabilities are derecognised when they expire or have been discharged.

11. Financial liabilities held for trading This caption includes the negative value of trading derivative contracts measured at fair value and liabilities, also measured at fair value, originating from technical overdrafts resulting from securities trading operations.

Changes in fair value are taken through caption 80 of the income statement, “Profits (Losses) on trading”.

12. Financial liabilities carried at fair value through profit and loss Financial liabilities at fair value consist of bonds issued by the Bank the original yield of which is linked to the performance of baskets of investment fund shares, carried on the balance sheet among “Financial assets held for trading”.

These liabilities are recognised on the issue date at their fair value, on the basis of the application of the fair value option under IAS 39, including the value of any embedded derivatives and net of placement commissions taken directly through profit and loss. The difference between the amount collected at issue, net of placement commissions, and the fair value, including change in creditworthiness, of the bond at the issue date is taken through profit and loss on a pro rata basis over the life of the bond.

Electing for the fair value option for this category of structured securities allows for a decrease in the accounting asymmetry resulting from the measurement of the securities associated with bonds at their fair value.

13. Foreign currency transactions Transactions in foreign currencies are recognised according to when they are settled by applying the exchange rate for the transaction to the amount in the original currency. Assets and liabilities denominated in foreign currencies are measured at the spot exchange rates in force at the reporting date (ECB official average).

“Off-balance sheet” transactions are measured: – at the spot exchange rate on the reporting date, in the case of unsettled spot transactions; or – at the current forward rate on the above date for maturities corresponding to that of the transactions measured, in the case of forward transactions.

Exchange differences arising on the settlement of monetary items or on translating monetary items at rates different from those at which they were translated on initial recognition during the period or in previous financial statements are recognised through profit and loss in the period in which they arise.

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14. Other information

Employee termination indemnities Following the entry into force of Legislative Decree 252 of 5 December 2005, the employee severance indemnity is no longer considered a “defined-benefit plan” but rather a “defined-contribution plan”. The consequence of this new scheme, which shifts actuarial risk and investment risk from the Bank, which provides benefits, to a supplementary pension fund or the treasury fund managed by Italy’s national social- security agency (INPS), lies in the differing treatment applicable to sums accrued after 1 January 2007.

Sums accrued prior to 31 December 2006, inasmuch as the employee severance indemnities are considered to be a “defined-benefit plan” under which the Bank holds actuarial and investment risk, remain subject to actuarial valuation according to the Projected-Unit Credit Method, without pro-rata application of the current service cost.

The discounting rate used is determined as the weighted average of euro-swap (zero-coupon IRS) rates and credit spreads on benchmark Italian government bonds at the measurement date, weighted on the basis of the percentage of the total paid and advanced, for each maturity, with respect to the total payable or to be advanced until final discharge of the obligation in its entirety.

The plan’s service costs are recognised among personnel expenses. Actuarial income and loss are calculated according to the corridor method, i.e. solely when they exceed, with respect to the end of the previous year, the greater of 10% of the actuarial value of the benefits generated by the plan and 10% of the fair value of the assets in service of the plan. Said excess amount is also related proportionally to the expected average length of service of the plan’s participants.

Sums accrued and to be accrued after 1 January 2007 are considered a “defined-contribution plan”, shifting actuarial and investment risk outside of the Bank, which provides the benefits, regardless of whether the employee elects for a supplementary pension scheme or allocates contributions to the national treasury fund. Since the Bank’s obligation is limited solely to the sums it pays, it is no longer necessary to make adjustments using particular actuarial calculation methods, with the result that the amount of the sums recognised among personnel expenses is determined exclusively by the contributions paid.

Leasehold improvements Costs associated with refurbishing properties owned by third parties are capitalised provided that, for the term of the lease, the company using the property has full control of the assets, with the power to limit access thereto by third parties, and is therefore able to receive the related future economic benefits. The above costs, which are classified among “Other assets”, as required by the Bank of Italy’s Instructions, are amortised over a period that may not exceed the term of the lease agreement.

Revenue recognition Revenue is recognised when it is collected or the transactions that generated it have been closed and it is thus likely that future benefits will be received and said benefits may be reliably estimated.

In further detail: – interest income is recognised on a pro-rated basis according to the contractual interest rate; – dividends are recognised on the income statement during the year in which they are collected, which normally coincides with the year in which distribution is authorised; – commission income from services is recognised, on the basis of the existence of contractual agreements, in the period in which the services are rendered; and – revenue on the brokerage of financial instruments held for trading is recognised on the income statement upon the contractual settlement of the transaction.

Use of estimates and assumptions in preparing the financial statements The preparation of the financial statements requires the use of estimates and assumptions that may have a significant effect on the amounts presented in the balance sheet and income statement and on the disclosure of contingent assets and liabilities. Estimates are based on available information and subjective evaluations, often founded on past experience, which are then used to formulate reasonable assumptions to be made in measuring operating phenomena. Given their nature, the estimates and assumptions used may vary from year to year, and hence it cannot be excluded that current amounts carried in the financial statements may

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differ significantly in future financial years as a result of changes in the subjective evaluations made.

The main cases for which subjective evaluations are required to be made by corporate management include: – the measurement of impairment losses on loans and, generally, other financial assets; – the use of measurement models for determining the fair value of financial instruments not listed on active markets; – the evaluation of the appropriateness of amounts stated for goodwill and other intangible assets; – the measurement of personnel provisions and provisions for risks and charges; and – the estimates and assumptions on the recoverability of deferred tax assets.

The fair value of financial instruments Fair value is the amount for which an asset may be exchanged or a liability discharged in a transaction between independent counterparties having a reasonable understanding of market conditions and significant facts associated with the object of the trade. In the definition of fair value, the presumption that an entity is fully operational and not forced to wind down or significantly decrease its operations or undertake transactions under unfavourable transactions is fundamental. Fair value typically reflects the credit quality of the instrument inasmuch as it incorporates counterparty risk.

The fair value of financial instruments is determined through the use of prices derived from the markets, in the case of instruments listed on active markets, or through the use of internal valuation models, in the case of other instruments. A market is considered active if quoted prices representing effective, regular market transactions undertaken during an appropriate reference period are readily and regularly available from stock exchanges, dealers, brokers, industry companies, listing services or authorised entities.

The valuation method defined for a security is adopted consistently over time and modified solely in response to significant changes to the market or subjective conditions of the security’s issuer.

Mutual funds and equivalent investment schemes, spot and forward currency transactions, futures, options and securities listed on a regulated market are considered listed on an active market. In a like manner, bonds for which at least two “executable” type prices are consistently available from a listing service, and which show a bid-ask spread under a certain threshold deemed appropriate, are also considered listed on an active market. Conversely, all instruments that do not fall into the categories described above are not considered listed on an active market.

Benchmark prices, official prices at closing or winding-down of the contract (always on the last day of market operation during the reference period) are used for instruments listed on active markets. Units of mutual finds and similar instruments are measured according to the unit values provided by their respective management firms on dates that coincide with the prices of the underlying instruments.

Where no active, liquid market exists, the fair value of instruments is determined primarily through the use of valuation techniques that aim to establish the price of a hypothetical arm’s-length transaction driven by normal market considerations on the date of measurement. In order to incorporate all factors that operators contemplate when establishing pricing, valuation models take account of the time value of money at the risk-free rate, the risks of default, early payment and redemption, the volatility of the security, and, where appropriate, the foreign currency exchange rates, commodity prices, and share prices.

The valuation models applied to bonds and derivatives refer to the current market values of substantially identical securities, the time value of money and option pricing models, on the basis of specific traits of the entity subject to measurement and considering the parameters available from the market. These parameters are identified and applied on the basis of the liquidity, depth and visibility of the reference markets and the changes in the creditworthiness of counterparties and issuers.

In consideration of their number and complexity, a systematic reference framework has been developed for derivatives, which represents the common elements (calculation algorithms, processing models, market data used and basic assumptions of the model) that are used to measure all categories of derivatives.

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Impairment of assets

Financial assets At each balance sheet date, financial assets not classified as held for trading or carried at fair value through profit and loss are tested for impairment to determine whether there is objective evidence that the carrying value of these assets is not fully recoverable. Impairment has occurred if there is objective evidence of a reduction in future cash flows with respect to original estimates as a result of specific events; the loss must be quantified in a reliable manner and must be correlated with present, and not merely expected, events. Impairment testing is performed on an individual basis for financial assets that present specific evidence of losses and on a collective basis for financial assets for which individual testing is not required or has not resulted in adjustments. Collective testing is based on the identification of portfolios of financial assets with the same risk characteristics in terms of the borrower/issuer, business segment, geographical area, the presence of any guarantees and other relevant factors. Loans to customers and amounts due from banks are tested individually if they have been classified as doubtful, substandard, restructured or past due according to the Bank of Italy’s definitions, in accordance with IASs/IFRSs. Such non-performing loans and receivables are tested separately and the amount of the adjustment to each loan or receivable is the difference between its carrying amount when tested (amortised cost) and the present value of expected future cash flows, discounted at the original effective interest rate. Expected cash flows take account of expected recovery times, the presumed realisable value of guarantees and the costs incurred to recover the debt. Cash flows deriving from loans or receivables expected to be recovered in the near term are not discounted since the time value is immaterial.

Loans or receivables for which no objective evidence of loss has emerged from individual testing are tested collectively. Collective testing applies to categories of loans and receivables that are similar in terms of credit risk. Loss percentages are estimated considering past time-series, founded on observable elements at the measurement date, that allow for an estimate of the value of the latent loss in each category of loan or receivable. Testing also accounts for the risk connected to the counterparty’s country of residence.

Provisions for performing loans are determined by identifying the greatest possible synergies (as permitted by the various legislations) with the supervisory approach contained in the New Capital Accord generally known as Basel 2. In particular, the parameters of the calculation model set out in the new supervisory provisions, namely Probability of Default (PD) and Loss Given Default (LGD), are also used – where already available – for the purposes of financial statement valuation. The relationship between the two aforementioned parameters represents the starting point for loan segmentation, since they summarise the relevant factors considered by IASs/IFRSs for the determination of the homogenous categories and for the calculation of provisions. The period of one year used to determine probability of default is considered suitable to approximate the notion of incurred loss, namely the loss based on current events that have not yet been included by the entity in the review of the specific customer’s risk level, as set forth in international accounting standards. This time period is reduced to six months solely for counterparties that are natural persons, for whom the recognition of a deteriorating credit situation and the ensuing transfer to non-performing loans generally occur when there are unpaid instalments or continuous defaults for more than 90/180 days.

The allocation also takes into account corrective factors such as the state of the economic cycle and the concentration of credit risks towards persons who have a significant exposure to the Group.

The impairment-testing process for financial assets available for sale involves verifying whether specific indicators are present and determining any impairment loss. Impairment indicators may be divided into two categories: (i) indicators deriving from internal factors pertaining to the company being tested, and thus of a qualitative nature; and (ii) for debt securities, external indicators of a quantitative nature deriving from the company’s market values. The following factors are considered relevant in relation to the first category of indicators: the reporting of a net loss or a significant divergence from the goals set out in budgets or long-term plans disclosed to the market; the announcement/commencement of bankruptcy procedures or restructuring plans; and the downgrading of the rating set by a specialised agency by more than two classes. The relevant indicator in the second category is a significant or prolonged decrease in fair value below the initial carrying amount. In detail, a reduction in fair value is considered significant if it is more than 30% below the carrying amount and prolonged if it continues for a period in excess of 24 months.

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When one of the above thresholds is exceeded, the security is impaired. If those thresholds are not exceeded but there are other indicators of impairment, the loss must also be corroborated by the result of specific analysis of the security and investment.

Other non-financial assets Intangible assets with indefinite useful lives consist of the goodwill recognised following extraordinary contribution transactions in application of IFRS 3. They are tested for impairment at each balance sheet date in order to determine whether there is objective evidence that they may have become impaired on the basis of the cash-generating unit (CGU) to which they were allocated during the business combination transactions. The amount of any impairment is determined on the basis of the difference between the carrying amount of the CGU and its recoverable amount, represented by the greater of fair value, less costs to sell, and value in use.

The carrying amounts of CGUs must be determined in a manner consistent with the criterion used to determine their recoverable amounts. For a banking business, the cash flows generated by a CGU cannot be identified without considering the cash flows deriving from financial assets/liabilities, as these form part of the core business. In other words, the recoverable amounts of CGUs are influenced by the aforementioned cash flows, and therefore their carrying amounts must be determined in accordance with the scope of the estimation of the recoverable amounts, and accordingly must also include the financial assets/liabilities. Consequently, these assets and liabilities must be properly allocated to the associated CGUs.

The value in use of a CGU is determined by estimating the present value of future cash flows that may be expected to be generated by the CGU. These cash flows are determined by using the most recent internal budget prepared by the management. The forecasting period for the analysis usually consists of a maximum of five years. The cash flow of the final year of the forecast is projected in perpetuity, using an appropriate growth rate “g” for the purposes of what is known as “terminal value”. The “g” rate is determined by assuming that the growth factor is the lower of the average growth rate for the forecasting period of the analysis and the average rate of increase in the gross domestic product. When determining value in use, the cash flows must be discounted at a rate that reflects the present valuations of the time value of money and the asset’s specific risks. Specifically, the discount rates used incorporate the present market values with reference to the risk-free component and the premiums for the risk associated with the equity component observed over a sufficiently long time period to reflect market conditions and different economic cycles. In addition, given the varying risk levels of the respective business segments, different beta coefficients are used for each CGU.

A.3 - INFORMATION ON FAIR VALUE

The transfers between portfolios presented in this section are attributable solely to Banca IMI.

A.3.1 Transfers between portfolios

A.3.1.1 Reclassified financial assets: carrying amount, fair value and effects on comprehensive income

(in thousands of euro) Category Original Destination Book value Fair value Income components Income components of financial portfolio portfolio as at as at in absence of transfer recorded in the period instrument 31.12.2010 31.12.2010 (before tax) (before tax)

Evaluation Other Evaluation Other Debt Securities HFT L&R 325,412 325,682 269 907 810 6,850

The financial assets commented upon herein have been reclassified according to their fair values as at 1 July

84 Notes to the financial statements - Part A – Accounting policies

2008. For further information concerning the development of the portfolio in question, refer to the report on operations.

There were no transfers between portfolios during the reporting year.

A.3.1.3 Transfer of financial assets held for trading As at 30 September 2008, due to changes to accounting standards, and most markedly the amendments to IAS 39 concerning the option of reclassifying out of the held-for-trading portfolio securities for which the resumption of orderly trading may not be foreseen in the near term due to changed market conditions, the Bank proceeded to reclassify 721 million to the loans and receivables portfolio with the aim of establishing a high-yield portfolio consisting essentially of Italian securities having a loan-to-value ratio of below 50%.

A.3.1.4 Effective interest rate and cash flows expected from reclassified assets The effective interest rate (IRR) for the portfolio during the period was 2.07%. Although the average contractual maturity of the bonds exceeds ten years, as is typical of instruments originated in securitisation transactions, partial redemptions of 85 million, 236 million and 87 million were received in 2008, 2009 and 2010, respectively, bearing witness to the positive performance of the underlying transactions. Accordingly, it is believed that the reclassified notes may be redeemed in their entirety in the medium term.

A.3.2 Fair value hierarchy

General principles International accounting standards (IASs/IFRSs) require that financial products classified to the trading book or subject to the fair value option be measured through profit and loss.

The existence of official quotes on an active market 2 represents the best evidence of a security’s fair value. The fair value of securities not listed on an active market is determined through the use of measurement techniques aimed at establishing the price that would have been attributed to the product on the reference date in a free exchange inspired by normal commercial considerations, taking account of the market values of similar products in terms of risk characteristics. In the absence of the foregoing, the fair value of such securities is determined through the use of estimates and assumptions formulated by the valuer on the basis of inputs drawn from parameters not directly observable on the market.

The choice between the foregoing methods is not discretionary, inasmuch as said methods must be applied in hierarchical order. In particular, where a price expressed on an active market is available the other measurement approaches may not be used.

Fair value hierarchy The hierarchy of measurement models, i.e. the approaches adopted for the determination of fair value, attributes absolute priority to official prices available on active markets for the assets and liabilities to be measured (effective market quotes) or similar assets and liabilities (comparable approach). A lower priority is assigned to unobservable, and hence more highly discretionary, inputs (mark-to-model approach).

1. Effective market quotes (level 1) The indicator of reference is the market price of the security being measured, which is obtained on the basis of quotes registered on an active market.

2 A security is regarded as listed on an active market if quoted prices are readily and regularly available from an exchange, dealer, broker, industry company, pricing service or authorised entity, and those prices represent effective, regularly occurring market transactions on an arm’s length basis over a normal reference period. The criteria for determining the reliability of prices are described in the paragraph concerning the identification, validation and processing of market data.

85 Notes to the financial statements - Part A – Accounting policies

2. Comparable approach (level 2) Measurement is founded on the prices or credit spreads drawn from official bid prices for securities substantially similar in terms of risk factors through the use of a predetermined method of calculation (pricing model). The use of this approach translates into the search for transactions on active markets involving securities comparable in terms of risk factors with the security being measured. The pricing models employed in the comparable approach allow for the reproduction of prices of securities listed on active markets (the calibration of the model) without including discretionary parameters that may have a significant impact on the final measurement price.

3. Mark-to-model approach (level 3) Measurements are conducted by using various inputs, not all of which are drawn directly from parameters observable on the market, and which therefore require the use of estimates and assumptions by the valuer. In particular, instruments are measured by using a predetermined method of calculation (the pricing model) founded upon specific hypothesis as to the trend in future cash flows, taking account of those future events or hypotheses of conduct that historical experience leads the Bank to believe probable. Other parameters material to the measurement of the instrument are included in the model. In estimating these parameters, the Bank privileges the information it has obtained from the market concerning prices and spreads, but it also makes use of historical data regarding the specific underlying risk factor or specialised studies (e.g. reports by rating agencies or leading market players where the former are not available).

86 Notes to the financial statements - Part A – Accounting policies

A.3.2.1 Accounting portfolios: breakdown by fair value levels (in thousands of euro) Financial assets/liabilities 31 December 2010 31 December 2009 carried at fair value L1 L2 L3 L1 L2 L3 1. Financial assets held for trading 8,174,800 46,727,462 225,095 10,414,575 44,453,691 119,814 2. Financial assets carried at fair value 3. Financial assets available for sale 2,856,768 - 65,289 3,705,046 119,235 11,593 4. Hedging derivatives 987,356 886,675 Total 11,031,568 47,714,818 290,384 14,119,621 45,459,601 131,407 1. Financial liabilibities held for trading 3,735,587 43,865,526 335,355 2,780,123 41,627,800 317 2. Financial liabilities carried at fair value 1,213,368 3,224,429 3. Hedging derivatives 586,922 668,861 Total 3,735,587 45,665,816 335,355 2,780,123 45,521,090 317

Legend: L1 = Level 1 L2 = Level 2 L3 = Level 3

A.3.2.2 Annual changes in financial assets carried at fair value (level 3) (in thousands of euro) Financial assets Held for Carried at Available Hedging trading fair value for sale

1. Initial amounts 119,814 11,593 2. Increases 1,306,477 - 55,518 - 2.1 Purchases 19,404 - 40,000 - 2.2 Income recorded in: 2.2.1 Income Statement 11,656 - - - - of which: Gains from disposals 145 - - - 2.2.2 Shareholders' equity X X - - 2.3 Transfers from other levels 506,360 - 15,518 - 2.4 Other increases 769,057 - - - 3. Decreases (1,201,196) - (1,822) - 3.1 Sales (125,459) - (260) - 3.2 Reimbursements (778,625) - (869) - 3.3 Losses recorderd in: 3.3.1 Income Statement (296,626) - - - - of which: Losses from disposals (180) - - - 3.3.2 Shareholders’ equity X X (693) - 3.4 Transfers to other levels (432) - - - 3.5 Other decreases (54) - - - 4. Final amounts 225,095 - 65,289 -

87 Notes to the financial statements - Part A – Accounting policies

A.3.2.3 Annual changes in financial liabilities carried at fair value (level 3) (in thousands of euro) Financial liabilities Held for Carried at Hedging trading fair value

1. Initial amounts 317 - 2. Increases 258,840 - - 2.1 Issues 63,426 - - 2.2 Losses recorded in: 2.2.1 Income Statement - - - of which: Losses from disposals - - 2.2.2 Shareholders’ equity X X - 2.3 Transfers from other levels 195,414 - - 2.4 Other increases - - - 3. Decreases 76,198 - - 3.1 Reimbursements (7,478) - - 3.2 Repurchases - - - 3.3 Income recorded in: 3.3.1 Income Statement 83,676 - - - of which: Gains from disposals - - 3.3.2 Shareholders’ equity X X - 3.4 Transfers to other levels - - - 3.5 Other decreases - - - 4. Final Amounts 335,355 - -

The sensitivity analysis conducted on financial instruments classified as level 3 identified marginal effects on positive and negative fair values.

A.3.3 Information on day-one profit (IFRS 7 27.B)

In inactive market situations, the fair value of financial instruments is determined through the use of a valuation technique in accordance with paragraphs AG74-AG79 of IAS 39. However, the same Standard also states that the best evidence of an instrument’s fair value is provided when the transaction price (e.g., the fair value of the payment made or received) is initially recognised, unless the conditions set forth in paragraph AG76 of IAS 39 are met.

One potential consequence, which is accentuated in certain market situations and for especially complex or illiquid products, is the existence of a difference between the fair value of the financial asset or liability at initial recognition and the amount that would have been determined at the same date by using the chosen valuation technique. This difference leads to the immediate recognition of a profit (loss) on first measurement after initial recognition, and the phenomenon is referred to as day-one profit or loss.

This concept does not apply to profits on the core intermediation operations of investment banks where arbitrage between different markets and products, in the presence of officially recorded and managed risk positions, results in a commercial margin (having the nature of a trading commission) aimed at compensating the intermediary for the service rendered and the assumption of financial and credit risks.

In these financial statements, the situation described above applies to: – instruments featuring particular financial complexity or product liquidity or that are “tailor-made”. The valuation techniques associated with such instruments introduce corrections to fair value aimed at capturing factors not envisaged in financial models or the breadth of the bid-ask spread observable on the market. The constant application of such techniques results in the gradual release of profit (loss)

88 Notes to the financial statements - Part A – Accounting policies

over the lifetime of the individual instruments or as a result of the development of the portfolios to which such corrections refer; – bonds the proceeds of the issue of which are directly correlated with funding expenses that are recognised on a pro-rated basis over the legal contractual lifetime of the individual instrument.

There were approximately 28 million in suspended profits of this kind at year-end (37 million as at 31 December 2009). The following table shows change during the 12 months: (in millions of euro) Day one profit as at 31 December 2009 36.9 Decrease (11.7) Increase 2.5 Movements arising from changes in FV level - Day one profit as at 31 December 2010 27.7

For further information concerning the valuation techniques effectively adopted, refer to part E of the notes.

89 Part B – Information on the balance sheet

ASSETS

Section 1 - Cash and cash equivalents - caption 10

1.1 Cash and cash equivalents: breakdown

31 December 2010 31 December 2009 a) Cash 1 4 b) On demand deposits with Central Banks - - Total 1 4

90 Notes to the financial statements - Part B – Information on the balance sheet - Assets

Section 2 - Financial assets held for trading - caption 20

2.1 Financial assets held for trading: breakdown

Voci/Valori 31 December 2010 31 December 2009 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 A. Cash assets 1. Debt securities 1.1 structured securities 129,500 851,086 - 19,393 882,358 147 1.2 other debt securities 6,833,035 3,811,246 2,667 9,257,477 3,095,145 112,762 2. Equities 177,645 - 993 115,137 - 153 3. Quotas of UCITS 362,026 - 21 443,337 - - 4. Loans 4.1 repurchase agreements ------4.2 other ------Total A 7,502,206 4,662,332 3,681 9,835,344 3,977,503 113,062 B. Derivatives 1. Financial derivatives 1.1 trading 672,594 40,111,602 218,256 579,231 38,561,195 6,752 1.2 fair value option ------1.3 other ------2. Credit derivatives 2.1 trading - 1,953,528 3,158 - 1,914,993 - 2.2 fair value option ------2.3 other - - - - - Total B 672,594 42,065,130 221,414 579,231 40,476,188 6,752

Total (A+B) 8,174,800 46,727,462 225,095 10,414,575 44,453,691 119,814

At 31 December 2010, structured securities included 242 million in instruments with rate options (in particular reverse floaters, step-ups and step-downs), 164 million in equity-linked instruments and 57 million in convertible instruments. The remainder refers to mixed-rate structures (fixed and indexed).

91 Notes to the financial statements - Part B – Information on the balance sheet - Assets

2.2 Financial assets held for trading: borrower/issuer breakdown

31 December 2010 31 December 2009 A. CASH ASSETS 1. Debt securities a) Governments and Central Banks 4,933,561 7,289,836 b) Other public entities 5,597 12,733 c) Banks 3,820,911 3,653,334 d) Other issuers 2,867,465 2,411,379 2. Equities a) Banks 18,273 12,682 b) Other issuers - insurance companies 2,726 2,702 - financial institutions 14,122 25,257 - non-financial companies 143,517 74,649 - other - - 3. Quotas of UCITS 362,047 443,337 4. Loans a) Governments and Central Banks - - b) Other public entities - - c) Banks - - d) Other counterparties - - Total A 12,168,219 13,925,909 B. DERIVATIVES a) Banks 37,713,360 36,797,096 - fair value b) Customers 5,245,778 4,265,075 - fair value Total B 42,959,138 41,062,171

Total (A+B) 55,127,357 54,988,080

The quotas of UCITS in portfolio at year-end were represented by 167 million in bond and balanced funds and 142 million in equity funds. In addition, there were 18 million in commodity funds, 19 million in investments in listed real-estate funds and 16 million in quotas of SICAVs.

92 Notes to the financial statements - Part B – Information on the balance sheet - Assets

2.3 Financial assets held for trading: annual changes

Debt Equity UCITS Loans Total Securities shares Quotas A. Initial amounts 13,367,282 115,290 443,337 - 13,925,909 B. Increases 292,081,607 32,454,038 22,871,345 - 347,406,990 B1. Purchases 286,594,027 31,318,980 22,231,320 - 340,144,327 B2. Positive fair value changes 41,878 4,619 7,999 - 54,496 B3. Other changes 5,445,702 1,130,439 632,026 - 7,208,167 C. Decreases (293,821,355) (32,390,690) (22,952,635) - (349,164,680) C1. Sales (280,663,378) (30,692,643) (22,625,055) - (333,981,076) C2. Reimbursements (7,909,393) - - - (7,909,393) C3. Negative fair value changes (128,378) (5,550) (2,540) - (136,468) C4. Transfers to other portfolios - - - - - C5. Other changes (5,120,206) (1,692,497) (325,040) - (7,137,743) D. Final amounts 11,627,534 178,638 362,047 - 12,168,219

The “Other changes” under “Increases” and “Decreases” refer to, inter alia, the amount of “technical overdrafts” at the beginning and end of the year, which are included among “Financial liabilities held for trading” on the liabilities side of the balance sheet.

Section 4 - Financial assets available for sale - caption 40

4.1 Financial assets available for sale: breakdown

31 December 2010 31 December 2009 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 1. Debt securities 1.1 Structured securities ------1.2 Other debt securities 2,856,346 - 304 3,704,638 105,177 1,169 2. Equities 2.1 Measured at fair value 422 - 9,467 408 - 10,161 2.2 Measured at cost - - - - - 263 3. Quotas of UCITS - - 55,518 - 14,058 - 4. Loans ------Total 2,856,768 - 65,289 3,705,046 119,235 11,593

93 Notes to the financial statements - Part B – Information on the balance sheet - Assets

4.2 Financial assets available for sale: borrower/issuer breakdown

31 December 2010 31 December 2009 1. Debt securities a) Governments and Central Banks 2,522,063 3,704,639 b) Other public entities - - c) Banks 334,587 34,968 d) Other issuers - 71,377 2. Equities a) Banks - - b) Other issuers - insurance companies - - - financial institutions 5,582 5,569 - non-financial companies 4,307 5,263 - other - - 3. Quotas of UCITS 55,518 14,058 4. Loans a) Governments and Central Banks - - b) Other public entities - - c) Banks - - d) Other counterparties - - Total 2,922,057 3,835,874

4.4 Financial assets available for sale: annual changes

Debt Equities UCITS Loans Total Securities Quotas A. Initial amounts 3,810,984 10,832 14,058 - 3,835,874 B. Increases 3,878,019 13 41,910 - 3,919,942 B1. Purchases - business combinations ------others 3,629,797 - 40,000 - 3,669,797 B2. Positive fair value differences 18,412 13 1,910 - 20,335 B3. Write-backs recognised in - income statement - X - - - - shareholders' equity - - - - - B4. Transfers from other portfolios - - - - - B5. Other changes 229,810 - - - 229,810 C. Decreases (4,832,353) (956) (450) - (4,833,759) C1. Sales (3,365,149) (259) - - (3,365,408) C2. Reimbursements (1,134,508) (4) (450) - (1,134,962) C3. Negative fair value differences - (693) - - (693) C4. Impairment losses recognised in - income statement ------shareholders' equity - - - - - C5. Transfers to other portfolios - - - - - C6. Other changes (332,696) - - - (332,696) D. Final amount 2,856,650 9,889 55,518 - 2,922,057

94 Notes to the financial statements - Part B – Information on the balance sheet - Assets

Section 6 - Due from banks - caption 60

6.1 Due from banks: breakdown

31 December 2010 31 December 2009 A. Due from Central Banks 1. Time deposits - - 2. Compulsory reserve - - 3. Repurchase agreements - - 4. Other - - B. Due from banks 1. Checking accounts and deposits 718,095 452,093 2. Time deposits 43,179,273 38,635,669 3. Other loans 3.1 Repurchase agreements 7,491,202 7,452,996 3.2 Financial leases - - 3.3 Other 96,468 737,633 4. Debt securities 4.1 Structured - - 4.2 Other 1,003,435 1,003,079 Total (book value) 52,488,473 48,281,470

Total (fair value) 52,324,579 48,308,094

The compulsory reserve, the obligation for which has been discharged indirectly, is carried among “time deposits” in the amounts of 280 million at 31 December 2010 and 318 million at 31 December 2009.

95 Notes to the financial statements - Part B – Information on the balance sheet - Assets

Section 7 - Loans to customers - caption 70

7.1 Loans to customers: breakdown

31 December 2010 31 December 2009 Performing Non-performing Performing Non-performing 1. Checking accounts 216,693 - - - 2. Repurchase agreements 4,591,515 - 1,992,981 - 3. Mortgages - - - - 4. Credit card loans, personal loans and assignments of the fifth - - - - 5. Financial leases - - - - 6. Factoring - - - - 7. Other operations 7,501,728 248,020 6,190,066 9,483 8. Debt securities 8.1 Structured securities - - - - 8.2 Other debt securities 579,153 - 514,551 - Total (book value) 12,889,089 248,020 8,697,598 9,483

Totale (fair value) 12,849,030 248,020 8,437,968 9,483

7.2 Loans to customers: borrower/issuer breakdown

31 December 2010 31 December 2009 Performing Non-performing Performing Non-performing 1. Debt securities a) Governments - - - - b) Other public entities - - - - c) Other issuers - non-financial companies 59,022 - 107,639 - - financial institutions 520,131 - 406,912 - - insurance companies - - - - - other - - - - 2. Loans a) Governments - - - - b) Other public entities - - - - c) Other counterparties - non-financial companies 5,077,491 238,537 3,815,885 - - financial institutions 7,230,492 9,483 4,364,525 9,483 - insurance companies 1,831 - 2,637 - - other 122 - - - Total 12,889,089 248,020 8,697,598 9,483

96 Notes to the financial statements - Part B – Information on the balance sheet - Assets

Section 8 - Hedging derivatives - caption 80

8.1 Hedging derivatives: breakdown by type of hedge and levels

Fair value 31 December 2010 Notional Fair value 31 December 2009 Notional value value Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 A. Financial derivatives 1) Fair value - 987,356 - 22,542,904 - 886,675 - 18,431,396 2) Financial cash flows ------3) Foreign investments ------B. Credit derivatives 1) Fair value ------2) Financial cash flows ------Total - 987,356 - 22,542,904 - 886,675 - 18,431,396

8.2 Hedging derivatives: breakdown by hedged portfolio and type of hedge

Fair value Cash flow Specific Generic Foreign Foreign risk risk Specific Generic investments Various Various Foreign Foreign Interest Interest rate risk Price risk exchange Credit risk Credit 1. Financial assets available for sale 8,386 - - - - X - X X 2. Loans - - - X - X - X X 3. Investments held to maturity X - - X - X - X X 4. Portfolio X X X X X X X 5. Other operations - - - - - X - X - Total assets 8,386 ------1. Financial liabilities 978,970 - - X - X - X X 2. Portfolio X X X X X - X - X Total liabilities 978,970 ------1. Expected transactions X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X - X - -

Hedging derivatives refer primarily to the interest-rate risk on bonds.

97 Notes to the financial statements - Part B – Information on the balance sheet - Assets

Section 10 - Equity investments - caption 100

10.1 Equity investments in subsidiaries, joint ventures and companies subject to significant influence: information on equity stakes

Registered % held Votes office available %

A. Fully-owned subsidiaries 1. IMI Investments S.A. Luxembourg 99.99 99.99 B. Joint ventures 1. EuroTLX Sim Milan 50.00 50.00 C. Companies subject to significant influence 1. Consorzio Studi e Ricerche Fiscali Rome 7.50 7.50 2. Intesa Sanpaolo Group Services Turin 0.007 0.007 3. Infogroup Florence 0.003 0.003 4. Epsilon Milan 49.00 49.00

10.2 Equity investments in subsidiaries, joint ventures and companies subject to significant influence: accounting information

Total Total Net Shareholders’ Book Fair value assets revenues income equity (1) value (loss) A. Fully-owned subsidiaries 1. IMI Investments S.A. (2) 33,620 7,904 8,209 33,220 23,076 X B. Joint ventures 1. EuroTLX Sim (2) 6,646 9,229 (1,806) 4,256 2,050 X C. Companies subject to significant influence 1. Consorzio Studi e Ricerche fiscali (2) (3) 1,190 2,030 - 258 19 X 2. Intesa Sanpaolo Group Services (2) (3) 1,270,128 1,714,997 - 496,040 50 X 3. Infogroup (2) (3) 56,576 81,807 12 21,852 1 X 4. Epsilon (2) 14,095 9,654 3,451 11,297 5,560 X Total 1,382,255 1,825,621 9,866 566,923 30,756 -

(1) Including net income for the period. (2) Figures referred to the approved 2010 financial statements. (3) The Group holds all quotas.

98 Notes to the financial statements - Part B – Information on the balance sheet - Assets

10.3 Equity investments: annual changes

31 December 2010 31 December 2009 A. Initial amount 23,328 24,009 B. Increases 15,475 51 B.1 Purchases 12,618 51 B.2 Write-backs - - B.3 Revaluations - - B.4 Other changes 2,857 - C. Decreases (8,047) (732) C.1 Sales - - C.2 Revaluations (989) - C.4 Other changes (7,058) (732) D. Final amount 30,756 23,328 E. Total revaluations - - F. Total impairment losses 1,555 566

Section 11 - Property and equipment - Caption 110

11.1 Property and equipment: breakdown of assets measured at cost

Total Total 31 December 2010 31 December 2009 A. Property and equipment used in operations 1.1 owned a) land - - b) buildings - - c) furniture 298 431 d) electronic equipment 427 544 e) other 4 8 1.2 acquired in financial lease a) land - - b) buildings - - c) furniture - - d) electronic equipment - - e) other - - Total A 729 983 B. Investment property 2.1 owned a) land - - b) buildings - - 2.2 acquired in financial lease a) land - - b) buildings - - Total B - -

Total (A+B) 729 983

99 Notes to the financial statements - Part B – Information on the balance sheet - Assets

11.3 Property and equipment used in operations: annual changes

Land Buildings Furniture Electronic Other Total equipment A. Gross initial carrying amount - - 5,352 66,636 9,319 81,307 A.1 Total net adjustments - - (4,921) (66,092) (9,311) (80,324) A.2 Net initial carrying amount - - 431 544 8 983 B. Increases - - - 80 - 80 B.1 Purchases - - - 80 - 80 B.2 Capitalized improvement costs ------B.3 Write-backs ------B.4 Positive fair value differences recognised in a) shareholders' equity ------b) income statement ------B.5 Positive foreign exchange differences ------B.6 Transfer from investment property ------B.7 Other changes ------C. Decreases - - (133) (197) (4) (334) C.1 Sales ------C.2 Depreciation - - (133) (197) (4) (334) C.3 Impairment losses recognised in a) shareholders' equity ------b) income statement ------C.4 Negative fair value differences recognised in a) shareholders' equity ------b) income statement ------C.5 Negative foreign exchange differences ------C.6 Transfer to a) investment property ------b) non-current assets held for sale and discontinued operations ------C.7 Other changes ------D. Net final carrying amount - - 298 427 4 729 D.1 Total net adjustments - - (5,054) (66,289) (9,315) (80,658) D.2 Gross final carrying amount - - 5,352 66,716 9,319 81,387 E. Measurement at cost - - 298 427 4 729

100 Notes to the financial statements - Part B – Information on the balance sheet - Assets

Section 12 - Intangible assets - Caption 120

12.1 Intangible assets: breakdown by type of asset

31 December 2010 31 December 2009 Finite Indefinite Finite Indefinite useful life useful life useful life useful life A.1 Goodwill X 194,070 X 194,070 A.2 Other intangible assets 63 - 147 - A.2.1 Assets measured at cost a) Internally generated intangible assets - - - - b) Other assets 63 - 147 - A.2.2 Assets measured at fair value a) Internally generated intangible assets - - - - b) Other assets - - - - Total 63 194,070 147 194,070

101 Notes to the financial statements - Part B – Information on the balance sheet - Assets

12.2 Intangible assets: annual changes

Goodwill Other intangible assets: Other intangible assets: Total internally generated other

Finite Indefinite Finite Indefinite useful life useful life useful life useful life

A. Gross initial carrying amount 194,070 - - 14,615 - 208,685 A.1 Total net adjustments - - - (14,468) - (14,468) A.2 Net initial carrying amount 194,070 - - 147 - 194,217 B. Increases - - - 6 - 6 B.1 Purchases - - - 6 - 6 B.2 Increases of internally generated intangible assets X - - - - - B.3 Write-backs X - - - - - B.4 Positive fair value differences recognised in - shareholders' equity X ------income statement X - - - - - B.5 Positive foreign exchange differences ------B.6 Other changes - - business combinations ------other ------C. Decreases - - - (90) - (90) C.1 Sales ------C.2 Impairment losses - Amortization X - - (90) - (90) - Write-downs recognised in - shareholders' equity X ------income statement ------C.3 Negative fair value differences recognised in - shareholders' equity X ------income statement X - - - - - C.4 Transfer to non-current assets held for sale and discontinued operations ------C.5 Negative foreign exchange differences ------C.6 Other changes ------D. Net final carrying amount 194,070 - - 63 - 194,133 D.1 Total net adjustments - - - (14,558) - (14,558) E. Gross final carrying amount 194,070 - - 14,621 - 208,691 F. Measurement at cost 194,070 - - 63 - 194,133

12.3 Other information In accordance with IAS 38, we report that intangible assets have not been revalued, nor have any of them been acquired, in whole or in part, under government concession. At year-end, there were no commitments to purchase new intangible assets or third-party rights to those carried in these financial statements. Goodwill has been allocated entirely to the Structured Finance CGU. For information on impairment testing, refer to part L below.

102 Notes to the financial statements - Part B – Information on the balance sheet - Assets

Section 13 - Tax assets and liabilities - asset caption 130 and liability caption 80

13.1 Deferred tax assets: breakdown

13.2 Deferred tax liabilities: breakdown Deferred tax assets and liabilities are recognised in connection with all temporary differences that arise from increases and decreases in the taxable base, without any time limits.

The primary deductible temporary differences deriving from operating activity refer chiefly to adjustments to on-balance sheet loans and commitments to lend funds (approximately 15 and 2 million, respectively), personnel expenses recognised on an accruals basis (approximately 14 million in deferred tax assets) and provisions for risks and charges (3 million). Deferred tax assets of 63 million were also recognised on the tax savings to be achieved in years subsequent to 2010 deriving from the payment of substitute tax for goodwill, as discussed in the previous section.

The deferred tax assets recorded in equity and deferred tax liabilities refer essentially to measurements of securities classified as available for sale.

13.3 Changes in deferred tax assets (through profit and loss)

31 December 2010 31 December 2009 1. Initial amount 34,885 31,140 2. Increases 82,683 18,643 2.1 Deferred tax asset tax recognised in the period a) related to previous years - - b) due to changes in accounting criteria - - c) value recoveries - - d) other 82,683 15,425 2.2 New taxes or tax rate increases - - 2.3 Other increases a) business combinations - 3,218 b) other - - 3. Decreases (17,333) (14,898) 3.1 Deferred tax asset tax eliminated in the period a) reversals (17,333) (14,898) b) write-offs - - c) due to changes in accounting criteria - - d) other - - 3.2 Tax rate reductions - - 3.3 Other decreases - - 4. Final amount 100,235 34,885

103 Notes to the financial statements - Part B – Information on the balance sheet - Assets

13.4 Changes in deferred tax liabilities (through profit and loss)

31 December 2010 31 December 2009 1. Initial amount 533 - 2. Increases 155 533 2.1 Deferred tax liabilities recognised in the period a) related to previous years - - b) due to changes in accounting criteria - - c) other - - 2.2 New taxes or tax rate increases - - 2.3 Other increases a) business combinations - 533 b) other 155 - 3. Decreases (688) - 3.1 Deferred tax liabilities eliminated in the period a) reversals (155) - b) due to changes in accounting criteria - - c) other (533) - 3.2 Tax rate reductions - - 3.3 Other decreases - - 4. Final amount - 533

13.5 Changes in deferred tax assets (recorded in equity)

31 December 2010 31 December 2009 1. Initial amount 905 1,013 2. Increases 23,352 29 2.1 deferred tax asset recognised in the period a) related to previous years - - b) due to changes in accounting criteria - - c) other 23,352 29 2.2 New taxes or tax rate increases - - 2.3 Other increases - - 3. Decreases (29) (137) 3.1 deferred tax asset eliminated in the period a) reversals (29) (137) b) write-offs for impossible recovery - - c) due to changes in accounting criteria - - d) other - - 3.2 Tax rate reductions - - 3.3 Other decreases - - 4. Final amount 24,228 905

104 Notes to the financial statements - Part B – Information on the balance sheet - Assets

13.6 Changes in deferred tax liabilities (recorded in equity)

31 December 2010 31 December 2009 1. Initial amount 16,564 1,758 2. Increases 619 15,659 2.1 Deferred tax liabilities recognised in the period a) related to previous years - - b) due to changes in accounting criteria - - c) other 619 14,193 2.2 New taxes or tax rate increases - - 2.3 Other increases a) business combinations - 1,466 b) other - - 3. Decreases (13,633) (853) 3.1 Deferred tax liabilities eliminated in the period a) reversals (13,633) (752) b) due to changes in accounting criteria - - c) other - (101) 3.2 Tax rate reductions - - 3.3 Other decreases - - 4. Final amount 3,550 16,564

Section 15 - Other assets - Caption 150

15.1 Other assets: breakdown

31 December 2010 31 December 2009 Amounts to be debited - deriving from securities transactions 244,987 107,669 Accrued income and deferred expenses not reclassified 9,835 19,066 Leasehold improvements 486 552 Margins on behalf of third parties 16,440 23,545 Various fiscal items 19,832 4,008 Transit items 105,706 76,211 Premiums to be settled 763 1,355 Other 17,132 27,138 Total 415,181 259,544

105 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

LIABILITIES

Section 1 - Due to banks - caption 10

1.1 Due to banks: breakdown

Total Total 31 December 2010 31 December 2009 1. Due to Central Banks - - 2. Due to banks 2.1 Checking accounts and deposits 526,173 2,666,820 2.2 Time deposits 4,823,366 4,622,575 2.3 Loans 2.3.1 Repurchase agreements 9,762,940 12,168,341 2.3.2 Other 10,109,096 6,137,696 2.4 Debts for commitments to repurchase own equity instruments - - 2.5 Other debts 6,027 5,459 Total 25,227,602 25,600,891

Fair value 25,227,602 25,600,891

Section 2- Due to customers - Caption 20

2.1 Due to customers: breakdown

Total Total 31 December 2010 31 December 2009 1. Checking accounts and deposits 135,559 7,907 2. Time deposits 684,190 236,545 3. Loans 3.1 Repurchase agreements 6,887,271 4,007,381 3.2 Other - - 4. Debts for commitments to repurchase own equity instruments - - 5. Other debts 10,531 1,922 Total 7,717,551 4,253,755

Fair value 7,717,551 4,253,755

106 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Section 3 - Securities issued - Caption 30

3.1 Securities issued: breakdown

Total 31 December 2010 Total 31 December 2009 Book Fair value Book Fair value Value Value Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 A. Securities 1. bonds 1.1 structured 18,529,143 2,599,298 15,252,033 - 13,107,747 - 13,066,675 - 1.2 other 21,019,930 272,856 20,666,446 - 22,586,323 299,612 22,353,444 - 2. other 2.1 structured ------2.2 other ------Total 39,549,073 2,872,154 35,918,479 - 35,694,070 299,612 35,420,119 -

The fair value of the structured securities presented above excludes the fair value of the separated derivatives in accordance with applicable accounting standards. These derivatives are instead included among “Financial liabilities held for trading” and amounted to 276 million (on equity-type issues of 2.8 billion) as at 31 December 2010 and 305 million (on equity-type issues of 2.6 billion) as at 31 December 2009.

3.3 Securities issued: covered by a specific hedge

Total Total 31 December 2010 31 December 2009 1. Securities with specific fair value hedges 28,922,706 22,147,287 a) interest rate risk 28,922,706 22,147,287 b) foreign exchange risk - - c) other - - 2. Securities with specific cash flow hedges - - a) interest rate risk - b) foreign exchange risk - - c) other - -

107 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Section 4 - Financial liabilities held for trading - Caption 40

4.1 Financial liabilities held for trading: breakdown

Total 31 December 2010 Total 31 December 2009

Nominal Fair Value Fair Nominal Fair Value Fair Amount or Value (*) Amount or Value (*) notional notional Level 1 Level 2 Level 3 Level 1 Level 2 Level 3

A. Cash liabilities

1. Due to banks 2,458,321 2,576,567 1,767 - 2,578,334 2,197,836 2,299,700 7,550 - 2,307,250

2. Due to customers ------

3. Debt securities

3.1 Bonds

3.1.1 Structured - - - - X - - - - X

3.1.2 Other bonds - - - - X - - - - X

3.2 Other

3.2.1 Structured - - - - X - - - - X

3.2.2 Other - - - - X - - - - X

Total A 2,458,321 2,576,567 1,767 - 2,578,334 2,197,836 2,299,700 7,550 - 2,307,250

B. Derivatives

1. Financial derivatives

1.1 Trading X 1,159,020 42,089,932 331,169 X X 480,423 39,695,219 - X

1.2 Fair value option X - - - X X - - - X

1.3 Other X - - - X X - - - X

2. Credit derivatives

2.1 Trading X - 1,773,827 4,186 X X - 1,925,031 317 X

2.2 Fair value option X - - - X X - - - X

2.3 Other X - - - X X - - - X

Total B X 1,159,020 43,863,759 335,355 X X 480,423 41,620,250 317 X

Total (A+B) 2,458,321 3,735,587 43,865,526 335,355 2,578,334 2,197,836 2,780,123 41,627,800 317 2,307,250

(*) = fair value calculated excluding changes in creditworthiness of the issuer after issue date

The caption “Due to banks” refers to short securities positions.

108 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Section 5 - Financial liabilities carried at fair value - caption 50

5.1 Financial liabilities carried at fair value: breakdown

Total 31 December 2010 Total 31 December 2009

Nominal Fair Value Fair Nominal Fair Value Fair value Value (*) value Value (*) Level 1 Level 2 Level 3 Level 1 Level 2 Level 3

1. Due to banks

1.1 Structured - - - - X - - - - X

1.2 Other - - - - X - - - - X

2. Due to customers

2.1 Structured - - - - X - - - - X

2.2 Other - - - - X - - - - X

3. Debt securities

3.1 Structured 1,228,736 - 1,213,368 - X 3,245,334 - 3,224,429 - X

3.2 Other - - - - X - - - - X

Total 1,228,736 - 1,213,368 - 3,245,334 - 3,224,429 -

(*) = fair value calculated excluding changes in creditworthiness of the issuer after issue

The measurement at fair value at 31 December 2010 includes 16 million in residual revaluations owing to the change in creditworthiness.

5.3 Financial liabilities carried at fair value: annual changes

Due to Due to Securities Total banks customers issued A. Initial amount - - 3,224,429 3,224,429 B. Increases - - 63,002 63,002 B1. Issues - - - - B2. Sales - - 18,549 18,549 B3. Positive fair value differences - - 17,622 17,622 B4. Other changes - - 26,831 26,831 C. Decreases - - (2,074,063) (2,074,063) C1. Purchases - - (287,339) (287,339) C2. Reimbursements - - (1,752,774) (1,752,774) C3. Negative fair value differences - - (17,420) (17,420) C4. Other changes - - (16,530) (16,530) D. Final amount - - 1,213,368 1,213,368

109 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Section 6 - Hedging derivatives - caption 60

6.1. Hedging derivatives: breakdown by type of hedge and hierarchical levels

Fair Value 31 December 2010 Notional Fair Value 31 December 2009 Notional value value Level 1 Level 2 Level 3 31.12.2010 Level 1 Level 2 Level 3 31.12.2009 A. Financial derivatives 1) Fair value - 586,922 - 12,770,294 - 668,861 - 10,596,501 2) Financial cash flows ------3) Foreign investments ------B. Credit derivatives 1) Fair value ------2) Financial cash flows ------Total - 586,922 - 12,770,294 - 668,861 - 10,596,501

6.2. Hedging derivatives: breakdown by hedged portfolio and type of hedge

Fair Value Flussi finanziari Specific Foreign Interest Foreign Credit Price Various

rate risk exchange risk risk risks Generic Specific Generic investments risk 1. Financial assets available for sale 116,129 - - - - X - X X 2. Loans - - - X - X - X X 3. Investments held to maturity X - - X - X - X X 3.1 Equity investments ------X 4. Portfolio X X X X X - X - - Total assets 116,129 ------1. Financial liabilities 470,793 - - X - X - X X 2. Portfolio X X X X X - X - X Total liabilities 470,793 ------1. Expected transactions X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X - X - -

Hedging derivatives refer to the interest-rate risk on investments in securities available for sale, securities classified as loans and receivables and bonds issued.

Section 8 - Tax liabilities - caption 80

Please refer to section 13 of the assets side for information on tax liabilities.

110 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Section 10 - Other liabilities - caption 100

10.1 Other liabilities: breakdown

Total Total 31 December 2010 31 December 2009 Due to suppliers 48,478 49,788 Due to employees 53,246 53,626 Due to social security entities 2,679 6,881 Amounts to be paid - deriving from securities transactions 7,839 13,273 Other creditors for other items 2,732 8,011 Various fiscal items 6,673 4,438 Allowances for guarantees impairment 7,266 19,077 Accrued expenses and deferred income not reclassified 23,732 22,518 Total 152,645 177,612

Section 11 - Employee termination indemnities - Caption 110

11.1 Employee termination indemnities: annual changes

Total Total 31 December 2010 31 December 2009 A. Initial amount 8,900 7,160 B. Increases 700 2,344 B.1 Provisions in the year 257 391 B.2 Other 443 1,953 C. Decreases (1,000) (604) C.1 Benefits paid (1,000) (604) C.2 Other - - D. Final amounts 8,600 8,900

Following the reform of supplementary pension schemes enacted by Legislative Decree 252 of 5 December 2005, termination indemnities accrued after 1 January 2007 may, at the employee’s discretion, be allocated to supplementary pension schemes or transferred to the fund managed by Italy’s social- security agency (INPS) and do not appear among annual changes.

The other increases refer primarily to internal personnel transfers.

11.2 Other information Pursuant to Article 2424-bis of the Italian Civil Code, we report that the statutory liability accrued at year-end in connection with termination indemnities came to 9.8 million euro (10.1 million as at 31 December 2009).

111 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Section 12 - Allowances for risks and charges - caption 120

12.1 Allowances for risks and charges: breakdown

Total Total 31 December 2010 31 December 2009 1. Post employment benefits 12 12 2. Other allowances for risks and charges 2.1 legal disputes 14,198 11,109 2.2 personnel charges 1,527 2,084 2.3 other 2,044 2,044 Total 17,781 15,249

12.2 Allowances for risks and charges: annual changes

Post Other Total employment allowances benefits A. Initial amount 12 15,237 15,249 B. Increases - 8,055 8,055 B.1 Provisions in the year - 8,055 8,055 B.2 Time value changes - - B.3 Changes due to discount rate variations - - B.4 Other - - - C. Decreases - (5,523) (5,523) C.1 Uses in the year - (5,523) (5,523) C.2 Changes due to discount rate variations - - C.3 Other - - - D. Final amount 12 17,769 17,781

12.3 Defined-benefit retirement packages The determination of the actuarial values for defined-benefit retirement packages required by the application of IAS 19 Employee Benefits is entrusted to an independent actuary who uses the Projected- Unit Credit Method.

As a result of the contribution of resources belonging to the Structure Finance unit, Banca IMI is now co-obligated towards the external fund designated Cassa di Previdenza Integrativa per il Personale dell’Istituto Bancario San Paolo di Torino, a fund that is considered a legal entity and enjoys full segregation of assets and operational autonomy. The obligation assumed (in connection with a participant) consists of joint and several liability for the fund’s undertakings to participating employees, retirees and third parties.

Any actuarial income or loss is recognised according to the corridor method. There were no adjustments through profit and loss in 2010.

112 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Section 14 - Shareholders’ equity - Captions 130, 150, 160, 170, 180, 190 and 200

14.1 Share capital and treasury shares: breakdown Share capital consists of 962,464,000 shares without express nominal value. The Company does not hold any treasury shares.

14.2 Share capital - Number of shares: annual changes

Voci/Tipologie Ordinary Other A. Initial number of shares - fully paid-in 962,464,000 - not fully paid-in A.1 Treasury shares (-) B.2 Shares outstanding: initial number 962,464,000 - B. Increases - - B.1. New issues - for consideration - business combinations - conversion of bonds - exercise of warrants - other - for free - in favour of employees - in favour of directors - other B.2 Sale of treasury shares B.3 Other C. Decreases - - C.1 Annulment C.2 Purchase of treasury shares C.3 Disposal of companies C.4 Other D. Shares outstanding: final number 962,464,000 - D.1 Treasury shares (+) D.2 Final number of shares - fully paid-in 962,464,000 - - not fully paid-in

14.4 Earnings reserves: other information Earnings reserves, which are allocated in accordance with the Italian Civil Code, the Articles of Association or specific resolutions passed by the Shareholders’ Meeting when allocating earnings for the period, are aimed at strengthening the Bank’s capitalisation.

A portion of these reserves, 180 million at 31 December 2010 and 31 December 2009, was identified as coverage, pursuant to Article 2359-bis of the Italian Civil Code, of the purchases of shares of the Parent Company, Intesa Sanpaolo. Said purchases were undertaken in the context of brokerage transactions on equity indices and listed options or in response to orders from customers who requested temporary activity on their proprietary accounts.

113 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Pursuant to Article 2427, paragraph 7, of the Italian Civil Code, the following table shows an analysis of shareholders’ equity captions, indicating the uses to which they may be put, and any effective uses during the past three years.

Shareholders’ equity

Amount Portion Portion Uses in the past usable (*) available three years

loss other coverage Share capital 962,464 - Share premium reserve 581,260 Reserves: a) legal reserve 120,841 B - b) reserves for own shares or quotas (**) 180,000 A, B, C 174,482 c) statutory reserve 605,140 A, B, C 411,007 - - d) other reserves (7,525) - Valuation reserves (38,099) Net income 547,310 A, B, C 519,944 Shareholders’ equity 2,951,391

(*) A = capital increase; B = loss coverage; C = distribution to shareholders (**) Amount authorised for the purchase of Parent Company shares included in the financial statement forms under the caption “Reserves”

The amount of subcaption “d) other reserves” includes 11.4 million in sums attributable to the “Statutory reserve in force of Legislative Decree 38/05 - art. 6”; the available portion of that reserve comes to 0.8 million. During the acquisition of the interest in Epsilon SGR S.p.A., the negative reserve of approximately 7 million for transactions between entities under common control was charged to that aggregate. The remainder refers to the effects of corporate actions undertaken in previous years and first-time application of international accounting standards. The unavailable portion of net income for the year refers to the legal reserve.

114 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

Other information

1. Guarantees and commitments

Total Total 31 December 2010 31 December 2009 1) Financial guarantees given a) Banks - - b) Customers 1,531,661 1,917,859 2) Commercial guarantees given a) Banks - 369 b) Customers 131,517 62,897 3) Irrevocable commitments to lend funds a) Banks i) of certain use 3,204,431 4,319,196 ii) of uncertain use 780,445 10,839,071 b) Customers i) of certain use 3,815,049 3,227,438 ii) of uncertain use 1,189,473 1,945,347 4) Underlying commitments on credit derivatives: protection sales 48,448,581 65,640,584 5) Assets pledged as collateral of third party commitments - - 6) Other commitments 185,688 495,439 Total 59,286,845 88,448,200

2. Assets pledged as collateral for liabilities and commitments

Total Total 31 December 2010 31 December 2009 1. Financial assets held for trading 5,014,861 7,077,805 2. Financial assets carried at fair value - - 3. Financial assets available for sale 2,102,004 3,247,081 4. Investments held to maturity - - 5. Due from banks - - 6. Loans to customers 57,816 - 7. Property and equipment - - Total 7,174,681 10,324,886

The amount refers to the carrying amount of owned securities used in funding repurchase agreements and derivatives transactions.

115 Notes to the financial statements - Part B – Information on the balance sheet - Liabilities

4. Management and dealing on behalf of third parties

Amount 1. Dealing in financial instruments on behalf of third parties a) purchases 1) settled 554,629,528 2) to be settled 1,182,218 b) sales 1) settled 592,354,437 2) to be settled 251,961 2. Portfolio management a) individual - b) collective - 3. Custody and administration of securities a) third party securities held in deposit: related to depositary bank activities (excluding individual portfolio management schemes) 1. securities issued by the reporting bank - 2. other securities - b) other third party securities held in deposit (excluding individual portfolio management schemes): other 1. securities issued by the reporting bank 40,246,002 2. other securities 13,322,927 c) third party securities deposited with third parties 8,473,934 d) portfolio securities deposited with third parties 17,374,791 4. Other 81,709,352

The caption “Other” refers to the receipt and collection of orders and placements.

116 Part C – Information on the income statement

Section 1 - Interest - Captions 10 and 20

1.1 Interest and similar income: breakdown

Debt Loans Other 2010 2009 Securities operations 1. Financial assets held for trading 311,058 - - 311,058 364,785 2. Financial assets available for sale 144,894 - - 144,894 83,491 3. Investments held to maturity - - - - - 4. Due from banks - 911,448 3,693 915,141 1,047,875 5. Loans to customers 34,528 196,692 8,022 239,242 123,575 6. Financial assets carried at fair value - - - - - through profit and loss 7. Hedging derivatives X X 442,041 442,041 301,411 8. Other assets X X 12,128 12,128 252 Total 490,480 1,108,140 465,884 2,064,504 1,921,389

1.2 Interest and similar income: differentials on hedging transactions

2010 2009 A. Positive differentials related to hedging 999,365 823,024 B. Negative differentials related to hedging (557,324) (521,613) C. Balance (A - B) 442,041 301,411

1.3 Interest and similar income: other information

2010 2009 1.3.1 Interest income on foreign currency financial assets 59,724 31,833

117 Notes to the financial statements - Part C – Information on the income statement

1.4 Interest and similar expense: breakdown

Debt Securities Other 2010 2009 securities operations

1. Due to central banks - X - - - 2. Due to banks (227,399) X (318) (227,717) (202,859) 3. Due to customers (42,367) X (21,183) (63,550) (39,451) 4. Securities issued X (1,287,133) - (1,287,133) (1,233,453) 5. Financial liabilities held for trading - - - - - 6. Financial liabilities carried at fair value - - - - - 7. Other liabilities and allowances X X (1) (1) (16) 8. Hedging derivatives X X - - - Total (269,766) (1,287,133) (21,502) (1,578,401) (1,475,779)

1.6 Interest and similar expense: other information

2010 2009 1.6.1 Interest expense on foreign currency financial liabilities (41,212) (12,187)

118 Notes to the financial statements - Part C – Information on the income statement

Section 2 - Fees and commissions - captions 40 and 50

2.1 Fee and commission income: breakdown

2010 2009 a) guarantees given 35,527 17,357 b) credit derivatives - - c) management, dealing and consultancy services 1. dealing in financial instruments 43,045 46,026 2. dealing in foreign exchange - - 3. portfolio management 3.1 individual - - 3.2 collective - - 4. custody and administration of securities - - 5. depositary bank - - 6. placement of securities 164,748 203,469 7. acceptance of trading instructions 4,488 4,861 8. consultancy services 8.1 on investments - - 8.2 on structured finance 52,064 68,917 9. distribution of third party services 9.1 portfolio management 9.1.1 individual - - 9.1.2 collective - - 9.2 insurance products - - 9.3 other products - - d) collection and payment services - - e) servicing related to securitisations 31 75 f) services related to factoring - - g) tax collection services - - h) management of multilateral exchange systems - - i) management of checking accounts - - j) other services 90,025 35,650 Total 389,928 376,355

The amounts carried under “j) other services” refer primarily to income on arrangement, underwriting and agency services rendered in the course of Structured Finance operations. The amount for 2009 included the reclassification of 23 million in income presented in the same table of the notes to the previous financial statements to “c) management, dealing and consultancy services” – sub-caption “8.2 consultancy services: on structured finance”.

119 Notes to the financial statements - Part C – Information on the income statement

2.2 Fee and commission income: distribution channels of products and services

2010 2009 a) Branches - - 1. portfolio management - 2. placement of securities - 3. third party services and products - b) “Door-to-door” sales 164,748 203,469 1. portfolio management - 2. placement of securities 164,748 203,469 3. third party services and products - c) Other distribution channels - - 1. portfolio management - 2. placement of securities - 3. third party services and products - Total 164,748 203,469

2.3 Fee and commission expense: breakdown

2010 2009 a) Guarantees received (417) (647) b) Credit derivatives - - c) Management, dealing and consultancy services 1. dealing in financial instruments (21,863) (20,899) 2. dealing in foreign exchange - - 3. portfolio management 3.1 own customers - - 3.2 delegated - - 4. custody and administration of securities (15,271) (14,356) 5. placement of financial instruments (130,515) (134,673) 6. “door-to-door” sale of financial instruments, products and services - - d) Collection and payment services (6,014) (6,069) e) Other services (321) (73) Total (174,401) (176,717)

120 Notes to the financial statements - Part C – Information on the income statement

Section 3 - Dividends and similar income - caption 70

3.1 Dividends and similar income: breakdown

2010 2009 Dividends Income Dividends Income from UCITS from UCITS quotas quotas A. Financial assets held for trading 313,604 2,835 324,902 3,090 B. Financial assets available for sale 6 1,091 1,400 299 C. Financial assets carried at fair value - - - - D. Equity investments 36,510 X 6,783 X Total 350,120 3,926 333,085 3,389

Section 4 - Profits (Losses) on trading - caption 80

4.1 Profits (Losses) on trading: breakdown

Operazioni/Componenti reddituali Revaluations Profits on Writedowns Losses on Net result (A) trading (C) trading (A+B ) - (C+D) (B) (D)

1. Financial assets held for trading 1.1 Debt securities 41,878 427,818 (128,378) (456,706) (115,388) 1.2 Equities 4,619 723,290 (5,550) (1,191,231) (468,872) 1.3 Quotas of UCITS 7,999 407,299 (2,540) (237,641) 175,117 1.4 Loans - - - - - 1.5 Other - - - - - 2. Financial liabilities held for trading 2.1 Debt securities 24,793 213,864 (1,617) (222,403) 14,637 2.2 Debts - - - - - 2.3 Other 921 32,807 (3,657) (82,054) (51,983) 3. Foreign exchange differences X X X X 103,570 4. Derivatives 4.1 Financial derivatives - On debt securities and interest rates 7,518,611 29,801,356 (7,686,072) (29,327,416) 306,479 - On equities and stock indices 852,650 6,533,247 (1,423,942) (5,856,915) 105,040 - On foreign exchange and gold X X X X (37,178) - Other 155,677 245,780 (143,010) (229,915) 28,532 4.2 Credit derivatives 2,006,143 675,597 (1,902,069) (796,423) (16,752) Total 10,613,291 39,061,058 (11,296,835) (38,400,704) 43,202

121 Notes to the financial statements - Part C – Information on the income statement

Section 5 - Profits (Losses) on hedging - caption 90

5.1 Profits (Losses) on hedging: breakdown

2010 2009 A. Income from A.1 Fair value hedge derivatives 425,193 539,025 A.2 Financial assets hedged (fair value) 31,625 119,723 A.3 Financial liabilities hedged (fair value) 127,511 8,436 A.4 Cash flow hedge: derivatives - - A.5 Foreign exchange assets and liabilities 2,252 - Total (A) 586,581 667,184 B. Expenses for B.1 Fair value hedge derivatives (375,441) (323,131) B.2 Financial assets hedged (fair value) (57,761) (5,167) B.3 Financial liabilities hedged (fair value) (152,726) (333,372) B.4 Cash flow hedge: derivatives - - B.5 Foreign exchange assets and liabilities - (732) Total (B) (585,928) (662,402)

C. Total (A - B) 653 4,782

Section 6 - Profits (Losses) on disposals or repurchases - caption 100

6.1 Profits (Losses) on disposals or repurchases: breakdown

2010 2009 Profits Losses Net Profits Losses Net result result Financial assets 1. Due from banks ------2. Loans to customers 8,277 (111) 8,166 198 (155) 43 3. Financial assets available for sale 3.1 Debt securities 49,193 (34,108) 15,085 107,902 (37,126) 70,776 3.2 Equities - - - 2,293 (7) 2,286 3.3 Quotas of UCITS ------3.4 Loans ------4. Investments held to maturity ------Total assets 57,470 (34,219) 23,251 110,393 (37,288) 73,105 Financial liabilities 1. Due to banks ------2. Due to customers ------3. Securities issued 20,727 (14,784) 5,943 18,321 (17,665) 656 Total liabilities 20,727 (14,784) 5,943 18,321 (17,665) 656

122 Notes to the financial statements - Part C – Information on the income statement

Section 7 - Profits (Losses) on financial assets and liabilities carried at fair value - caption 110

7.1 Profits (losses) on financial assets/liabilities carried at fair value: breakdown

Revaluations Profits on Writedowns Losses on Net result (A) disposal (C) disposal (A+B ) - (C+D) (B) (D)

1. Financial assets 1.1 Debt securities - - - - - 1.2 Equities - - - - - 1.3 Quotas of UCITS - - - - - 1.4 Loans - - - - - 2. Financial liabilities 2.1 Securities issued 17,420 1,148 (17,622) (26,762) (25,816) 2.2 Due to banks - - - - - 2.3 Due to customers - - - - - 3. Foreign currency financial assets and liabilities foreign exchange differences X X X X - 4. Financial and credit derivatives - - - - - Total 17,420 1,148 (17,622) (26,762) (25,816)

In application of IFRS 7 (§10), we report that the change in the fair value attributable to Banca IMI’s creditworthiness resulted in the recognition of 1 million in expenses during the period. The residual revaluations carried at the reporting date amounted to 16 million.

123 Notes to the financial statements - Part C – Information on the income statement

Section 8 - Net losses/recoveries on impairment - caption 130

8.1 Net impairment losses on loans: breakdown

Impairment losses (1) Recoveries (2) 2010 2009 Individual Collective Individual Collective

Write-offs Other A B A B

A. Due from banks - Loans ------Debt securities - - (105) - - - - (105) - B. Due from customers - Loans - (22,000) (21,140) - - - 1,499 (41,641) (3,650) - Debt securities - - (320) - - - - (320) 1,302 C. Total - (22,000) (21,565) - - - 1,499 (42,066) (2,348) (1) – (2)

Legend: A = of interest B = other

8.4 Net impairment losses on other financial activities: breakdown

Impairment losses (1) Recoveries (2) Total Total 2010 2009 Individual Collective Individual Collective Write- Other A B A B offs A. Guarantees given ------11,811 11,811 (2,495) B. Credit derivatives ------C. Commitments to lend funds ------D. Other - - (989) - - - - (989) - E. Total - - (989) - - - 11,811 10,822 (2,495) (1) – (2)

Legend: A = of interest B = other

124 Notes to the financial statements - Part C – Information on the income statement

Section 9 - Administrative expenses - caption 150

9.1 Personnel expenses: breakdown

2010 2009 1) Personnel employed a) wages and salaries (83,000) (73,689) b) social security charges (24,172) (22,654) c) termination indemnities - - d) supplementary benefits (1,019) (667) e) provisions for termination indemnities (257) (391) f) provisions for post employment benefits - defined contribution plans - - - defined benefit plans - - g) payments to external pension funds - defined contribution plans (5,539) (4,441) - defined benefit plans - - h) costs from share-based payments - - i) other benefits in favour of employees (521) (499) 2) Other personnel (584) (1,055) 3) Directors and statutory auditors (866) (824) 4) Retired personnel - - 5) Recoveries for seconded personnel 2,090 1,945 6) Reimbursements for seconded personnel (1,235) (4,862) Total (115,103) (107,137)

9.2 Average number of employees by categories There were 701 employees on the payroll as at 31 December 2010 (683 as at 31 December 2009). The average workforce for the year came to 685 resources, including part-time workers.

Category 2010 2009 Personnel employed a) managers 79 72 b) officers 446 388 c) other employees 169 154 Other personnel (9) (9) Total 685 605

9.3 Defined-benefit retirement packages: total expense No actuarial expenses were recognised on internal or external funds during the year.

125 Notes to the financial statements - Part C – Information on the income statement

9.5 Other administrative expenses: breakdown

2010 2009 Taxes and duties - other taxes and duties - Italy (2,496) (1,626) - other taxes and duties - Abroad (490) (565) Total taxes and duties (2,986) (2,191) Information technology, processing and data processing services (113,007) (101,281) Expenses for consultancy fees (34,578) (34,744) Telephonic, teletransmission and transmission expenses (1,433) (1,307) ICT services: maintenance (877) (949) Real estate rental and management expenses (5,307) (5,188) Data base subscriptions (602) (942) Advertising and promotional expenses (2,701) (3,591) Associations and subscriptions (3,411) (1,761) Reimbursements to personnel and business travels (2,167) (1,627) Legal expenses (3,775) (2,566) Training and other personnel expenses (1,166) (848) Lighting, central heating and air conditioning (469) (794) Expenses for maintenance of furniture and equipments (47) (135) Security services (229) (238) Maintenance of real estate assets (85) (74) Cleaning services (206) (190) Rentals of other property and equipment (150) (134) Printing, stationery and consumables (293) (220) Insurance premiums (82) (94) Data storage and document processing (111) (138) Charities (6) (39) Postal and telegraphic (18) (31) Transport and other connected services (55) (50) Other (1,927) (1,002) Total (175,688) (160,134)

Following the repeal of the “tax on stock market contracts”, the Bank remains liable for indirect taxes on loans, the remaining indirect taxes (such as TARSU and TOSAP) and non-deductible VAT. The latter cost item is stated on a separate line for foreign branches, whereas it is included in the individual income statement captions for the Milan branch.

126 Notes to the financial statements - Part C – Information on the income statement

Section 10 - Net provisions for risks and charges - caption 160

10.1 Net provisions for risks and charges: breakdown

2010 2009 Net provisions for legal disputes - - Net provisions for risks and charges (8,000) (5,300) Total (8,000) (5,300)

Section 11 - Net adjustments to/recoveries on property and equipment - caption 170

11.1 Net adjustments to property and equipment: breakdown

Depreciation Impairment Recoveries Net result (a) losses (c) (a+b-c) (b)

A. Property and equipment A.1 Owned - used in operations (334) - - (334) - investment - - - - A.2 Acquired in financial leases - used in operations - - - - - investment - - - - Total (334) - - (334)

Section 12 - Net adjustments to/recoveries on intangible assets - caption 180

12.1 Net adjustments to intangible assets: breakdown

Amortization Impairment Recoveries Net result (a) losses (c) (a+b-c) (b)

A. Intangible assets A.1 Owned - internally generated - - - - - other (90) - - (90) A.2 Acquired in financial leases - - - - Total (90) - - (90)

127 Notes to the financial statements - Part C – Information on the income statement

Section 13 - Other operating expenses (income) - caption 190

13.1 Other operating expenses: breakdown

2010 2009 Contingent liabilities and items to be reconciliated (4,562) (3,965) Amortization of leasehold improvements (178) (352) Other (152) (83) Total (4,892) (4,400)

13.2 Other operating income: breakdown

2010 2009 Contingent liabilities and items to be reconciliated 11,166 9,596 Recovery of taxes 2,215 1,573 Recovery of other expenses 1,278 692 Other 92 181 Total 14,751 12,042

Section 18 - Taxes on income from continuing operations - caption 260

18.1 Taxes on income from continuing operations: breakdown

2010 2009 1. Current taxes (-) (301,038) (259,527) 2. Changes in current taxes of previous years (+/-) - - 3. Reduction in current taxes of the year (+) - - 4. Changes in deferred tax assets (+/-) 65,350 527 5. Changes in deferred tax liabilities (+/-) 688 - 6. Taxes on income for the year (-) (-1+/-2+3+/-4+/-5) (235,000) (259,000)

128 Notes to the financial statements - Part C – Information on the income statement

18.2 Reconciliation of theoretical tax charge to total income tax expense for the period

31 December 2010 31 December 2009 Amount Tax rate Amount Tax rate

Main tax Income before tax 782,310 27.5% 767,620 27.5% Theoretical tax expense (215,135) 27.5% (211,096) 27.5% – permanent positive differences 992,794 27.5% 64,226 27.5% – permanent negative differences (855,455) 27.5% (26,789) 27.5% – tax losses carried forward 0 27.5% 0 27.5% – temporary positive differences 73,058 27.5% 7,578 27.5% – temporary negative differences (53,036) 27.5% 0 27.5% Taxable income 939,671 812,635 Current IRES (258,410) (223,475)

Secondary tax Income before tax 782,310 4.82% 767,620 4.82% Theoretical tax expense (37,707) 4.82% (36,999) 4.82% – permanent positive differences 297,595 4.82% 193,754 4.82% – permanent negative differences (194,919) 4.82% (184,453) 4.82% – temporary positive differences 480 4.82% 0 4.82% – temporary negative differences (1,061) 4.82% (5,903) 4.82% Taxable income 884,405 771,018 Current IRAP (42,628) (37,163)

Taxes paid abroad 0 27% 1,111 27%

– changes in deferred tax asset 65,350 527 – changes in deferred tax liabilites 688 0 – changes in tax rate 0 0 Deferred and deferred tax asset tax 66,038 527

Income tax (235,000) (259,000)

Tax dispute The Italian Revenue Authority is currently conducting an audit of fiscal years 2003-2006 for the former Banca d’Intermediazione Mobiliare IMI and 2004-2006 for the former Banca Caboto. At the time of this writing, the Bank had been served with assessment notices for 2003-2005 in the total amount of approximately 90 million in relation to formulated claims arising from the foregoing audits in the total amount of 110 million in terms of taxes, penalties and interest. The above disputes primarily relate to transactions in equity instruments, in addition to other issues pertaining to activity typical of capital market and investment banking operations.

The Bank has appealed all of the assessment notices received thus far, and will continue to appeal those it receives in the future, under the conviction that many of the allegations are unfounded and based on faulty interpretations of the tax code, in some cases even in conflict with the letter of the law. Banca IMI will protect its rights at all instances of the proceedings with the counsel of highly capable and experienced personnel internal and external to the Group. On 8 March 2010, the Provincial Tax Commission of Milan partly upheld the appeal submitted against the IRPEG (corporate income tax) and IRAP (regional production tax) assessment for fiscal year 2003.

129 Notes to the financial statements - Part C – Information on the income statement

Section 20 - Other information

Of total operating income, 95.5% (97.6% in 2009) is recorded in the Milan books. The remaining 4.5% (2.4% in 2009) is entered to the London branch’s books.

Given the particular nature of operations, a significant portion of which is carried out through remote access to organised systems of exchange or multilateral trading circuits, the geographical breakdown of revenues is not directly correlated to the geographical location of the Bank’s branches.

Section 21 - Earnings per share

Earnings per share came to 0.569 euro in 2010 and 0.677 euro in 2009. Said amounts were determined by considering the net income for the year in relation to the number of ordinary shares outstanding at year-end.

21.1 Average number of ordinary shares (fully diluted) The weighted average number of shares for the year came to 962,464,000.

21.2 Other information Earnings per share, as presented above, refers to the sole shareholder, Intesa Sanpaolo. In 2010, the figure accounts for corporate actions, whereas the Bank has not issued any debt securities convertible into shares that would modify the foregoing ratio.

Please refer to the proposals to the Shareholders’ Meeting in the report on operations for details concerning the allocation of net income for the year.

130 Part D – Comprehensive income

Statement of comprehensive income

Gross Income Net Amount tax Amount 10. Net Income (Loss) X X 547,310 Other income components 20. Financial assets available for sale: a) fair value changes (89,933) 28,889 (61,044) b) reversals to profits and losses - impairments on non-performing assets - - - - capital gains/losses (22,567) 7,294 (15,273) c) other changes - - - 30. Property, plant and equipment - - - 40. Intangible assets - - - 50. Foreign investmenst hedge: a) fair value changes - - - b) reversals to profits and losses - - - c) other changes - - - 60. Financial cash flows hedge: a) fair value changes - - - b) reversals to profits and losses - - - c) other changes - - - 70. Exchange rate differentials: a) changes - - - b) reversals to profits and losses - - - c) other changes - - - 80. Non recurring activities on disposal: a) fair value changes - - - b) reversals to profits and losses - - - c) other changes - - - 90. Attuarial gains and losses on defined benefit plans - - - 100. Valuation reserve quotas of equity investments carried at shareholders' equity: a) fair value changes - - - b) reversals to profits and losses - impairments on non-performing assets - - - - capital gains/losses - - - c) other changes - - - 110. Total other income components (112,500) 36,183 (76,317) 120. Comprehensive Income (Captions 10+110) (112,500) 36,183 470,993

131 Part E – Information on risks and hedging policies

Risk monitoring and control system

Banca IMI has always attached great importance to risk monitoring and control and viewed these as essential to: – ensuring reliable, sustainable creation of value in a context of controlled risk; – protecting the Bank’s financial solidity and reputation; and – permitting a transparent representation of the degree of risk associated with the Bank’s portfolios.

It is in this light that one ought to interpret the efforts of recent years aimed at obtaining validation from supervisory authorities, including for regulatory purposes, of internal market risk models – extended in 2010 to the commodities profile – and at further increasing the efficacy of the monitoring tools included in Company processes.

At the date of this report, work was in progress to validate the internal models for specific risk on debt securities and counterparty risk. In 2011, plans also call for an application for an extension to Banca IMI of the use of the advanced internal rating-based models for credit risk, which were adopted by the Parent Company and the other subsidiaries effective 31 December 2010.

The definition of operational limits linked to risk indicators (such as VaR) and the management’s use of the measurement of value at risk implicit in the various portfolios represent some of the steps taken in accordance with the strategic and decision-making guidelines laid down by the Board of Directors.

Controls, which are spread along the Bank’s entire decision-making chain, extend all the way to individual operating units and desks.

Within the system of controls, the functions of the Parent Company charged with risk management and internal audit activity under specific service agreements – Risk Management and Internal Audit – periodically meet with the departments of the Bank entrusted with line controls and the heads of operational units, both in the course of day-to-day operations and in specific committees, particularly the Risk Committee, Market Meeting and New Products Committee.

Risk management activity aims to ensure constant monitoring of the main risks, regulatory compliance and effective support for the decision-making process. This entails: – the rigorous, timely measurement of risks: analyses are conducted primarily on effective positions with respect to normal, historical market conditions and are enriched by portfolio analyses, stress test estimates, and what-if and scenario simulations; – the definition of parameters and rules for measuring contracts subject to mark-to-market and fair value, and direct structuring and measurement where this may not be obtained through the standard tools available to business units; – interaction with the supervisory authority for the validation and development of internal models; – the provision of information in support of company planning and to the top management to enable the measurement of the generation of value; and – support for communication to pursue goals of transparency towards customers and the market.

The scope of the risks identified may be broken down as follows: – credit risk, which also includes concentration risk and residual risks from securitisations and uncertainty on credit recovery rates; – the market risk, including position, settlement and concentration risk on the trading portfolio; – the financial risk on the banking book, primarily due to interest and exchange rates; – operational risk, including legal risk, with which “insurance risk” is associated; and – liquidity risk.

132 Notes to the financial statements - Part E – Information on risks and hedging policies

Section 1 - CREDIT RISKS

Qualitative information

1.1 General aspects Credit risk results from the possibility that a counterparty may not fulfil the obligations it has contracted in the course of the Bank’s normal business operations, owing in particular to the disbursement of on- balance sheet loans, the provision of commitments to lend and transactions in financial instruments and derivative products.

In accordance with the Group’s lending policies, Banca IMI pursues strategies aimed at: – coordinating action to achieve a sustainable objective, consistent with risk appetite and value creation; – diversifying the portfolio, limiting the concentration of exposures on single counterparties/groups, single sectors or geographical areas; – efficiently selecting single borrowers via an attentive creditworthiness analysis aimed at containing default risk, notwithstanding the objective of privileging commercial lending or loans to support new production capacity with respect to merely financial interventions; and – monitoring relationship performance through information technology procedures and systematic surveillance of relationships that present irregularities, both of which are aimed at rapidly identifying any signs of deterioration in risk exposures.

The quality of the loan portfolio is constantly monitored through specific operating checks for all the phases of loan management (analysis, approval, monitoring and management of non-performing loans). The management of the credit risk profiles of the loan portfolio is assured, beginning with the analysis and approval phases, by: – applying the regulations on credit policies; – performing checks on the existence of the necessary conditions for creditworthiness, with particular focus on the client’s current and prospective capacity to produce satisfactory income and congruous cash flows; and – assessing the nature and size of proposed loans, considering the actual requirements of the counterparty requesting the loan, the course of the relationship already in progress and the presence of any relationship between the client and other borrowers.

Credit risk exposures originating in structured finance operations may be divided into two categories: a. direct on-balance sheet risks: due to market transactions (usually through participation as mandated lead arranger, arranger and/or underwriter), typically for loans to international clients. Transactions of this nature became especially significant in terms of volumes and revenue following the contribution of the Structured Finance business unit by Intesa Sanpaolo in September 2009. b. indirect endorsement risks: guarantees provided and equivalent agreements with the Parent Company and other institutions within the Banche dei Territori Division, which hold direct on-balance sheet and endorsement exposures to end borrowers in their capacities as fronting banks, as a way for Banca IMI to share in credit risk.

This method of sharing risk is governed by specific commercial agreements and envisages, inter alia, support services for the distribution network (analysis of potential transactions, the structuring of transactions with the preparation of offers for clients, coordination of external advisors and support in the negotiation of commercial agreements). Concurrently with the contribution of the Structured Finance business unit, this method of operation was extended to the Risk Participation Agreements, under which Banca IMI assumes almost all credit risk associated with those transactions not physically included in the unit but rather synthetically transferred.

The counterparty risk attributable to transactions in financial instruments is mitigated by extensive use of collateralisation and netting agreements.

133 Notes to the financial statements - Part E – Information on risks and hedging policies

2.2 Credit risk management policies

2.1 Organisational aspects Within the powers delegated by the Board of Directors, the monitoring of credit risk has been attributed to the Credit Department, both during the loan authorisation phase and the management and monitoring of credit risk. This latter activity aims to identify doubtful and/or non-performing loans, ensure they are properly measured and define the strategy best suited to protecting the Bank’s claims. In this regard, the Credit Department benefits from the coordination provided by the Parent Company, Intesa Sanpaolo. Loans are authorised by resolution of the Board of Directors and/or the decision-making bodies to which the former has delegated its authority according to a system of internal operational powers and delegation of authority.

The process of managing and monitoring credit risk conforms to the criteria established by the Parent Company and is conducted within the framework of parameters according to which Banca IMI’s loan- authorisation autonomy is determined and exercised. Where the loan autonomy limits are exceeded, authorisation of the loan is subject to the issue of an advance Conformity Opinion by the Parent Company.

Credit exposures are measured for impairment testing and portfolio value adjustments are estimated pursuant to IAS 39 in accordance with the Parent Company’s risk management policies.

Loans for which individual evidence of impairment has not been detected are tested collectively for impairment in categories of loans similar in terms of credit risk, by associating them with percentage losses “weighted” according to historical time-series, founded on observable factors at the date of testing, that allow for an estimate of the amount of the latent loss in each of the categories over a period of one year.

In further detail, the method developed by the competent risk management functions calls for the incurred loss to be calculated on the basis of the expected loss under Basel 2 rules, obtained by applying the parameters probability of default and loss given default estimated for the IRB approaches required by supervisory regulations, in some cases supplemented by external evaluations or average segment/portfolio figures.

Expected loss is then transformed into incurred loss by applying factors that capture: – LCP (Loss Confirmation Period), a factor representative of the time interval between the event that generates default and the manifestation of the sign of default, which generally differs according to whether the exposure is to natural persons or companies or small economic operators; – cyclicity, through an adjustment coefficient that is required inasmuch as ratings are calibrated on the medium term and thus only partially reflect fluctuations in the economic cycle; and – portfolio concentration, a prudential correction factor applied to economic groups with exposures in excess of 500 million euro.

The incurred loss thus calculated is aggregated at the level of the individual counterparty and the type of transaction.

Thereafter, positions are classified as non-performing and entered into the appropriate management systems as necessary according to the input of the local units that own the commercial relationship or loan control and management functions (at the Group level or within Banca IMI).

134 Notes to the financial statements - Part E – Information on risks and hedging policies

2.2 Management, measurement and control systems Credit and counterparty risk are monitored through an application into which data from the position keeping systems are entered, and which is capable of reflecting the effects of the transactions undertaken in real time. The operational limits approved and the uses for individual positions are subsequently entered into a specific Loans Data Warehouse that permits the exposure to customers to be displayed. Where there exist agreements for collateral and mutual payment of guarantee margins, the exposure is entered net of the collateral provided by counterparties. Overruns, in terms of amount and duration, are monitored on a daily basis.

Lastly, Banca IMI’s Structured Finance business unit draws upon the Parent Company’s central departments (Lending, Risk Management) in the measurement and control process. This applies to aspects pertaining to the measurement and monitoring of exposures, the assessment of creditworthiness and the determination of the existence of impairment.

2.3 Credit risk mitigation techniques Credit risk mitigation techniques are those factors that contribute to reducing loss given default. They include guarantees and facility types. The lending policies adopted provide incentives for a greater presence of mitigating factors for counterparties classified by the system as non-investment grade.

The structured loans disbursed to clients are secured by collateral and personal guarantees that in most cases are eligible for the purposes of credit-risk mitigation.

To mitigate counterparty risk, the Bank uses (bilateral) netting agreements that, in the event of default, permit the offsetting of all receivable and payable positions in connection with outstanding derivatives, repurchase agreements and securities lending transactions.

The ISDA (for derivatives transactions) and ISMA (for securities transactions) protocols are generally adopted. Both of these protocols allow for the management and mitigation of credit risk. In certain circumstances, they may contribute to the reduction of the absorption of regulatory capital. There are currently 253 collateral agreements in effect, of which 157 CSAs securing OTC derivatives transactions and 96 GMRAs (Global Master Repurchase Agreements) for repurchase agreement transactions.

In addition, securities lending transactions are always undertaken following the signature of a Global Master Securities Lending Agreement (currently in force with 94 counterparties), which calls for daily exchanges of collateral (normally in the form of cash) equal to the notional value of the individual loan, plus a percent increase (normally no less than 5%).

Another mitigation technique employed by the Bank is participation in the SwapClear service. This service provides clearing (executed by LCH Clearnet Ltd. for the professional interbank market) for the most standard types of over-the-counter derivatives contracts (plain-vanilla IRSs). Individual transactions previously undertaken by participants in the service are subsequently transferred to the clearing house which, similarly to the case of listed derivatives, becomes the counterparty to the original contracting parties through the legal mechanism of novation. SwapClear calls for the payment of daily margins of change on individual transactions so that mutual receivable and payable positions are automatically offset with one another.

In addition to the reduction of operational risk (through daily offsetting of all cash flows and timely matching of transactions), SwapClear allows the Bank to take advantage of the typical benefits of centralised netting and collateralisation agreements; in prospective terms, participation in clearing houses for OTC derivatives is a strategic factor in regulatory capital management.

Participation in the CLS – Continuous Linked Settlement – circuit and the corresponding settlement services in payment-versus-payment mode has also permitted the mitigation of settlement risk associated with mutual payments with counterparties.

135 Notes to the financial statements - Part E – Information on risks and hedging policies

Lastly, the Bank’s credit risk mitigation techniques also include credit derivative products, a segment in which it operates with the primary aim of optimising the management of its trading books, typically taking the position of net protection buyer. Said transactions were undertaken with leading institutional counterparties.

2.4. Non-performing financial assets In order to classify non-performing assets in the various risk categories (doubtful loans, substandard loans, restructured loans and past due exposures), the Bank applies regulations issued by the supervisory authority, supplemented by internal provisions that establish criteria and automatic rules for the transfer of loans to the various risk categories.

The process of managing doubtful or substandard loans involves entrusting them to the Intesa Sanpaolo departments already charged with the management of doubtful loans at the Group level. These same departments also authorise the reclassification of doubtful positions as performing once the criteria for substandard status, as set by the Bank of Italy, cease to apply.

When a default takes place, debt recovery procedures are initiated in coordination with Banca IMI’s Legal Affairs Office and the Parent Company’s Legal and Dispute Department. The only doubtful position in the reporting year remained the Lehman Brothers exposure, unchanged compared to 31 December 2009.

During the year, on-balance sheet exposures classified as substandard came to 12 million, while those classified as restructured amount to 226 million.

136 Notes to the financial statements - Part E – Information on risks and hedging policies

Quantitative information

A. CREDIT QUALITY

A.1 performing and non-performing exposures: amounts, adjustments, changes and breakdown by business segment and geographical area

A.1.1 Breakdown of credit exposures by portfolio classification and credit quality (book value)

Doubtful Substandard Restructured Past due Other Total loans loans exposures exposures assets

1. Financial assets held for trading 2,680 - - 56 54,583,936 54,586,672 2. Financial assets available for sale - - - - 2,856,650 2,856,650 3. Investments held to maturity ------4. Due from banks - - - - 52,488,473 52,488,473 5. Loans to customers 9,483 12,200 226,337 - 12,889,089 13,137,109 6. Financial assets carried at fair value through profit and loss ------7. Financial assets on disposal ------8. Hedging derivatives - - - - 987,356 987,356 Total 2010 12,163 12,200 226,337 56 123,805,504 124,056,260

Total 2009 13,158 - - 634 116,101,870 116,115,662

137 Notes to the financial statements - Part E – Information on risks and hedging policies

A.1.2 Breakdown of credit exposures by portfolio classification and credit quality (gross and net values)

Non-performing assets Other assets Total (Net exposure) Net Net Gross Gross Gross exposure exposure exposure exposure exposure exposure exposure Individual Individual adjustments adjustments 1. Financial assets held for trading 2,736 - 2,736 X X 54,583,936 54,586,672 2. Financial assets available for sale - - - 2,856,650 - 2,856,650 2,856,650 3. Investments held to maturity ------4. Due from banks - - - 52,488,734 (261) 52,488,473 52,488,473 5. Loans to customers 298,469 (50,449) 248,020 12,989,490 (100,401) 12,889,089 13,137,109 6. Financial assets carried at fair value through profit and loss - - - X X - - 7. Financial assets on disposal ------8. Hedging derivatives - - - X X 987,356 987,356 Total 2010 301,205 (50,449) 250,756 68,334,874 (100,662) 123,805,504 124,056,260

Total 2009 42,522 (28,730) 13,792 60,870,608 (80,557) 116,101,870 116,115,662

The gross exposure of debt securities classified as non-performing – financial assets held for trading – corresponds to their weighted average cost before year-end valuations.

138 Notes to the financial statements - Part E – Information on risks and hedging policies

Informative details on performing loans - IFRS 7, par. 7 and IG28

Pursuant to the Bank of Italy’s instructions (notice 0159710/11 of 22 February 2011), the following is a breakdown of performing on-balance sheet loan exposures at 31 December 2010.

The particular nature of Banca IMI’s clients, in addition to its specific investment-banking operations, mean that it does not have any exposures subject to negotiation under collective agreements (e.g., Italian Banking Association-Ministry for Economy and Finance Master Agreement).

Performing exposures Exposures renegotiated under collective Other exposures agreements

Net exposure Net exposure TOTAL TOTAL TOTAL past due past due past due Assets not yet Assets not yet Assets not yet Assets past due Assets past due Assets past due Assets past due Assets past due at 3 to 6 months at 3 to 6 months at 3 to 6 months at up to 3 months at up to 3 months Assets past due at Assets past due at more than 6 months more than 6 months more

Performing exposures (installments due) - - - X - 74,135 - 56 X 74,191 Performing exposures (installments related to amortizing plan) - - - X - 267,209 - 34,772 X 301,981 Performing exposures not yet past due X X X - - X X X 123,429,332 123,429,332

Total Net exposures - - - - - 341,344 - 34,828 123,429,332 123,805,504

Performing exposures Totale

Total exposure TOTAL TOTAL past due past due Assets not yet Assets not yet Assets past due Assets past due Assets past due at 3 to 6 months at 3 to 6 months at up to 3 months Assets past due at more than 6 months more

Performing exposures (installments due) 74,135 - 56 X 74,191 Performing exposures (installments related to amortizing plan) 267,209 - 34,772 X 301,981 Performing exposures not yet past due - - - 123,429,332 123,429,332

Total Net exposures 341,344 - 34,828 123,429,332 123,805,504

139 Notes to the financial statements - Part E – Information on risks and hedging policies

A.1.3 On- and off-balance sheet credit exposures to banks: gross and net values

Gross Individual Collective Net exposure adjustments adjustments exposure A. On-balance sheet exposures a) doubtful loans 2,678 - X 2,678 b) substandard loans - - X - c) restructured exposures - - X - d) past due exposures 20 - X 20 e) other assets 56,618,202 X (261) 56,617,941 Total A 56,620,900 - (261) 56,620,639 B. Off-balance sheet exposures a) non-performing - - X - b) other 45,274,243 X - 45,274,243 Total B 45,274,243 - - 45,274,243

Total A+B 101,895,143 - (261) 101,894,882

A.1.4 On-balance sheet credit exposures to banks: changes in gross non-performing exposures

Causali/Categorie Doubtful Sub- Restructured Past due loans standard exposures exposures loans A. Initial gross exposure 2,674 - - 7 of which exposures sold not derecognised - - - - B. Increases 4 - - 13 B.1 inflows from performing exposures - - - 13 B.2 transfers from other non-performing exposure categories - - - - B.3 other increases 4 - - - C. Decreases - - - - C.1 outflows to performing exposures - - - - C.2 write-offs - - - - C.3 repayments - - - - C.4 credit disposals - - - - C.5 transfers to other non-performing exposure categories - - - - C.6 other decreases - - - - D. Final gross exposure 2,678 - - 20 of which exposures sold not derecognised - - - -

Exposures to banks are represented by debt securities issued by the Icelandic bank Glitnir, carried at their book values by virtue of the offsetting of the debt and credit positions claimed by Banca IMI.

140 Notes to the financial statements - Part E – Information on risks and hedging policies

A.1.5 On-balance sheet credit exposures to banks: changes in total adjustments

Doubtful Sub- Restructured Past due loans standard exposures exposures loans A. Initial gross exposure - - - (2) of which exposures sold not derecognised - - - - B. Increases - - - - B.1 inflows from performing exposures - - - - B.2 transfers from other non-performing exposure categories - - - - B.3 other increases - - - - C. Decreases - - - 2 C.1 recovery from valuation - - - - C.2 recovery from payment - - - - C.3 write-offs - - - - C.4 transfers to other non-performing exposure categories - - - - C.6 other decreases - - - 2 D. Final gross exposure - - - - of which exposures sold not derecognised - - - -

A.1.6 On- and off-balance sheet credit exposures to customers: gross and net values

Gross Individual Collective Net exposure adjustments adjustments exposure A. On-balance sheet exposures a) doubtful loans 37,934 (28,449) X 9,485 b) substandard loans 14,200 (2,000) X 12,200 c) restructured exposures 246,337 (20,000) X 226,337 d) past due exposures 36 - X 36 e) other assets 23,341,469 X (100,401) 23,241,068 Total A 23,639,976 (50,449) (100,401) 23,489,126 B. Off-balance sheet exposures a) non-performing - - X - b) other 20,800,670 X (7,265) 20,793,405 Total B 20,800,670 - (7,265) 20,793,405

Total A+B 44,440,646 (50,449) (107,666) 44,282,531

141 Notes to the financial statements - Part E – Information on risks and hedging policies

A.1.7 On-balance sheet credit exposures to customers: changes in gross non- performing exposures

Doubtful Substan- Restructured Past due loans dard loans exposures exposures A. Initial gross exposure 38,933 - - 908 of which exposures sold not derecognised - - - - B. Increases - 14,200 246,337 - B.1 impairment losses - 14,200 246,337 - B.2 transfers from other non-performing exposure categories - - - - B.3 other increases - - - - C. Decreases (999) - - (872) C.1 outflows to performing loans - - - - C.2 write-offs - - - - C.3 repayments - - - - C.4 credit disposals (999) - - (872) C.5 transfers to other non-performing exposure categories - - - - C.6 other decreases - - - - D. Final gross exposure 37,934 14,200 246,337 36 of which exposures sold not derecognised - - - -

A.1.8 On-balance sheet credit exposures to customers: changes in total adjustments

Doubtful Substan- Restructured Past due loans dard loans exposures exposures A. Initial gross exposure (28,449) - - (279) of which exposures sold not derecognised - - - - B. Increases - (2,000) (20,000) - B.1 impairment losses - (2,000) (20,000) - B.2 transfers from other non-performing exposure categories - - - - B.3 other increases - - - - C. Decreases - - - 279 C.1 recovery from valuation - - - - C.2 recovery from payment - - - - C.3 write-offs - - - - C.4 transfers to other non-performing exposure categories - - - - C.6 other decreases - - - 279 D. Final gross exposure (28,449) (2,000) (20,000) - of which exposures sold not derecognised - - - -

142 Notes to the financial statements - Part E – Information on risks and hedging policies

A.2 Classification of exposures based on external and internal ratings

A.2.1 Breakdown of on- and off-balance sheet credit exposures by external rating classes

External rating classes Unrated Total AAA/AA- A+/A- BBB+/ BB+/BB- B+/B- Under BBB- B- A. On-balance sheet exposures 54,220,710 12,306,565 1,525,609 426,498 348,103 251,437 11,030,843 80,109,765 B. Derivatives B.1 Financial derivatives 3,357,402 1,553,439 28,462 5,831 - - 1,807,436 6,752,570 B.2 Credit derivatives 28,382 23,857 - - - - 231,770 284,009 C. Guarantees given - - - - 45,129 26,666 1,582,574 1,654,369 D. Commitments to lend funds 27,905,283 20,206,892 180,102 35,667 16,470 39 9,032,247 57,376,700 Total 85,511,777 34,090,753 1,734,173 467,996 409,702 278,142 23,684,870 146,177,413

Notes: B.1 - Financial derivatives: positive fair value of OTC derivatives; B.2 - Credit derivatives: notional value of protection sales and positive fair value of protection purchases; D. - Deposits to be made with banks, securities to be received and the notional value of the physical OTC put options sold.

The main ratings used are those assigned by Standard & Poor’s; absent ratings assigned by that agency, those of Fitch and Moody’s have been considered.

Financial derivative exposures have been presented after netting arrangements.

Commitments to lend funds refer primarily to financial contracts with mutual benefits, which are settled according to the delivery versus payment method. In further detail, the unrated segment includes commitments in the form of purchases to be settled.

143 Notes to the financial statements - Part E – Information on risks and hedging policies

A.3 Breakdown of guaranteed exposures by type of guarantee

A.3.1 Guaranteed credit exposures to banks

Collateral (1) Guarantees (2) Total (1) + (2) Credit derivatives Guarantees given Exposure Exposure Other derivatives Securities Other assets Banks Banks Banks Banks Real estate assets Credit linked notes Credit Other public entities Other public entities Other counterparties Other counterparties Governments and Central Banks Governments and Central Banks

1. On- balance sheet guaranteed exposures:

1.1. totally guaranteed 7,411,952 - 7,431,075 ------7,431,075

- of which non-performing ------

1.2. partially guaranteed ------

- of which non-performing ------

2. Off- balance sheet guaranteed exposures:

2.1. totally guaranteed 3,530,603 - - 3,812,431 ------3,812,431

- of which non-performing ------

2.2. partially guaranteed ------

- of which non-performing ------

Exposures guaranteed by securities are represented by repurchase agreements and securities loans. The collateral acquired to secure off-balance sheet exposures refers to net counterparty risk, determined on the basis of netting and CSA agreements, implicit in OTC derivatives contracts.

144 Notes to the financial statements - Part E – Information on risks and hedging policies

A.3.2 Guaranteed credit exposures to customers

Collateral (1) Guarantees (2) Total (1) + (2) Credit derivatives Guarantees given Exposure Exposure Other derivatives Securities Other assets Banks Banks Banks Banks Real estate assets Credit linked notes Credit Other public entities Other public entities Other counterparties Other counterparties Governments and Central Banks Governments and Central Banks

1. On- balance sheet guaranteed exposures:

1.1. totally guaranteed 6,540,574 1,665,385 4,655,813 46,146 ------198,065 6,565,409

- of which non-performing ------

1.2. partially guaranteed 796,458 25,329 197,991 10,660 - - - - 15,000 - - - - 248,980

- of which non-performing ------

2. Off- balance sheet guaranteed exposures:

2.1. totally guaranteed 719,511 53,941 35,821 595,174 ------34,575 719,511

- of which non-performing ------

2.2. partially guaranteed 241,374 62,210 6,446 538 ------69,194

- of which non-performing ------

145 Notes to the financial statements - Part E – Information on risks and hedging policies

B. BREAKDOWN AND CONCENTRATION OF CREDIT EXPOSURES

B.1 Breakdown of on- and off-balance sheet credit exposures to customers by sector (book value)

Governments and central banks Other public entities losses losses Portfolio Portfolio Net exposure Net exposure Net exposure Net exposure impairment losses impairment losses Specific impairment Specific impairment A. ON-BALANCE SHEET EXPOSURES

A.1 Doubtful loans - - X - - X

A.2 Substandard loans - - X - - X

A.3 Restructured exposures - - X - - X

A.4 Past due exposures 20 - X - - X

A.5 Other exposures 7,455,604 X - 5,597 X -

TOTAL A 7,455,624 - - 5,597 - -

B. OFF-BALANCE SHEET EXPOSURES

B.1 Doubtful loans - - X - - X

B.2 Substandard loans - - X - - X

B.3 Other non-performing assets - - X - - X

B.4 Other exposures - X - - X -

TOTAL B ------

TOTAL (A+B) 31 DECEMBER 2010 7,455,624 - - 5,597 - -

TOTAL (A+B) 31 DECEMBER 2009 13,343,367 (16) - 12,733 - -

Financial institutions Insurance companies losses losses Portfolio Portfolio Net exposure Net exposure Net exposure impairment losses impairment losses

Specific impairment Specific impairment A. ON-BALANCE SHEET EXPOSURES

A.1 Doubtful loans 9,485 (28,449) X - - X

A.2 Substandard loans - - X - - X

A.3 Restructured exposures - - X - - X

A.4 Past due exposures - - X - - X

A.5 Other exposures 10,010,690 X (22,980) 28,299 X -

TOTAL A 10,020,175 (28,449) (22,980) 28,299 - -

B. OFF-BALANCE SHEET EXPOSURES

B.1 Doubtful loans - - X - - X

B.2 Substandard loans - - X - - X

B.3 Other non-performing assets - - X - - X

B.4 Other exposures 17,967,670 X - 173,651 X -

TOTAL B 17,967,670 - - 173,651 - -

TOTAL (A+B) 31 DECEMBER 2010 27,987,845 (28,449) (22,980) 201,950 - -

TOTAL (A+B) 31 DECEMBER 2009 32,468,239 (28,664) (23,331) 1,731,485 - -

146 Notes to the financial statements - Part E – Information on risks and hedging policies

B.1 Breakdown of on- and off-balance sheet credit exposures to customers by sector (book value)

Non-financial companies ltri Other counterparties losses losses Portfolio Portfolio Net exposure Net exposure Net exposure Net exposure impairment losses impairment losses Specific impairment Specific impairment A. ON-BALANCE SHEET EXPOSURES

A.1 Doubtful loans - - X - - X

A.2 Substandard loans 12,200 (2,000) X - - X

A.3 Restructured exposures 226,337 (20,000) X - - X

A.4 Past due exposures 16 - X - - X

A.5 Other exposures 5,715,977 X (77,421) 24,901 X -

TOTAL A 5,954,530 (22,000) (77,421) 24,901 - -

B. OFF-BALANCE SHEET EXPOSURES

B.1 Doubtful loans - - X - - X

B.2 Substandard loans - - X - - X

B.3 Other non-performing assets - - X - - X

B.4 Other exposures 2,652,084 X (7,265) - X -

TOTAL B 2,652,084 - (7,265) - - -

TOTAL (A+B) 31 DECEMBER 2010 8,606,614 (22,000) (84,686) 24,901 - -

TOTAL (A+B) 31 DECEMBER 2009 36,919,301 (48) (57,070) 2,482,755 - -

147 Notes to the financial statements - Part E – Information on risks and hedging policies

B.2 Breakdown of on- and off-balance sheet exposures to customers by geographical area (book value)

Italy Other European countries America Net Total Net Total Net Total exposure adjustments exposure adjustments exposure adjustments

A. On-balance sheet exposures A.1 Doubtful loans - - 651 (1,952) 8,834 (26,497) A.2 Substandard loans 12,200 (2,000) - - - - A.3 Restructured exposures 226,337 (20,000) - - - - A.4 Past due exposures 1 - 14 - 21 - A.5 Other exposures 18,253,887 (86,337) 3,932,273 (13,409) 753,582 (4) TOTAL 18,492,425 (108,337) 3,932,938 (15,361) 762,437 (26,501) A. Off-balance sheet exposures B.1 Doubtful loans ------B.2 Substandard loans ------B.3 Other non-performing assets ------B.4 Other exposures 6,652,723 (7,265) 12,101,453 - 1,384,648 - TOTAL 6,652,723 (7,265) 12,101,453 - 1,384,648 -

TOTAL 31 DECEMBER 2010 25,145,148 (115,602) 16,034,391 (15,361) 2,147,085 (26,501)

TOTAL 31 DECEMBER 2009 25,339,524 (72,963) 59,131,897 (9,543) 2,222,076 (26,513)

Asia Rest of the World Total Net Total Net Total Net Total exposure adjustments exposure adjustments exposure adjustments

A. On-balance sheet exposures A.1 Doubtful loans - - - - 9,485 (28,449) A.2 Substandard loans - - - - 12,200 (2,000) A.3 Restructured exposures - - - - 226,337 (20,000) A.4 Past due exposures - - - - 36 - A.5 Other exposures 93,300 (7) 208,026 (644) 23,241,068 (100,401) TOTAL 93,300 (7) 208,026 (644) 23,489,126 (150,850) A. Off-balance sheet exposures B.1 Doubtful loans ------B.2 Substandard loans ------B.3 Other non-performing assets ------B.4 Other exposures 25,766 - 628,815 - 20,793,405 (7,265) TOTAL 25,766 - 628,815 - 20,793,405 (7,265)

TOTAL 31 DECEMBER 2010 119,066 (7) 836,841 (644) 44,282,531 (158,115)

TOTAL 31 DECEMBER 2009 61,791 - 202,592 (110) 86,957,880 (109,129)

148 Notes to the financial statements - Part E – Information on risks and hedging policies

B.3 Breakdown of on- and off-balance sheet exposures to banks by geographical area (book value)

Italy Other European countries America Net Total Net Total Net Total exposure adjustments exposure adjustments exposure adjustments

A. On-balance sheet exposures A.1 Doubtful loans - - 2,678 - - - A.2 Substandard loans ------A.3 Restructured exposures ------A.4 Past due exposures - - - - 20 - A.5 Other exposures 50,566,896 (261) 5,932,046 - 105,579 - TOTAL 50,566,896 (261) 5,934,724 - 105,599 - A. Off-balance sheet exposures B.1 Doubtful loans ------B.2 Substandard loans ------B.3 Other non-performing assets ------B.4 Other exposures 4,816,397 - 34,610,652 - 5,830,104 - TOTAL 4,816,397 - 34,610,652 - 5,830,104 -

TOTAL 31 DECEMBER 2010 55,383,293 (261) 40,545,376 - 5,935,703 -

TOTAL 31 DECEMBER 2009 64,842,987 (156) 28,225,578 (2) 4,663,855 -

Asia Rest of the World Total Net Total Net Total Net Total exposure adjustments exposure adjustments exposure adjustments

A. On-balance sheet exposures A.1 Doubtful loans - - - - 2,678 - A.2 Substandard loans ------A.3 Restructured exposures ------A.4 Past due exposures - - - - 20 - A.5 Other exposures 4,243 - 9,177 - 56,617,941 (261) TOTAL 4,243 - 9,177 - 56,620,639 (261) A. Off-balance sheet exposures B.1 Doubtful loans ------B.2 Substandard loans ------B.3 Other non-performing assets ------B.4 Other exposures 17,090 - - - 45,274,243 - TOTAL 17,090 - - - 45,274,243 -

TOTAL 31 DECEMBER 2010 21,333 - 9,177 - 101,894,882 (261)

TOTAL 31 DECEMBER 2009 1,057 - 38,341 - 97,771,818 (158)

149 Notes to the financial statements - Part E – Information on risks and hedging policies

B.4 Large credit risks

a) Amount 96,963,557 b) Weighted amount 11,156,734 c) Number 41

C. SECURITISATIONS AND THE DISPOSAL OF ASSETS

C.1 SECURITISATIONS

Quantitative information

Banca IMI traditionally deals in securitised instruments as part of its primary market operations, by organising and/or placing third-party issues, and its brokerage operations on the secondary markets. The risks associated with temporarily held positions are monitored by risk management functions as part of market risk assessment.

150 Notes to the financial statements - Part E – Information on risks and hedging policies

Quantitative information

C.1.1 Breakdown of exposures deriving from securitisations by quality of underlying asset

On-balance sheet exposures Senior Mezzanine Junior Gross Net Gross Net Gross Net exposure exposure exposure exposure exposure exposure A. Originated underlying assets a) Non-performing ------b) Other ------B. Third party underlying assets a) Non-performing ------b) Other 2,093,121 2,092,355 127,687 127,438 12,140 9,771

Guarantees given Credit lines Senior Mezzanine Junior Senior Mezzanine Junior Net exposure Net exposure Net exposure Net exposure Net exposure Net exposure Gross exposure Gross exposure Gross exposure Gross exposure Gross exposure Gross exposure Gross

A. Originated underlying assets a) Non-performing ------b) Other ------B. Third party underlying assets a) Non-performing ------b) Other ------

151 Notes to the financial statements - Part E – Information on risks and hedging policies

C.1.3 Breakdown of exposures deriving from main “originated” securitisations by type of by type of securitised assets and type of exposure

Type of underlying asset/exposure On-balance sheet exposures

Senior Mezzanine Junior Book Adjustments Book Adjustments Book Adjustments value /recoveries value /recoveries value /recoveries A.1 ABEST - ASSET-BACKED Consumer credits – EUROPEA car/automotive 3,986 (1) 4,604 35 - - A.2 AGRI SECURITIES SRL Leasing 3,355 5 - - - - A.3 AMSTEL CORPORATE LOAN OFFERI Credit Linked note 15,743 (71) - - - - A.4 APULIA FINANCE 5 CESSIONI Consumer credits 1,523 (5) - - - - A.5 ARCOBALENO FINANCE SRL Other loans 1,929 21 - - - - A.6 ARENA 2004 II BV Resid. mortgage loans 241 3 - - - - A.7 ARENA 2005-1 BV Resid. mortgage loans 70 (0) - - - - A.8 ARGO MORTGAGE 2 SRL Resid. mortgage loans 2,682 (1) - - - - A.9 ARKLE MASTER ISSUER PLC Resid. mortgage loans 222 4 - - - - A.10 ASSET BACKED EUROPE SA Consumer credits – car/automotive 29,079 (30) - - - - A.11 ATLANTE FINANCE SRL Mortgages 3,084 - - - - - A.12 ATOMIUM MORTG FIN 03-1 BV Mortgages 125 1 - - - - A.13 AUTO ABS COMP Consumer credits – car/automotive 3,696 38 - - - - A.14 AYT CEDULAS CAJAS FTA CDO Cash 488 (23) - - - - A.15 AYT CEDULAS CAJAS GLOBAL FTA CDO Cash 950 (12) - - - - A.16 BANCO BILBAO VIZCAYA Other loans 2,452 - - - - - A.17 BAVARIAN SKY SA Consumer credits – car/automotive 106 (0) - - - - A.18 BCC MORTGAGES Resid. mortgage loans 27,544 (1,057) - - - - A.19 BERICA 3 MBS SRL Mortgages 764 - - - - - A.20 BERICA 5 RESIDENTIAL MBS SRL Resid. mortgage loans 539 - - - - - A.21 BERICA 6 RESIDENTIAL Mortgages 14,965 394 - - - - A.22 BERICA RESIDENTIAL MBS1 SRL Mortgages 6,292 (111) - - - - A.23 BIPIELLE RESIDENTIAL SRL Resid. mortgage loans 1,620 9 - - - - A.24 BP MORTGAGES Resid. mortgage loans 2,393 (62) - - - - A.25 BPM SECURITISATION SRL Resid. mortgage loans 9,369 177 - - - - A.26 CAPITAL MORTGAGE SRL Resid. mortgage loans 6,297 (0) - - - - A.27 CARS ALLIANCE FUNDING PLC Consumer credits – car/automotive 42,186 103 - - - - A.28 CLARIS FINANCE 2005 SRL Mortgages 496 - - - - - A.29 COLOMBO SRL Mortgages - - - - 2,271 (253) A.30 CORDUSIO 3 RMBS Resid. mortgage loans 1,685 - - - - - A.31 CORDUSIO RMBS SRL Resid. mortgage loans 76,138 (33) 4,347 (193) - - A.32 CR FIRENZE MUTUI SRL Resid. mortgage loans 588 - - - - - A.33 CREDICO FINANCE Mortgages 8,181 52 - - - - A.34 CREDICO FINANCE 2 SRL Mortgages 303 2 - - - - A.35 DAPHNE FINANCE PLC Credit Linked note 5,014 875 - - - - A.36 DELPHINUS 2004-II BV Resid. mortgage loans 7,425 (25) - - - - A.37 DELPHINUS 2006 I BV Resid. mortgage loans 4,964 11 - - - - A.38 DIAMOND MORTGAGE FINAN. 2006 Resid. mortgage loans 4,699 (32) - - - -

152 Notes to the financial statements - Part E – Information on risks and hedging policies

Type of underlying asset/exposure On-balance sheet exposures

Senior Mezzanine Junior Book Adjustments Book Adjustments Book Adjustments value /recoveries value /recoveries value /recoveries A.39 DRIVER TWO GMBH Consumer credits – car/automotive 17 1 - - - - A.40 DUCATO CONSUMER SRL Consumer credits 7,362 (10) 2,124 - - - A.41 DUTCH MBS XII BV Resid. mortgage loans 2,131 (12) - - - - A.42 DUTCH MTG PORTFOLIO LOANS Mortgages 335 7 - - - - A.43 EUTERPE FINANCE SRL Other loans 147,146 (2,342) - - - - A.44 F-E BLUE SRL Leasing - - 916 1 - - A.45 F-E GREEN SRL Leasing 4,339 24 - - - - A.46 F-E MORTGAGES SRL Resid. mortgage loans 353 - - - - - A.47 FIP FUNDING SRL Public real estate assets 210,287 4,624 - - - - A.48 FONDO DE TITULIZACION Consumer credits – DE ACT car/automotive 102 2 - - - - A.49 FOSSE MASTER ISSUER PLC Resid. mortgage loans 3,013 (9) - - - - A.50 FRANCE TITRISATIONS AUTO ABS Consumer credits 13,228 6 - - - - A.51 FREE MOBILITY SYSTEM Consumer credits – car/automotive 5,223 (74) - - - - A.52 FTA SANTANDER FINANCIACION Consumer credits 326 - - - - - A.53 GOLDEN BAR SECURITISATION SR Consumer credits 6,191 21 - - - - A.54 GRANITE MASTER ISSUER PLC Resid. mortgage loans 21,828 (35) - - - - A.55 GSC PARTNERS CDO FUND V LTD/ Other loans 115,361 - - - - - A.56 HOLLAND EURO DEN MTG S. Resid. mortgage loans 2,701 (14) - - - - A.57 INTESA LEASE SEC. S.R.L. Leasing 0 - - - - - A.58 INTESA SEC3 SRL Resid. mortgage loans - - 93,438 163 3,697 - A.59 INTESABCI SEC 2 S.R.L. Resid. mortgage loans - - 9,337 3 2,457 (25) A.60 ITALEASE FINANCE SPA Leasing 1,772 18 - - - - A.61 ITALFINANCE SECURITISATION V Leasing 5,500 160 145 0 - - A.62 LAMBDA FINANCE BV CDO 12,401 (39) - - - - A.63 LEASIMPRESA FINANCE Leasing - - 1,002 (75) - - A.64 LEASIMPRESA SPA Leasing 22,947 28 - - - - A.65 LOCAT S.P.A. Leasing 14,067 107 - - - - A.66 LOCAT SECURITISATION VEHICLE Leasing 23,086 15 1,314 (20) - - A.67 LOMBARDA LEASE FINANCE 3 SRL Leasing 7,112 (22) 1,149 (92) - - A.68 MAGRITTE FINANCE 2004 BV Resid. mortgage loans 3,501 60 - - - - A.69 MANTEGNA FINANCE II SRL Mortgages 193 - - - - - A.70 MARCHE MUTUI SRL Resid. mortgage loans 5,090 - - - - - A.71 MARS 2600 SRL Resid. mortgage loans 1,891 (34) - - - - A.72 NEPRI FINANCE S.R.L. Resid. mortgage loans 238,869 (1,107) - - - - A.73 ORIO FINANCE PLC N.3 Resid. mortgage loans 99 (1) - - - - A.74 PATRIMONIO UNO Public real estate assets 7,727 147 2,090 (8) - - A.75 PERMANENT FINANCING (N.8) Resid. mortgage loans 693 4 - - - - A.76 PERMANENT MASTER Resid. mortgage loans 297 9 - - - - A.77 PHARMA FINANCE 2 SRL Other loans 5,730 188 - - - - A.78 PREPS 2007-1 Small-Medium Corporates 961 (205) - - - - A.79 RESIMAC PREMIER EURO 2005- Resid. mortgage loans 10,017 44 - - - -

153 Notes to the financial statements - Part E – Information on risks and hedging policies

Type of underlying asset/exposure On-balance sheet exposures

Senior Mezzanine Junior Book Adjustments Book Adjustments Book Adjustments value /recoveries value /recoveries value /recoveries

A.80 SAECURE BV Resid. mortgage loans 5,058 (37) - - - - A.81 SC GERMAN AUTO Consumer credits – car/automotive 6,263 6 - - - - A.82 SIENA MORTGAGES 02 3 SRL Resid. mortgage loans 101,822 23 - - - - A.83 SIENA MORTGAGES SRL Resid. mortgage loans - - 493 3 - - A.84 SOCIETA DI CARTOLARIZZAZIONE Social security charges 149,788 (57) - - – – A.85 SPLIT 2 SRL Leasing 9,372 (44) 4,814 (73) - - A.86 SPOLETO MORTGAGES Mortgages 122 3 - - - - A.87 STORM 2004 II BV Resid. mortgage loans 301 5 - - - - A.88 STORM 2005 BV Resid. mortgage loans 64 1 - - - - A.89 STORM BV Resid. mortgage loans 4,616 (57) - - - - A.90 SUNRISE SRL Consumer credits 92,729 (1) - - - - A.91 TDA PASTOR CONSUMO Consumer credits 813 (51) - - - - A.92 TEVERE FINANCE SRL not in bbg 472,638 (2,382) - - 475 (2,092) A.93 TRICOLORE FUNDING SRL Leasing 3,164 1 753 - - - A.94 VELA HOME SRL Resid. mortgage loans 31,509 111 910 6 - - A.95 VELA LEASE SRL Leasing 16,952 (17) - - - - A.96 VOBA FINANCE SRL Mortgages 3,916 (67) - - - - A.97 VOLKSWAGEN CAR LEASE Consumer credits – car/automotive - - - - 870 1 A.98 VOLKSWAGEN LEASING Consumer credits – GMBH car/automotive 136 1 - - - - Total 2,092,355 (766) 127,438 (250) 9,771 (2,369)

At the reporting date, there were no off-balance sheet exposures (guarantees provided and lines of credit) in connection with “originated” securitisation transactions.

C.1.4 Breakdown of exposures deriving from securitisations by portfolio and by type

Financial Financial Financial Investments Loans Total Total assets held assets - assets held to 2010 2009 for trading fair value available maturity for sale

1. On-balance sheet exposures - "Senior" 1,615,333 - - - 477,023 2,092,355 797,017 - "Mezzanine" 87,002 - - - 40,436 127,438 21,534 - "Junior" 6,073 - - - 3,697 9,771 13,622 2. Off-balance sheet exposures - "Senior" ------"Mezzanine" ------"Junior" ------

154 Notes to the financial statements - Part E – Information on risks and hedging policies

C.1.5 Total amount of securitised assets underlying junior notes or other forms of credit support

For the purposes of the following table, the assets underlying junior notes were considered to an extent proportional to said securities, net of the rights of pre-emption to which holders of outstanding senior and mezzanine notes are entitled.

Traditional Synthetic securitisations securitisations A. Originated underlying assets A.1 Fully derecognised 1. Doubtful loans X 2. Substandard loans X 3. Restructured exposures X 4. Past due exposures X 5. Other assets X A.2 Partially derecognised 1. Doubtful loans X 2. Substandard loans X 3. Restructured exposures X 4. Past due exposures X 5. Other assets X A.3 Not derecognised 1. Doubtful loans 2. Substandard loans 3. Restructured exposures 4. Past due exposures 5. Other assets B. Third party underlying assets B.1 Doubtful loans 1,863 B.2 Substandard loans - B.3 Restructured exposures - B.4 Past due exposures 2,987 B.5 Other assets 15,189

Banca IMI does not hold equity interests in special-purpose vehicles.

155 Notes to the financial statements - Part E – Information on risks and hedging policies

C.2 DISPOSAL TRANSACTIONS

C.2.1 Financial assets sold not derecognised

Financial assets Financial assets Due from banks held for trading available for sale

A B C A B C A B C A. CASH ASSETS 1. Debt securities 4,862,228 - - 2,435,072 - - 1,003,088 - - 2. Equities ------X X X 3. UCITS ------X X X 4. Loans ------B. DERIVATIVES - - - X X X X X X TOTAL 31 DECEMBER 2010 4,862,228 - - 2,435,072 - - 1,003,088 - - of which non-performing ------TOTAL 31 DECEMBER 2009 7,182,143 - - 3,247,081 - - - - - of which non-performing ------

Loans to customers Total A B C 2010 2009 A. CASH ASSETS 1. Debt securities 61,404 - - 8,361,792 10,429,224 2. Equities X X X - - 3. UCITS X X X - - 4. Loans - - - - - B. DERIVATIVES X X X - - TOTAL 31 DECEMBER 2010 61,404 - - 8,361,792 - of which non-performing - - - - - TOTAL 31 DECEMBER 2009 - - - - 10,429,224 of which non-performing - - - - -

A = financial assets sold totally derecognised (book value) B = financial assets sold partially derecognised (book value) C = financial assets sold partially derecognised (full value)

C.2.2 Financial liabilities corresponding to financial assets sold not derecognised

Financial Financial Financial Investments Due from Loans to Total assets assets assets held to banks customers held for carried at available maturity trading fair value for sale 1. Due to customers a) fully derecognised 2,637,880 - 454,891 - 47,755 - 3,140,526 b) partially derecognised ------2. Due to banks a) fully derecognised 2,195,764 - 1,965,865 - 1,003,088 - 5,164,717 b) partially derecognised ------TOTAL 31 DECEMBER 2010 4,833,644 - 2,420,756 - 1,050,843 - 8,305,243

TOTAL 31 DECEMBER 2009 6,712,217 - 3,280,348 - - - 9,992,565

156 Notes to the financial statements - Part E – Information on risks and hedging policies

D. CREDIT RISK MEASUREMENT MODELS The Company does not make use of internal models for the measurement of exposure to credit risk.

STRUCTURED CREDIT PRODUCTS

The business model: goals, strategies and relevance Structured credit transactions represent an insignificant portion of Banca IMI’s proprietary trading operations. In the past, the Bank also undertook such transactions using a typical carry-trade approach aimed at achieving appreciable returns on assets deemed to be of good credit quality. This activity has always been conducted within operational limits appropriate to ensuing that outstanding volumes were consistent with the Bank’s overall risk appetite, without ever employing an originate-to-distribute type business model.

The most recent strategies for structured credit products refer to the management of outstanding investments and have led to: 1. the reclassification in the third quarter of 2008 of a portfolio of Italian RMBSs, primarily highly rated senior notes, to loans and receivables, with the aim of establishing a high-return portfolio free of price dislocation in the near term; and 2. the self-securitisation (in July 2008) of a portfolio of debt securities with the goal of reducing the cost of funding and optimising refinancing characteristics with the European Central Bank. The transaction, designated SPQR 2, was extinguished in July 2010.

Highlights The qualitative and quantitative composition of investments in structured credit products is significantly documented by the following indicators: – substantially all exposures are investment grade; – 93% of exposures are rated AAA; – 19% is of a vintage1 prior to 2005, whereas 13.3% is of 2005 vintage. In further detail:

Vintage Amount % before 2005 170 19.5 2005 117 13.3 2006 264 30.3 2007 173 19.8 2008 6 0.7 2009 6 0.7 2010 136 15.7 872 100.0

Almost all exposures pertain to the European area. In terms of underlying technical forms, over 82% of exposures are ABSs (38%) and RMBSs (44%), whereas the remainder consists of CLOs.

As regards the measurement methods used, only limited use of the effective market quotes method was possible for funded products (28%). The measurement techniques used for the remainder of the portfolio were the comparable approach (60% of cases) and the mark-to-model approach (12% of cases).

1 Date of origination of the collateral underlying the securitisation. It is an important factor in judging the risk level of the mortgage portfolios underlying securitisations inasmuch as, particularly on the U.S. market, the phenomenon of mortgages issued to parties with inadequate incomes and scarce documentary evidence began to become significant in 2005.

157 Notes to the financial statements - Part E – Information on risks and hedging policies

Technical form AAA AA A BBB BB Total % ABS 290 30 9 4 2 335 35.8 CLO 144 6 2 1 153 17.8 RMBS 376 4 4 384 46.4 Total 810 40 9 10 3 872 100.0

92.9% 4.6% 1.0% 1.2% 0.3% 100.0%

The following table sets out the risk exposure figures at 31 December 2010 and highlights income statement captions (the algebraic sum of expenses and revenues, impairments and recoveries).

ABS/CDO funded exposures (in millions of euro) Prodotto IAS Position as at 31.12.2010 Profit and loss as at 31.12.2010 Category Result of trading activity After Nominal Risk exposure Profit/Loss Impairments Total reclassification (after realized and recoveries impairments Year of which and recoveries) 4Q10 European ABS/CDO funded HFT 606 575 3 - 3 1

Loans 194 182 2 - 2 1

CDO unfunded super senior Corporate Risk HFT 134 115 5 - 5 2

Long Position 934 872 10 - 10 4

158 Notes to the financial statements - Part E – Information on risks and hedging policies

Section 2 - MARKET RISKS

Although the illustration of market risks – namely, interest-rate and price risks – provided below substantially follows the outline provided by the Bank of Italy, it has been formulated, including in its quantitative aspects, in accordance with the use of internal risk measurement models.

2.1 Interest-rate risk and price risk on the regulatory trading book

Qualitative information

The quantification of trading risks is founded on a daily and periodic analysis of the vulnerability of trading portfolios to adverse market movements in the following risk factors: – interest rates; – equities and indices; – mutual funds; – exchange rates; – implied volatilities; – spreads on credit default swaps; – spreads on bonds; – correlation instruments; – dividend derivatives; – asset-backed securities; and – commodities.

The supervisory authority validated (on 16 January 2004) the former Banca Caboto’s internal models for reporting the capital absorbed in connection with several of the above risk factors. In the first quarter of 2008, the internal model was extended to the portfolios of the former Banca d’Intermediazione Mobiliare IMI and is currently applied to the entire scope of the present Banca IMI for the validated risk profiles.

The analysis of market risk profiles relative to the trading book uses various quantitative indicators, of which VaR is the most important. Since VaR is a synthetic indicator that does not fully capture all possible types of potential losses, risk monitoring has been expanded to include other measures, in particular simulations of value at risk for risks arising from illiquid parameters (dividends, correlation, ABSs and hedge funds). Estimates are calculated daily based on simulations of historical time-series, a 99% confidence level and one-day holding period.

The nature and pay-off of several trading products require the application of illiquid risk factors that are not readily available, sometimes rendering them inappropriate for the application of VaR methods.

Alternative measures have been identified in order to complete estimates of value at risk: – non-correlated simulation: this method of calculation applies to quantised derivatives and basket options exposures. It is founded on a statistical estimate of the volatility of risk factors without permitting the diversification of exposures, resulting in a more highly prudential view of capital at risk. – correlated simulation: this method of calculation applies to bond and inflation-linked derivatives exposures and permits the consideration of the correlation between indices on the basis of an historical analysis of the change in the returns on risk factors over a holding period of ten days. In both cases, the results of risk simulations contribute to the determination of the absorption of regulatory capital.

The Incremental Risk Charge (IRC) is the maximum potential loss in the credit trading book resulting from the upgrade, downgrade or bankruptcy of an issuer over a one-year period with a 99.9% confidence level. This measure is additional to VaR and allows for a proper representation of the specific risk on debt securities and credit derivatives because, in addition to idiosyncratic risk, it also captures event and default risk.

Stress tests measure the change in the value of securities or portfolios in response to changes in risk factors of unexpected or extreme intensity and correlation, as well as changes representative of expectations as

159 Notes to the financial statements - Part E – Information on risks and hedging policies

to future trends in market variables. Stress tests are applied weekly to market risk exposures by adopting scenarios founded on the historical analysis of risk factors with the aim of identifying past worst cases and defining a deterministic grid of changes to highlight pin-risk, directionality or implied views.

Sensitivity measures allow the Bank to increase the accuracy of its risk profiling, especially in the presence of non-linear components. Sensitivity analyses measure the risk attributable to the change in the theoretical value of a financial position in correlation to a shift in associated risk factors of a given amount. The primary sensitivity indicators currently employed are pv01 (a change in interest-rate curves of one basis point), vega01 (a change in implied volatilities of one percentage point) and cr01 (a change in credit spreads of one basis point).

Level measures are risk indicators founded on the assumption that there is a direct relationship between the extent of a financial position and its risk profile. These are used to monitor exposures to issuer/segment/ country risk for the purposes of concentration analysis through the identification of the notional value, market value or translation of the position of one or more benchmarks (“equivalent positions”).

From a management standpoint, Banca IMI’s operations may be divided according to the following risk factors: – Equity risks: these are assumed in the context of securities and listed derivatives brokerage operations and the management of positions acquired in equity origination operations (IPOs, capital increases). The organisation and management of risk for the most innovative products is more highly complex and is based on the use of dynamic hedging through cash and listed derivatives securities. – Credit risks: these are managed in the context of operations on primary and secondary bond markets (in both mature and emerging economies) and involve in particular the trading of bonds issued by corporations and financial institutions, primarily within the euro area, and the management of risk profiles essentially through regulated derivatives and credit derivatives. – Interest-rate risk: this risk is concentrated in the euro rates area and originates in both the risks assumed as part of trading on financial markets (driven by the products distributed by the Group to its customers) and directional and optional strategies on the rates and volatilities market. Risks are managed through the use of dynamic hedging on the OTC derivatives market (for the management of both volatility and interest-rate risks) and listed derivatives (futures). – Commodities risk: this risk is assumed in the context of brokerage operations with customers, through both listed and OTC derivatives.

160 Notes to the financial statements - Part E – Information on risks and hedging policies

Quantitative information

Regulatory trading book: internal models and other methods of sensitivity analysis

Composition of value at risk The quantitative information provided below refers to the management perimeter of the trading portfolio subject to market risks1. In the following paragraphs, value at market risk is estimated by summing management VaR and simulations of illiquid parameters, as illustrated above.

Development of value at risk During the fourth quarter of 2010, the market risks originated by Banca IMI were in line with the previous quarter, resulting in a daily average operating VaR (average for the fourth quarter of 2010) of 14.5 million (10.1 million in the fourth quarter of 2009).

The overall risk profile for all of 2010 – 13.9 million – was stable compared to the average figures for 2009 (13.7 million). Over the year, risk measures increased in conjunction with the sovereign debt crisis in the Euro Area and then stabilised, primarily due to operations (the decrease of certain exposures and greater hedge effectiveness) and a differing impact of volatility on historical simulation scenarios.

Daily operating trading VaR for Banca IMI – comparison between the quarters of 2010 (in millions of euro) average minimum maximum average average average 4Q 4Q 4Q 3Q 2Q 1Q

Banca IMI 14.5 11.5 22.4 15.8 13.9 11.7

The development of daily operating VaR, as shown in the table, has been calculated on Banca Imi historical series.

Daily operating trading VaR for Banca IMI (minimum, average, maximum) (in millions of euro) 2010 2009 average minimum maximum last day average minimum maximum

Banca IMI 13.9 8.9 22.4 13.2 13.7 7.2 21.7

The development of daily operating VaR, as shown in the table, has been calculated on Banca Imi historical series.

In the fourth quarter of 2010, the composition of the risk profile in terms of the various factors showed a predominance of risk tied to the volatility of credit spreads, which represented 51% of the total (the interest-rate component was the primary factor at the end of 2009 with 37% of the total).

Contribution of risk factors to daily operating VaR (percentage of the total area for the year) 4Q 2010 Shares Hedge Rates Credit Foreign Other Commodi- fund spread exchange parameters ties

Banca IMI 8% 0% 24% 51% 2% 7% 8%

The table showns the contribution of risk factors considering the overall VaR 100%.

1 The regulatory perimeter for the application of the internal model is a sub-set of the internal market risk management model. This is a function of both the differing state of the art of the methods used, the extension of which has not been authorised for prudential supervisory purposes (for example, VaR spread on bonds and CDSs), and of the applicable legislation governing the exclusion from the perimeter of internal models of several risk items treated according to the standard method (such as investments in UCITS).

161 Notes to the financial statements - Part E – Information on risks and hedging policies

Issuer risk associated with the trading portfolio is subject to mark-to-market analysis through the aggregation of exposures by rating class and is monitored using a system of operational limits founded on both rating classes and concentration indicators.

Composition of exposures by type of issuer for Banca IMI (percent values of the area total at year-end, excluding government securities and the Group’s securities and including CDS hedges) Total of which Corporate Financial Emerging Covered Securitisations 2010 100% -12% 43% 1% 10% 58% 2009 100% -14% 67% -3% 12% 38%

There was an increase in higher-return investments and a decrease in exposure to banks. The composition of the trading book by rating is substantially investment grade.

DAILY EVOLUTION OF MARKET RISK - OPERATING VAR

24,0

22,0 Millions

20,0

18,0

16,0

14,0

12,0

10,0

8,0

6,0

4,0

2,0

0,0 Jan-10 Mar-10 Jun-10 Sep-10 Dec-10

BANCA IMI

Banca IMI reported an increase in its daily operating VaR in 2010, chiefly due to the severe impact of market volatility triggered by the Greek crisis and the ensuing contagion effect on peripheral countries in the Mediterranean area, and Portugal, Italy, Ireland and Spain in particular.

The monitoring of risks associated with Banca IMI’s trading operations also involves the use of scenario analyses and stress tests. The following table provides an overview of the impact of selected scenarios involving trends in equity prices, interest rates, credit spreads and exchange rates on the income statement at the end of December:

In further detail: – for equity market positions, a decrease in prices of 5% and an ensuing increase in volatility of 10% would have resulted in a loss of approximately 3 million. Vice versa, an increase in equity prices and a 10% decrease in volatility would have resulted in a gain of 3 million; – for exposures to interest rates, a parallel +25 basis point shift in the yield curve would have led to a 4.85 million euro loss; whereas a parallel -25 basis point shift would have led to a 4.34 million euro gain;

162 Notes to the financial statements - Part E – Information on risks and hedging policies

– for exposures sensitive to changes in credit spreads, an increase in spreads of 25 bas points would have resulted in a loss of 48 million; – for exposures on foreign exchange markets, the portfolio’s position was essentially protected from both the depreciation and appreciation of the euro; and – lastly, for commodity exposures, a 5.6 million euro gain would have resulted from a 50% increase in prices.

(in millions of euro) EQUITY interest rates CREDIT SPREAD FOREIGN RAW EXCHANGE MATERIALS

volatility +10% volatility -10% -25bp +25bp -25bp +25bp -10% +10% -50% +50% and prices -5% and prices +5%

Total -3.1 3.0 4.34 -4.85 49.21 -48.05 6.3 0.35 -5.69 5.65

The structure of operational limits reflects the level of risk deemed acceptable for individual business areas in accordance with the management and strategic guidelines laid down by senior management. Limits are set and monitored at the various hierarchical levels by assigning powers to the various managers of the business areas, with the aim of achieving the best trade-off between a controlled risk environment and the requirements of operational flexibility.

The effective operation of the system of limits and delegated powers is founded on the basic concepts of hierarchy and interaction, the application of which led to the definition of a structure organised into: – tier-one limits: these are assigned with the prior approval of the Parent Company’s Management Committee and are subsequently the object of an opinion by the Financial Risks Committee. Changes in limits are proposed to Risk Management, after consulting with the heads of the operational departments. The trend in the absorption of these limits and the assessment of the adequacy thereof is the object of periodic analysis by the Group’s Financial Risks Committee; and – tier-two limits: these control the operations of individual desks on the basis of measures differentiated according to the specific nature of the securities treated and operational strategies, such as sensitivities, the Greeks and equivalent exposures.

The use of VaR operating limits, within the component sub-allocated to the business units, came to an average of 59% (compared to an average of 62% in 2009), with a peak of 91% (98% in 2009). The use of IRC limits at year-end came to 59%.

The efficacy of the VaR calculation model must be monitored daily through the use of back-testing analyses, which, by comparing the estimated value at risk with the corresponding profits/losses for the period, highlight the model’s ability accurately to capture the variability inherent in the revaluation of trading positions from a statistical standpoint.

For the regulatory perimeter, these allow for a comparison between: – the daily estimates of value at risk; and – the daily profits/losses based on back-testing, determined using the actual daily profits and losses posted by individual desks, net of components not considered in back-testing such as commissions and intraday activities.

Back-testing allows verification of the model’s ability correctly capture, from a statistical standpoint, the variability in the daily valuation of trading positions, covering an observation period of one year (approximately 250 estimates). Possible critical situations pertaining to the internal model’s adequacy may arise in situations in which daily profits/losses based on back-testing show more than three occasions, in the year of observation, in which the daily loss is higher than the value at risk estimate. The scope of application of back-testing is narrower than that employed in the estimate of value at risk, inasmuch as the scope of application of the internal model applies to a sub-set of the items subject to market risk included in management estimates.

Banca IMI’s regulatory back-testing, as illustrated in the following graph, did not result in the detection of any critical situations, which would have occurred had the daily profits and losses according to back-testing exceeded the estimated VaR on more than three occasions during the period of observation. The sole breach recorded coincided with the beginning of the Greek debt crisis (5 May 2010).

163 Notes to the financial statements - Part E – Information on risks and hedging policies

10,0

Millions 7,5

5,0

2,5

0,0

-2,5

-5,0

-7,5

-10,0

-12,5

-15,0 Jan-10 Mar-10 Jun-10 Sep-10 Nov-10

Daily pro t/loss - backtesting Daily VaR

Counterparty risk is measured in terms of the cost of replacing derivatives contracts and is monitored both in terms of future exposure and aggregations by segment and risk class. Banca IMI’s typical counterparties on the OTC market are financial institutions, insurance companies and, solely in a limited number of cases, corporations. The model employed for the distribution of derivatives to non-institutional customers (primarily IRSs and exchange-rate transactions) calls for the credit risk to be retained on the books of the retail banks and market risks to be transferred to Banca IMI.

On this subject, please refer also the foregoing Section 1 - Credit risks.

164 Notes to the financial statements - Part E – Information on risks and hedging policies

Regulatory trading book: breakdown of exposures in equities and equity indices by main listing countries

Quoted Unquoted

Italy Germany USA Japan France Other

A. Equities

- long position 109,214 14,417 20,119 3,649 79,898 313,386 -

- short position 24,213 29,164 16,852 - 5,116 5,078 -

B. Non-settled transaction on equities

- long position 5,677 4,998 - - 15,914 31,464 -

- short position 2,338 76 1 - 34,708 13,320 -

C. Other derivatives on equities

- long position 30,983 3,042 10,528 - - 515 -

- short position 94,022 5,804 1,923 - - 574 -

D. Derivatives on equity indices

- long position 87,749 777,029 623,706 17,761 - 2,273 -

- short position 8,532,748 523,991 591,333 29,587 218 23,283 -

INFORMATION CONCERNING FINANCIAL PRODUCTS

Pursuant to the disclosure and transparency recommendations made by Italian and supra-national supervisory authorities, the following section contains a series of disclosures, referring both to the indications provided by the Bank of Italy (communication of 18 June 2008) and CONSOB in its letter of 23 July 2008, and taking account of the recommendations contained in the April 2008 Report issued by the Financial Stability Forum.

The measurement process for financial instruments The measurement process for the financial instruments held by Banca IMI is fully centralised with the Risk Management Department of the Parent Company, Intesa Sanpaolo.

1. Identification, validation and processing of market data and sources for measurement The process of calculating fair value and the need to distinguish between products measurable according to effective market prices rather than through the application of comparative of model-based approaches highlight the need to establish unequivocal principles for determining market parameters. To this end, the Market Data Reference Guide, a document prepared and updated by the Risk Management Department according to the Group’s Internal Rules and Procedures approved by the boards of directors of the Parent Company and Group companies, has established the processes required for the identification of market parameters and the methods according to which such data are to be collected and used. Such market data may be drawn from primary or derived information. In further detail, the rules and procedures determine the requirements and cut-off and validation conditions for each reference category (asset class). Said document provides a formal structure for surveying data sources deemed suitable to the measurement of securities. Suitability is ensured by compliance with the applicable requirements, which refer to principles of the comparability, availability and transparency of data, or the ability to obtain data from one or more info-providing systems, to measure the bid-ask price, and, lastly, in the case of OTC products, to verify the comparability of data sources.

An unequivocal cut-off time is determined for each category of market parameter in connection with data survey timing, the bid/ask side of reference, and the number of observations required to verify the price. The use of all market parameters is contingent upon validation (through the Validation Process) by the Risk Management Department in terms of double-checking (surveying the accuracy of the historical figure by comparing the results of the proprietary platform with those of the data source), plausibility testing (the consistency of each individual figure with similar or comparable data) and assessment of the effective methods of application.

165 Notes to the financial statements - Part E – Information on risks and hedging policies

2. Validation of pricing models and the Risk Assessment Model This phase is primarily aimed at assessing the consistency and compliance of the various measurement methods used by the Bank with current market practice, highlighting any critical issues inherent in the pricing models used, and determining any adjustments that need to be made to measurement. The validation process is particularly important where the Bank begins to undertake transactions in a new financial instrument, which requires the development of additional pricing models, as well as where the Bank decides to use a new model to assess pay-offs previously managed using models deemed less adequate. In general, all of the models used by the Bank for measurement must be subjected to an internal validation process that involves the various competent entities. In cases of high complexity and/or market dislocation, independent validation may also be obtained from accredited financial service firms.

The analysis of new models calls not only for an in-depth analysis of financial aspects but also the full understanding of numerical issues, replicating, where deemed necessary, the pricing libraries of front- office systems, after having analyzed the available literature and the independent derivation of the required analytical results, including the consideration of numerical implementation issues. In addition, a detailed analysis is conducted of the types of pay-offs associated with the model under review and the pertinent market data (by verifying the presence, liquidity and frequency of update of contributions) as well as of the calibration methods selected. The fundamental requirements for the validation of a pricing model include that it be capable of replicating available market prices by optimising its internal parameters (or meta-data) in order to best capture the information provided by listed securities (calibration procedure). Once the quality of the repricing of the securities selected for calibration has been validated, an analysis is conducted of the influence of parameters inherent to the model (unlisted parameters or parameters not observable on the markets) on the pricing of complex securities. Lastly, where possible, market tests are conducted by comparing the prices of complex securities obtained from the model with available quotes.

Where the analysis described above does not generate any clear critical issues, the model is deemed validated and may be used for official measurements. If, on the other hand, the analysis highlights limits or areas deserving of attention for a given pricing model that are not sufficient to result in the available analytical framework being considered inadequate, Risk Management conducts further analyses to determine any appropriate adjustments to the model risk. Please refer to the paragraph on this subject set out below for a more detailed discussion.

Monitoring the consistency of pricing models over time Once a pricing model for complex financial instruments is certified and operational, it is necessary to periodically monitor its adherence to the market in order to discover any gaps promptly and start the necessary verifications and interventions.

– Repricing of elementary financial instruments surveyed The consistency of a calibrated pricing model with the market is reviewed by verifying that the model used effectively reproduces all market prices deemed significant and sufficiently liquid. In the case of interest-rate derivatives in particular, the Bank’s front-office systems also include an automatic system for the repricing of elementary financial instruments, which permits the systematic verification of discrepancies between models and the market and any impacts thereof on book risk positions. Where significant discrepancies are detected such that the price of a given elementary financial instrument falls beyond market bid-offer quotes, the impact on the risk positions of the respective portfolios is analyzed and any adjustment to be made to the measurements of the respective portfolios is determined.

– Comparison with benchmark data The monitoring method described above is further reinforced through extensive use of benchmarking of the data employed. In particular, access to the services of a qualified outside provider (Markit) provides detailed information on the parameters contributed by primary market counterparties regarding interest rate instruments (caps/floors, European and Bermuda swaptions and CMSs), equity instruments (options on indices and on single stocks) and CDSs. Such information is much more detailed than that normally available from standard info-providers in terms, for example, of maturities, underlying assets and strikes. Any significant discrepancies are quantified with respect to the average range provided by the external provider and then treated as in the case of repricing of elementary instruments provided. The possibility of extending this comparison of benchmark data to other instruments or underlying assets is constantly monitored.

166 Notes to the financial statements - Part E – Information on risks and hedging policies

Information on the measurement models effectively used to measure financial instruments

1. The pricing model for unlisted securities non-contributed securities (that is, securities without official listings expressed by an active market) are priced through the use of an appropriate credit spread test (in application of the comparable approach): the credit spread of such instruments is measured on the basis of liquid instruments with similar characteristics for which official data are available. The sources from which such data may be drawn are, in hierarchical order: 1. listed liquid (benchmark) securities of the same issuer; 2. credit default swaps on the same reference entity; and 3. listed liquid securities of an issuer with the same rating and belonging to the same segment. In any event, the differing seniority of the security to be priced with respect to the issuer’s debt structure is always taken into account.

When pricing an unlisted security, any lesser liquidity associated with the security is taken into account, considered as an additional negative premium (with respect to the benchmarks and CDSs from which credit spreads representing liquid securities are drawn) to be paid to the counterparty in event of the disposal of the security on the market. It is periodically estimated through back-testing on the prices of less liquid securities by verifying the spreads on new issues and recent significant transactions undertaken with counterparties of high standing. The result is the identification of a matrix of illiquidity premiums determined according to the rating and segment of operation of the issue and the maturity of the security, which is added to the credit spread described above.

2. Pricing models for interest-rate, exchange-rate, equity and inflation derivatives Interest-rate, exchange-rate, equity and inflation derivatives, where not traded on regulated markets, are over-the-counter (OTC) instruments, i.e. traded bilaterally with market counterparties, and are measured through the use of specific pricing models, driven by input parameters (such as rate curves, exchange rates and volatilities) observed on the market and subject to the monitoring process described above. In terms of the fair value hierarchy, the prices thus determined are attributable to the comparable approach category. The following table illustrates the main models used for the pricing of OTC derivatives according to the class of the underlying asset.

Class of underlying assets Pricing models Main input parameters of models Interest Rates Net Present Value, Black, SABR, Libor Market Interest rate curves (deposits, FRA, Futures, Model, Hull-White with 1 and 2 factors, OIS, swap, basis swap, Rendistato basket), Mixing of the Hull-White with 1 and 2 factors, cap/floor/swaption option volatility, Lognormal Bivariate, Rendistato correlation between interest rates Foreign exchange Net present Value FX, Garman-Kohlhagen, Interesr rate curves, spot and forward FX, Lognormal with uncertain volatility (LMUV) FX volatility Equity Net Present Value Equity, Generalised Interest rate curves, underlying asset Black-Scholes, Heston, Jump Diffusion spot rate, interest rate curves, expected dividends, underlying asset volatility and correlation between underlying assets, “quanto” volatility and correlations Inflation Bifactorial Inflation Nominal and inflation interest rate curves, interest and inflation rate volatility, seasonality ratios of CPI, correlation between inflation rates Commodity Net present Value Commodity, Generalised Intererest rate curves, spot rate, forward Black-Scholes, Independent Forward and futures of underlying assets, underlying asset volatility and correlation between underlying assets, “quanto” volatility and correlations

In addition, in determining fair value, not only must market factors and the nature of the contract (duration, technical form, etc.) be considered, but also the counterparty’s credit quality. In further detail, the following are contemplated: – mark-to-market, or the pricing determined using risk-free curves; and – fair value, which takes account of the counterparty’s credit risk and the contract’s future exposures.

167 Notes to the financial statements - Part E – Information on risks and hedging policies

The difference between fair value and mark-to-market – known as the Credit Risk Adjustment (CRA) – coincides with the current discounted value of the expected future loss, considering that the variability of the future exposure is linked to that of the markets. Said method is applied as follows: – in the case of positive net present exposure, the CRA is calculated starting from the latter, from market spreads and in function of the average residual life of the contract; or – in the case of net present exposure close to zero or negative, CRA is determined assuming that the future exposure may be estimated through Basel 2 add-on factors.

3. The pricing model for structured credit products Where significant prices (level 1, effective market quotes) are not available for ABSs, the Bank makes use of measurement techniques that take account of parameters observable on the market (level 2, comparable approach). Spreads are drawn from new issues and/or surveyed with major investment houses, verifying the consistency of such measurements with prices drawn from the market (level 1). In addition to these quantitative controls, price formation or review is further strengthened by a qualitative analysis of the performance of underlying assets available from periodic investor reports. In addition, a further step is included that takes account of the illiquidity to which unlisted securities are exposed with respect to those listed on active markets, and appropriate penalties in terms of basis points per year are consequently added to spreads. Said penalties are identified according to the complexity of the structure, the rating assigned and the segment of collateral. Lastly, the prices thus calculated are back-tested with respect to effective sale prices to verify their consistency with levels expressed by the market.

The pricing of CDOs is determined through the use of a quantitative model that estimates losses on collateral by means of an approach that simulates the associated cash flows by drawing on copula functions. The most significant factors considered in the simulation – for individual collateral – are the risk-neutral probabilities of default derived from market spreads, recovery rates, correlations between the values of collateral present in the structure and the expected residual lives of contracts. The measurement process for spreads incorporates all market input in as timely a manner as possible: synthetic indices such as the ABX, consensus parameters prepared by multi-source platforms and market spread estimates made available by leading dealers are thus used. The Market Data Reference Guide, which contains the data sources for credit spreads, has also been expanded to include specific policies for other input data such as correlations and recovery rates.

Adjustments adopted to reflect model risk and other measurement uncertainties In general, model risk consists of the possibility that the measurement of a complex instrument is materially sensitive to the choice of a model. In fact, since there are often alternative models that may be used to price the same instrument, and since there is no standard practice on the market for measuring complex financial instruments, it is possible that models that price elementary instruments as having the same quality may nonetheless give rise to different prices for exotic instruments. In such cases, where possible, the alternative models are compared and, where necessary, the model inputs are subjected to stress, thereby obtaining information useful in quantifying fair value adjustments. Such adjustments, expressed in terms of measurable financial indicators (vega, delta and correlation shift), are periodically reviewed, including in light of market changes, or the introduction of new liquid instruments, different calculation methods and, in general, methodological refinements, which may also lead to substantial changes to the selected models and the implementation thereof.

168 Notes to the financial statements - Part E – Information on risks and hedging policies

These fair value adjustments due to model risks are part of a Mark-to-Market Adjustment Policy adopted in order to contemplate other factors that may have an impact on measurement, in addition to the model risk illustrated above. These other factors are, essentially: – a high and/or complex risk profile; – the illiquidity of positions determined by temporary or structural market conditions or in relation to the amount of the values held (in the case of excessive concentration); and – difficulty in measurement due to the absence of available liquid market parameters.

In further detail, where a product is illiquid, its fair value is adjusted.

Said adjustment is generally largely insignificant for securities the valuation of which is provided directly by the market. To this end, listed securities featuring a high level of liquidity are measured directly at mid-price, whereas listed securities with a low level of liquidity and unlisted securities are measured according to the bid price for long positions and the ask price for short positions. Conversely, the adjustment of derivatives the fair value of which is determined according to a measurement technique may be calculated according to different methods depending on the availability on the market of bid and ask quotes for products having similar characteristics in terms of type, underlying asset, currency, maturity and volumes exchanged to be used as a benchmark. Where none of the foregoing indications is available, the process relies on stressing model input parameters deemed relevant.

The primary factors deemed illiquid (in addition to those used as inputs for the measurement of structured credit products, as discussed above), for which the respective adjustments were calculated, are: the correlations of CMS spread options, certain inflation rates, Rendistato and the volatility of one- and 12-month Euribor caps/floors.

The adjustment management process is formally established in appropriate calculation methods depending on the varying configurations of the foregoing items. Release is contingent on the discontinuation of the factors indicated above and is supervised by the Risk Management Department.

Such processes are a combination of strictly specified quantitative elements and qualitative elements necessarily derived from management assessments.

2.2 Interest-rate and price risk - banking book

Qualitative information

General aspects, interest rate risk and price risk management processes and measurement methods Banca IMI’s banking book transactions refer to the issuance of bonds and the portfolio of AFS assets consisting of government bonds.

Banca IMI’s bonds are subject to two different accounting treatments depending on their characteristics and the risk management methods applied to them: – bonds carried at amortised cost: this category includes bonds the returns on which are correlated to the performance of interest rates, exchange rates and/or the baskets of equities. Such bonds are stated under liability caption 30, “Securities issued”; – bonds carried at fair value: this category includes bonds the returns on which are correlated to the performance of baskets of UCIs in which the funds originally raised are invested. Said bonds are stated under liability caption 50, “Financial liabilities carried at fair value”.

All assets in the AFS portfolio are initially recognised at their settlement date fair values. Thereafter, they are accounted for according to the amortised cost method on the basis of their residual contractual lives. Such assets are measured through shareholders’ equity reserves.

169 Notes to the financial statements - Part E – Information on risks and hedging policies

From a management standpoint, all risks arising from the type of transactions described above are hedged through the use of transactions in financial instruments undertaken with parties unrelated to the Bank. It should also be noted that the Bank takes an integrated approach to monitoring its exposure to interest-rate risk for both the regulatory trading book and regulatory banking book.

Fair value hedging From an accounting standpoint, the Bank has set the goal of immunising its income statement against interest-rate risk. For this reason, the accounting treatment adopted for bonds carried at amortised cost and a part of the debt securities in the AFS portfolio calls for hedge accounting solely for changes in fair value associated with interest rates.

When a bond is issued or a security is purchased for the AFS portfolio, the derivative contract entered into to hedge interest-rate risk is tested for efficacy according to a method compliant with international accounting standards. Such tests are repeated by the Parent Company’s Risk Management Department quarterly, including on a prospective basis.

Where efficacy tests yield positive results, the revaluation of the hedged liabilities and the associated underlying derivative is recognised through caption 90 of the income statement, “Profits (Losses) on hedging”.

When efficacy tests yield negative results for bonds: – extinguishment of the hedged instrument - the changes in the fair value of the derivative from the date in which it was determined to be ineffective to the date of discharge are recognised through caption 80 of income statement, “Profits (Losses) on trading”. Said caption also includes profits and losses on the early redemption of a bond. – no extinguishment of the hedged instrument - the security is amortised for accounting purposes on the basis of the internal rate of return of the value adjustments applied over the life of the hedge. Such amortisation process begins on the date of the latest efficacy test passed and refers to the value adjustment recognised after said date.

Cash flow hedging The Bank has not engaged in cash flow hedging.

Bonds carried at fair value The fair value option has been applied to bonds the return on which is correlated to baskets of mutual funds and in connection with which the Bank undertakes initial hedging of financial risk through direct investment in the underlying assets, also carried at fair value, in order to replicate their performance. Such bonds may be broken down, from the standpoint of financial risks, into a forward sale of synthetic indices and a put option with a strike price equal to the nominal value of the funds, plus the minimum return.

The settlement of this type of bond calls for the payment to the holder of a redemption premium at maturity or the date of exercise of the early redemption clause. Said redemption premium is calculated according to the appreciation of a reference basket (hereinafter the “basket”) consisting of bond and/or equity mutual funds and a bond having an identical cash-out profile to that of any guaranteed coupons and the redemption price guaranteed to the holder in the rules and procedures of the bond issue.

The composition of the basket over the life of the bond, in terms of the percent weight of the three categories indicated (equity funds, bond funds and bonds), varies according to the predetermined rules that tend to overweight the percentage of equity funds when equity markets are bullish, and to overweight the percentage of bond funds and bonds where equity markets are bearish2.

2 The original percentage of the investment in funds may range from a minimum of 50% to a maximum of 100% of the basket’s original value and, subsequently, vary over the course of the life of the bond according to the security’s predetermined rules and procedures.

170 Notes to the financial statements - Part E – Information on risks and hedging policies

Quantitative information

1. Banking book: breakdown by residual maturity (repricing date) of financial assets and liabilities

Currency: EUR

On up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermined demand

1. On-balance sheet assets 5,293,983 51,142,351 8,185,798 1,049,791 970,558 130,199 178,660 - 1.1 Debt securities - early repayment option ------other - 1,261,539 1,119,419 634,511 865,457 92,267 178,660 - 1.2 Due from banks 2,941,135 41,570,275 5,889,622 315,167 105,101 - - - 1.3 Due from customers - checking accounts 62,644 ------other - early repayment option 1,190,838 4,052,125 905,952 11,839 - - - - - other 1,099,366 4,258,412 270,805 88,274 - 37,932 - - 2. On-balance sheet liabilities 4,804,116 42,595,771 12,270,018 8,314,916 4,027,932 148,309 - - 2.1 Due to customers - checking account 66,299 ------other - early repayment option ------other 13,116 6,786,024 418,399 222,253 - - - - 2.2 Due to banks - checking account 210,145 ------other 3,835,276 17,576,086 1,432,365 838,657 - - - - 2.3 Debt securities - early repayment option ------other 679,280 18,233,661 10,419,254 7,254,006 4,027,932 148,309 - - 2.4 Other liabilities - early repayment option ------other ------3. Financial derivatives - 32,722,799 13,529,726 13,430,295 10,047,273 309,451 250,076 - 3.1 With underlying asset - Option + Long position ------+ Short position ------Other derivatives + Long position ------+ Short position ------3.2 Without underlying asset - Option + Long position - - 1,896,863 - 1,896,863 - - - + Short position - - 1,896,863 - 1,896,863 - - - - Other derivatives + Long position - 14,036,827 5,078,037 6,898,173 5,054,596 212,451 71,000 - + Short position - 18,685,972 4,657,963 6,532,122 1,198,951 97,000 179,076 -

171 Notes to the financial statements - Part E – Information on risks and hedging policies

Currency: USD

On up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermined demand

1. On-balance sheet assets 355,974 596,146 152,346 - 37,060 135,607 - - 1.1 Debt securities - early repayment option ------other - 114,717 - - 37,060 135,607 - - 1.2 Due from banks 221,408 266,739 ------1.3 Due from customers - checking accounts 127,920 ------other - early repayment option 2,572 160,379 152,346 ------other 4,074 54,311 ------2. On-balance sheet liabilities 336,067 394,923 160,524 - - - - - 2.1 Due to customers - checking account 20,041 ------other - early repayment option ------other 29 142,170 ------2.2 Due to banks - checking account 308,893 ------other 7,104 252,753 160,524 - - - - - 2.3 Debt securities - early repayment option ------other ------2.4 Other liabilities - early repayment option ------other ------3. Financial derivatives - 168,388 - - 86,842 143,324 - - 3.1 With underlying asset - Option + Long position ------+ Short position ------Other derivatives + Long position ------+ Short position ------3.2 Without underlying asset - Option + Long position - - - - 24,711 6,178 - - + Short position - - - - 24,711 6,178 - - - Other derivatives + Long position - 168,388 ------+ Short position - - - - 37,420 130,968 - -

172 Notes to the financial statements - Part E – Information on risks and hedging policies

Currency: GBP

On up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermined demand

1. On-balance sheet assets 67,551 55,246 ------1.1 Debt securities - early repayment option ------other ------1.2 Due from banks 56,762 16,549 ------1.3 Due from customers - checking accounts 10,259 ------other - early repayment option 202 32,838 ------other 328 5,859 ------2. On-balance sheet liabilities 44,716 180,500 198,611 - - - - - 2.1 Due to customers - checking account 42,451 ------other - early repayment option ------other ------2.2 Due to banks - checking account 2,178 ------other 87 180,500 198,611 - - - - - 2.3 Debt securities - early repayment option ------other ------2.4 Other liabilities - early repayment option ------other ------3. Financial derivatives ------3.1 With underlying asset - Option + Long position ------+ Short position ------Other derivatives + Long position ------+ Short position ------3.2 Without underlying asset - Option + Long position ------+ Short position ------Other derivatives + Long position ------+ Short position ------

173 Notes to the financial statements - Part E – Information on risks and hedging policies

Currency: JPY

On up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermined demand

1. On-balance sheet assets 63,686 ------1.1 Debt securities - early repayment option ------other ------1.2 Due from banks 57,544 ------1.3 Due from customers - checking accounts 5,332 ------other - early repayment option ------other 810 ------2. On-balance sheet liabilities 1,146 20,249 ------2.1 Due to customers - checking account 994 ------other - early repayment option ------other ------2.2 Due to banks - checking account 152 ------other - 20,249 ------2.3 Debt securities - early repayment option ------other ------2.4 Other liabilities - early repayment option ------other ------3. Financial derivatives ------3.1 With underlying asset - Option + Long position ------+ Short position ------Other derivatives + Long position ------+ Short position ------3.2 Without underlying asset - Option + Long position ------+ Short position ------Other derivatives + Long position ------+ Short position ------

174 Notes to the financial statements - Part E – Information on risks and hedging policies

Currency: Other currencies

On up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermined demand

1. On-balance sheet assets 146,077 19,048 ------1.1 Debt securities - early repayment option ------other ------1.2 Due from banks 134,956 7,629 ------1.3 Due from customers - checking accounts 10,538 ------other - early repayment option 250 11,419 ------other 333 ------2. On-balance sheet liabilities 10,824 198,963 ------2.1 Due to customers - checking account 5,775 ------other - early repayment option ------other ------2.2 Due to banks - checking account 4,805 ------other 244 198,963 ------2.3 Debt securities - early repayment option ------other ------2.4 Other liabilities - early repayment option ------other ------3. Financial derivatives ------3.1 With underlying asset - Option + Long position ------+ Short position ------Other derivatives + Long position ------+ Short position ------3.2 Without underlying asset - Option + Long position ------+ Short position ------Other derivatives + Long position ------+ Short position ------

175 Notes to the financial statements - Part E – Information on risks and hedging policies

2.3 Exchange-rate risk

Qualitative information

General issues, management processes and assessment methods for exchange-rate risk “Exchange-rate risk” is defined as the possibility that fluctuations in market exchange rates may result in significant increases or decreases in the value of the Bank’s assets, understood as the fair value of the risk positions managed.

The organisational evolution of the Intesa Sanpaolo Group has resulted in the centralisation with Banca IMI of the specialised product units charged with spot and forward foreign exchange transactions and foreign exchange derivative products. In addition to the trading and proprietary portfolio, those units also operate on the Parent Company’s books under specific agreements with the CIB Division. They also guarantee the liquidity of the prices proposed to the Group’s other domestic commercial units, thereby providing support in managing the risks generated by those units in activity with customers.

Qualitative information on the trading book is included in the section on market risks set forth above.

Foreign exchange risk hedging activities The exchange-rate risk arising from the brokerage of securities and derivatives is measured at the level of each individual operational unit through the use of cash and derivative instruments. Any “open” positions are transferred by the individual units to the Treasury desk in order to optimise exchange-rate risk management at the overall level.

The primary risk mitigation strategy is securing funding in the same currency as assets through disbursal from the Parent Company or, alternatively, the synthetic transformation of funding into euro.

176 Notes to the financial statements - Part E – Information on risks and hedging policies

Quantitative information

1. Breakdown of assets, liabilities and derivatives by currency of denomination

Currencies US dollar Pound Yen Canadian Swiss Other sterling dollar franc currencies A. Financial assets A.1 - Debt securities 881,950 33,093 - 201 396 55,161 A.2 - Equities 55,468 8,663 3,757 - 19,966 776 A.3 - Due from banks 349,718 32,652 12,626 1,755 5,129 49,694 A.4 - Loans to customers 554,605 382,770 6,142 5,420 22,390 25,530 A.5 - Other financial assets ------B. Other assets 151,623 443 - - 8 779 C. Financial liabilities C.1 - Due to banks 816,569 383,861 20,545 5,163 49,907 152,572 C.2 - Due to customers 164,190 42,451 994 149 4,054 1,573 C.3 - Debt securities ------C.4 - Other financial liabilities ------D. Other liabilities 1,405 69 - - - 802 E. Financial derivatives - Options + long positions 1,077,915 123,170 115,892 17,172 138,468 47,872 + short positions 1,871,625 79,056 121,545 78 93,499 44,835 - Other derivatives + long positions 8,029,484 2,571,022 153,922 2,679 845,668 9,117 + short positions 7,567,691 2,573,210 206,802 20,998 829,544 12,143 Total assets 11,100,763 3,151,813 292,339 27,227 1,032,025 188,929

Total liabilities 10,421,480 3,078,647 349,886 26,388 977,004 211,925

Imbalance (+/-) 679,283 73,166 (57,547) 839 55,021 (22,996)

Changes in exchange rates after year-end did not result in significant effects on the income statement. The following table summarises exchange rates between the euro and the main currencies in which assets and liabilities are denominated, at year-end and 4 March 2011, respectively.

Currency Code 31.12.2010 4.03.2011 Change US Dollar USD 1.3362 1.3957 0.05950 Pound sterling GBP 0.8608 0.8580 (0.00275) Swiss Franc CHF 1.2504 1.3000 0.04960 Japan Yen JPY 108.6500 115.6300 6.98000 Czech Republic Crown CZK 25.0610 24.3120 (0.74900) Hungary forint HUF 277.9500 271.9500 (6.00000) Poland Zloty PLN 3.9750 3.9900 0.01500 Turkey New Lira TRY 2.0694 2.2303 0.16090 South Africa Rand ZAR 8.8625 9.6543 0.79180

177 Notes to the financial statements - Part E – Information on risks and hedging policies

2.4 Derivatives

A. FINANCIAL DERIVATIVES

A.1 Regulatory trading book: period-end and average notional values

Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house 1. Debt securities and interest rates a) Options 389,467,043 126,555,188 450,286,079 204,509,267 b) Swaps 1,652,652,176 - 2,152,114,728 - c) Forwards 627,994,880 - - - d) Futures - 79,025,450 - 143,807,980 e) Other - - - - 2. Equities and indices a) Options 36,360,075 15,975,252 48,480,054 11,930,572 b) Swaps 108,529 - 311,499 - c) Forwards 238,150 - 91,183 - d) Futures - 1,643,763 - 673,319 e) Other - - - - 3. Currencies and gold a) Options 11,495,457 - 5,913,642 - b) Swaps 17,189,336 - 12,180,368 - c) Forwards 3,659,917 - 1,853,126 - d) Futures - 4,880 - 11,080 e) Other - - - - 4. Commodities 2,636,268 1,512,683 1,091,143 821,039 5. Other underlying assets - - - - Total 2,741,801,831 224,717,216 2,672,321,822 361,753,257

Average 2,707,061,827 293,235,237 2,446,141,557 537,115,223

178 Notes to the financial statements - Part E – Information on risks and hedging policies

A.2 Banking book: period-end and average notional values

A.2.1 Hedging

Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house 1. Debt securities and interest rates a) Options 3,793,726 - 3,400,000 - b) Swaps 31,519,472 - 25,606,118 - c) Forwards - - - - d) Futures - - - - e) Other - - - - 2. Equities and indices a) Options - - - - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - - 3. Currencies and gold a) Options - - - - b) Swaps - - - - c) Forwards - - 21,193 - d) Futures - - - - e) Other - - - - 4. Commodities - - - - 5. Other underlying assets - - - - Total 35,313,198 - 29,027,311 -

Average 32,170,255 - 19,210,521 -

179 Notes to the financial statements - Part E – Information on risks and hedging policies

A.2.2 Other derivatives

Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house 1. Debt securities and interest rates a) Options - - - - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - - 2. Equities and indices a) Options 2,711,717 - 2,731,853 - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - - 3. Currencies and gold a) Options 30,889 - - - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - - 4. Commodities - - - - 5. Other underlying assets - - - - Total 2,742,606 - 2,731,853 -

Average 2,737,230 - 2,611,705 -

180 Notes to the financial statements - Part E – Information on risks and hedging policies

A.3 Financial derivatives: gross positive fair value - breakdown by product

Positive fair value Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house A. Regulatory trading book a) Options 5,780,778 675,583 5,481,706 738,572 b) Swaps 32,874,817 - 38,902,071 - c) Cross currency swaps 1,513,370 - 1,582,755 - d) Equity swaps 3,725 - 39,004 - e) Forwards 109,162 - 58,027 - f) Futures - 105,107 - 160,627 e) Other 32,362 - 25,476 - B. Banking book portfolio - hedging a) Options 188,110 - 203,434 - b) Swaps 799,246 - 682,711 - c) Cross currency swaps - - - - d) Equity swaps - - - - e) Forwards - - 520 - f) Futures - - - - e) Other - - - - C. Banking book portfolio - other a) Options 12,157 - 720 - b) Swaps - - - - c) Cross currency swaps - - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - - Total 41,313,727 780,690 46,976,424 899,199

181 Notes to the financial statements - Part E – Information on risks and hedging policies

A.4 Financial derivatives: gross negative fair value - breakdown by product

Negative fair value Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house A. Regulatory trading book a) Options 6,820,431 580,389 6,142,827 605,275 b) Swaps 34,145,234 - 39,596,120 - c) Cross currency swaps 1,560,972 - 1,576,531 - d) Equity swaps 12,234 - 38,406 - e) Forwards 59,457 - 17,815 - f) Futures - 93,858 - 47,804 e) Other 101,726 - 63,031 - B. Banking book portfolio - hedging a) Options 172,677 - 197,363 - b) Swaps 414,245 - 471,338 - c) Cross currency swaps - - - - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - - C. Banking book portfolio - other a) Options 314,660 - 306,193 - b) Swaps - - - - c) Cross currency swaps - - - - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - - Total 43,601,636 674,247 48,409,624 653,079

The two foregoing tables contemplate the fair value of all outstanding contracts, whether on margin or not on margin.

182 Notes to the financial statements - Part E – Information on risks and hedging policies

A.5 OTC financial derivatives - regulatory trading book: notional values, gross positive and negative fair values by counterparty - contracts not based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies 1) Debt securities and interest rates - notional amount 200,000 - 13,031,837 6,652,539 4,069,247 1,880,333 - - positive fair value 5,831 - 524,253 181,308 27,830 39,396 - - negative fair value - - (229,340) (450,298) (69,097) (9,960) - - future exposure - - 68,352 73,022 17,686 13,953 - 2) Equity and indices - notional amount - - 2,740,386 191,280 5,276,576 - - - positive fair value - - 19,102 6,577 1,909 - - - negative fair value - - (1,600,293) (1,362) (37,146) - - - future exposure - - 18,016 2,073 5,131 - - 3) Currencies and gold - notional amount - - 124,856 210,807 1,310 44,903 - - positive fair value - - 4,753 78 9,647 130 - - negative fair value - - (101,150) (4,129) (31) (1,711) - - future exposure - - 806 15,083 1 1,048 - 4) Other - notional amount - - 14,060 - - 353,111 - - positive fair value - - 1,475 - - - - - negative fair value - - (4,070) - - (22,301) - - future exposure - - 1,466 - - 35,311 -

183 Notes to the financial statements - Part E – Information on risks and hedging policies

A.6 OTC financial derivatives - regulatory trading book: notional values, gross positive and negative fair values by counterparty - contracts based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies 1) Debt securities and interest rates - notional amount 2,150,000 - 1,892,148,492 748,047,123 12,500 1,018,250 - - positive fair value 465,892 - 34,246,073 2,099,238 - 31,891 - - negative fair value (7,540) - (35,160,736) (2,218,386) (886) (14,423) - 2) Equity and indices - notional amount - - 19,676,533 8,821,980 - - - - positive fair value - - 548,399 195,520 - - - - negative fair value - - (703,408) (206,581) - - - 3) Currencies and gold - notional amount 748,391 - 25,269,221 4,163,115 400,813 140,625 - - positive fair value 381,399 - 1,183,790 172,401 133,532 2,811 - - negative fair value - - (1,374,055) (401,654) - (2,438) - 4) Other - notional amount - - 2,123,846 105,134 - 40,117 - - positive fair value - - 23,610 824 - 6,545 - - negative fair value - - (73,518) (5,541) - - -

184 Notes to the financial statements - Part E – Information on risks and hedging policies

A.7 OTC financial derivatives - banking book: notional values, gross positive and negative fair values by counterparty - contracts not based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies 1) Debt securities and interest rates - notional amount ------positive fair value ------negative fair value ------future exposure ------2) Equity and indices - notional amount - - 2,711,717 - - - - - positive fair value - - 1,928 - - - - - negative fair value - - (301,975) - - - - - future exposure ------3) Currencies and gold - notional amount - - 30,889 - - - - - positive fair value - - 10,229 - - - - - negative fair value - - (12,685) - - - - - future exposure ------4) Other - notional amount ------positive fair value ------negative fair value ------future exposure ------

185 Notes to the financial statements - Part E – Information on risks and hedging policies

A.8 OTC financial derivatives - banking book: notional values, gross positive and negative fair values by counterparty - contracts based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies 1) Debt securities and interest rates - notional amount - - 34,326,230 986,968 - - - - positive fair value - - 987,287 69 - - - - negative fair value - - (513,439) (73,483) - - - 2) Equity and indices - notional amount ------positive fair value ------negative fair value ------3) Currencies and gold - notional amount ------positive fair value ------negative fair value ------4) Other - notional amount ------positive fair value ------negative fair value ------

A.9 Residual maturity of OTC financial derivatives: notional values

Up to 1 year Between 1 Over 5 Total and 5 years years

A. Regulatory trading book A.1 Financial derivatives on debt securities and interest rates 1,026,938,985 984,997,259 658,177,855 2,670,114,099 A.2 Financial derivatives on equities and stock indices 6,147,932 26,306,855 4,251,967 36,706,754 A.3 Financial derivatives on foreign exchange 16,904,093 4,212,436 11,228,181 32,344,710 rates and gold A.4 Financial derivatives - other 1,416,738 1,219,530 - 2,636,268 B. Banking book B.1 Financial derivatives on debt securities and interest rates 8,492,610 22,048,799 4,771,789 35,313,198 B.2 Financial derivatives on equities and stock indices 1,079 2,560,055 150,583 2,711,717 B.3 Financial derivatives on foreign exchange - 24,711 6,178 30,889 rates and gold B.4 Financial derivatives - other - - - - Total 31 December 2010 1,059,901,437 1,041,369,645 678,586,553 2,779,857,635

Total 31 December 2009 1,027,773,474 1,036,640,072 639,667,440 2,704,080,986

A.10 OTC financial derivatives: counterparty/financial risk - Internal models

At the date of approval of these financial statements, plans to implement an internal model for counterparty risk were in the final stages. The validation process for regulatory purposes is expected to be completed by the fourth quarter of 2011.

186 Notes to the financial statements - Part E – Information on risks and hedging policies

B. CREDIT DERIVATIVES

B.1 Credit derivatives: period-end and average notional values

Regulatory trading book Other operations single various single various counterparty counterparties counterparty counterparties (basket) (basket)

1. Protection purchases a) Credit default products 25,225,396 24,722,004 - - b) Credit spread products - - - - c) Total rate of return swap 1,079,176 - - - d) Other - 168,404 - - TOTAL 31 DECEMBER 2010 26,304,572 24,890,408 - -

AVERAGE VALUES 23,036,640 36,427,078 - -

TOTAL 31 DECEMBER 2009 19,768,708 47,963,748 - - 2. Protection sales a) Credit default products 23,513,966 24,432,331 - - b) Credit spread products - - - - c) Total rate of return swap 354,047 - - - d) Other - 148,237 - - TOTAL 31 DECEMBER 2010 23,868,013 24,580,568 - -

AVERAGE VALUES 20,919,670 36,124,913 - -

TOTAL 31 DECEMBER 2009 17,971,326 47,669,258 - -

B.2 OTC credit derivatives: gross positive fair value - breakdown by product

Positive fair value Total 2010 Total 2009 A. Regulatory trading book a) Credit default products 1,543,664 1,612,830 b) Credit spread products - - c) Total rate of return swap 409,069 302,163 d) Other 3,953 - B. Banking book a) Credit default products - - b) Credit spread products - - c) Total rate of return swap - - d) Other - - Total 1,956,686 1,914,993

187 Notes to the financial statements - Part E – Information on risks and hedging policies

B.3 OTC credit derivatives: gross negative fair value - breakdown by product

Negative Fair value Total 2010 Total 2009 A. Regulatory trading book a) Credit default products 1,537,098 1,629,650 b) Credit spread products - - c) Total rate of return swap 235,578 295,698 d) Other 5,337 - B. Banking book a) Credit default products - - b) Credit spread products - - c) Total rate of return swap - - d) Other - - Total 1,778,013 1,925,348

B.4 OTC credit derivatives: gross (positive and negative) fair values by counterparty - contracts not based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies

Regulatory trading book 1) Protection purchases - notional amount - - 2,038,243 78,925 - - - - positive fair value - - 28,154 2,528 - - - - negative fair value - - (1,281) (3) - - - - future exposure - - 92,548 4,508 - - - 2) Protection sales - notional amount - - - 356,047 - - - - positive fair value - - - 232,706 - - - - negative fair value - - - (214,423) - - - - future exposure - - - 19,758 - - - Banking book 1) Protection purchases - notional amount ------positive fair value ------negative fair value ------2) Protection sales - notional amount ------positive fair value ------negative fair value ------

188 Notes to the financial statements - Part E – Information on risks and hedging policies

B.5 OTC credit derivatives: gross (positive and negative) fair values by counterparty - contracts based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies

Regulatory trading book 1) Protection purchases - notional amount - - 37,344,306 11,733,506 - - - - positive fair value - - 874,186 372,290 - - - - negative fair value - - (254,531) (76,153) - - - 2) Protection sales - notional amount - - 36,996,802 11,095,732 - - - - positive fair value - - 247,373 199,450 - - - - negative fair value - - (757,647) (473,974) - - - Banking book 1) Protection purchases - notional amount ------positive fair value ------negative fair value ------2) Protection sales - notional amount ------positive fair value ------negative fair value ------

B.6 Residual maturity of credit derivatives: notional values

Up to Between Over 5 Total 1 year 1 and 5 years years

A. Regulatory trading book A.1 Credit derivatives with "qualified reference obligation" 4,073,891 78,075,236 6,532,746 88,681,873 A.2 Credit derivatives with "unqualified reference obligation" 964,431 9,864,449 132,808 10,961,688 B. Banking book B.1 Credit derivatives with "qualified reference obligation" - - - - B.2 Credit derivatives with "unqualified reference obligation" - - - - TOTAL 31 DECEMBER 2010 5,038,322 87,939,685 6,665,554 99,643,561

TOTAL 31 DECEMBER 2009 7,824,323 117,650,117 7,898,600 133,373,040

189 Notes to the financial statements - Part E – Information on risks and hedging policies

C. CREDIT AND FINANCIAL DERIVATIVES

C.1 OTC credit and financial derivatives: net fair values and future exposure by counterparty

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies

1) Bilateral agreements on financial derivatives - positive fair value 839,751 - 1,613,751 208,312 133,532 34,435 - - negative fair value - - (1,401,160) (453,207) (886) (10,049) - - future exposure 37,284 - 956,384 1,877,613 30,136 8,348 - - net counterparty risk 877,035 - 1,156,970 259,561 163,668 42,783 - 2) Bilateral agreements on credit derivatives - positive fair value - - - 500 - - - - negative fair value - - - (25) - - - - future exposure - - - 750 - - - - net counterparty risk - - - 1,250 - - - 3) "Cross product" agreements - positive fair value - - 2,363,707 205,930 - - - - negative fair value - - (3,302,915) (377,490) - - - - future exposure - - 3,996,550 621,286 - - - - net counterparty risk - - 3,708,690 577,695 - - -

Sezione 3 - LIQUIDITY RISK

Qualitative information

General issues, management processes and assessment methods for liquidity risk “Liquidity risk” is defined as the chance that the Bank may not be able to meet its commitments to make payments due to its inability to procure new funds (funding liquidity risk) or sell assets on the market to make up for the shortfall (market liquidity risk), or otherwise be forced to incur very high costs to meet its commitments.

The Finance and Treasury function within Banca IMI’s Capital Management unit is responsible for managing and controlling the Bank’s cash flows and compliance with the ratios set out in the Liquidity Policy approved in May 2010. It also oversees and develops the refinancing of the securities portfolio in coordination with the heads of other trading units and manages re-hedging of materiality in securities settlement. The desk supervises collateral in the form of cash and debt securities exchanged with counterparties in OTC derivatives transactions in order to optimise overall liquidity management.

The sole interlocutor for technical forms of funding on the unsecured money market is the Parent Company’s Central Treasury Department. A specific liquidity policy is currently being defined for Banca IMI to take account of the investment bank’s particular needs within the framework of the guidelines established in the liquidity policy adopted by Intesa Sanpaolo.

Intesa Sanpaolo also acts as custodian bank for the settlement of all transactions involving securities, OTC derivatives and derivatives listed on the IDEM market, both on a proprietary basis and on behalf of third

190 Notes to the financial statements - Part E – Information on risks and hedging policies parties, originated by the market rooms in Milan and London. The management of cash flows originating with customers towards clearing houses in listed foreign derivatives brokerage operations is supported by a leading bank’s global network.

Quantitative information

1. Breakdown of financial assets and liabilities by residual contractual maturity

Currency: EUR

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 15 days 1 and 3 and 6 months 1 and years cified 7 days days and 3 months 6 months and 5 years matu- 1 month 1 year rity On-balance-sheet assets 4,647,254 2,776,720 1,796,773 7,376,558 12,738,665 3,024,420 5,029,471 30,684,427 10,039,916 2,703 A.1 Government bonds 50,034 1,868 1,303 13,544 485,056 1,031,033 2,311,418 2,184,512 1,089,520 - A.2 Quoted debt securities 97,059 9,540 21,819 136,658 255,328 1,069,886 628,879 2,746,789 2,909,721 2,703 A.3 Quotas of UCITS 380,383 ------

A.4 Loans

- Banks 2,697,143 1,972,326 1,293,894 5,526,122 10,449,750 362,348 1,676,640 22,907,274 4,150,719 -

- Customers 1,422,635 792,986 479,757 1,700,234 1,548,531 561,153 412,534 2,845,852 1,889,956 - On-balance-sheet liabilities 4,788,303 7,205,755 1,462,270 5,996,073 18,378,577 1,598,488 2,701,981 25,344,892 7,189,692 - B.1 Deposits

- Banks 4,096,664 200,304 300,417 74,900 5,126,084 70,999 7,233 1,783,998 2,571,947 -

- Customers 664,542 - - 95,000 ------

B.2 Debt securities - - - 3,529,190 9,637,727 18,763 1,543,379 22,118,698 3,914,684 -

B.3 Other liabilities 27,097 7,005,451 1,161,853 2,296,983 3,614,766 1,508,726 1,151,369 1,442,196 703,061 - Off-balance sheet transactions 87,086,983 12,174,583 181,060 816,776 6,538,267 5,142,389 4,534,800 62,863,896 19,940,185 - C.1 Financial derivatives with exchange of capital - Long positions 103,754 2,215,234 91,814 144,534 3,235,481 1,591,854 1,203,396 2,289,975 6,978,477 -

- Short positions 300,340 3,219,623 89,246 265,882 2,577,440 1,742,326 1,648,952 1,781,918 6,619,033 - C.2 Financial derivatives without exchange of capital - Long positions 38,087,250 ------

- Short positions 40,219,920 ------C.3 Deposits and loans to be settled - Long positions 3,419,563 ------

- Short positions - 3,219,170 - 100,546 99,846 - - - - - C.4 Irrevocable commitments to lend funds - Long positions - 3,520,556 - 155,814 316,500 913,460 853,620 29,367,588 3,418,771 -

- Short positions 4,956,156 - - 150,000 309,000 894,749 828,832 29,424,415 2,923,904 - C.5 Financial guarantees given ------

191 Notes to the financial statements - Part E – Information on risks and hedging policies

Currency: USD

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 15 days 1 and 3 and 6 months 1 and years cified 7 days days and 3 months 6 months and 5 years matu- 1 month 1 year rity On-balance-sheet assets 265,348 105,986 28,042 14,048 241,083 59,738 40,597 582,292 536,017 38 A.1 Government bonds 2,081 - 10 - 73 1,844 309 122,983 160,015 - A.2 Quoted debt securities 9,093 - - 12,759 48,542 19,449 15,307 320,393 216,716 38 A.3 Quotas of UCITS 35,460 ------

A.4 Loans

- Banks 81,181 50,421 28,032 - 188,286 - - - - -

- Customers 137,533 55,565 - 1,289 4,182 38,445 24,981 138,916 159,286 - On-balance-sheet liabilities 340,405 256,067 - 7,877 8 - 15 75,630 282,204 - B.1 Deposits

- Banks 318,224 93,550 - - - - - 60,036 231,893 -

- Customers 22,017 ------

B.2 Debt securities ------

B.3 Other liabilities 164 162,517 - 7,877 8 - 15 15,594 50,311 - Off-balance sheet transactions 2,142,283 110,277 228,820 531,031 3,221,968 1,877,743 2,462,868 27,484,322 7,096,873 - C.1 Financial derivatives with exchange of capital - Long positions 177,049 62,754 93,866 269,722 1,416,959 948,012 1,159,873 1,099,683 3,012,581 -

- Short positions 73,370 42,524 134,954 252,329 1,805,009 914,763 1,066,503 1,286,821 3,244,288 - C.2 Financial derivatives without exchange of capital - Long positions 882,777 ------

- Short positions 971,528 ------C.3 Deposits and loans to be settled - Long positions ------

- Short positions ------C.4 Irrevocable commitments to lend funds - Long positions - 4,999 - 4,490 - 7,484 114,504 11,721,972 432,131 -

- Short positions 37,559 - - 4,490 - 7,484 121,988 13,375,846 407,873 - C.5 Financial guarantees given ------

192 Notes to the financial statements - Part E – Information on risks and hedging policies

Currency: GBP

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 15 days 1 and 3 and 6 months 1 and years cified 7 days days and 3 months 6 months and 5 years matu- 1 month 1 year rity On-balance-sheet assets 27,820 631 - 3,572 35,599 1,143 12,373 266,791 104,597 - A.1 Government bonds ------A.2 Quoted debt securities 1,095 - - - 12,516 - 9,665 2,003 11,962 - A.3 Quotas of UCITS 596 ------

A.4 Loans

- Banks 15,332 631 - - 15,917 - - - - -

- Customers 10,797 - - 3,572 7,166 1,143 2,708 264,788 92,635 - On-balance-sheet liabilities 45,287 18,589 - - 16 47 78,412 267,610 15,680 - B.1 Deposits

- Banks 3,113 18,589 - - - - 78,412 266,943 15,254 -

- Customers 42,174 ------

B.2 Debt securities ------

B.3 Other liabilities - - - - 16 47 - 667 426 - Off-balance sheet transactions 140,081 8,107 52 17,519 35,377 106,443 250,659 617,159 4,263,242 - C.1 Financial derivatives with exchange of capital - Long positions - 5,466 52 10,685 11,230 49,093 123,382 314,232 2,136,906 -

- Short positions - 2,641 - 6,834 24,147 57,350 127,277 302,927 2,126,336 - C.2 Financial derivatives without exchange of capital - Long positions 57,969 ------

- Short positions 82,112 ------C.3 Deposits and loans to be settled - Long positions ------

- Short positions ------C.4 Irrevocable commitments to lend funds - Long positions ------

- Short positions ------C.5 Financial guarantees given ------

193 Notes to the financial statements - Part E – Information on risks and hedging policies

Currency: JPY

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 15 days 1 and 3 and 6 months 1 and years cified 7 days days and 3 months 6 months and 5 years matu- 1 month 1 year rity On-balance-sheet assets 18,858 ------A.1 Government bonds ------A.2 Quoted debt securities ------A.3 Quotas of UCITS 108 ------

A.4 Loans

- Banks 12,608 ------

- Customers 6,142 ------On-balance-sheet liabilities 1,280 20,249 - - - - 9 - - - B.1 Deposits

- Banks 287 20,249 ------

- Customers 993 ------

B.2 Debt securities ------

B.3 Other liabilities ------9 - - - Off-balance sheet transactions 266,682 21,683 110,119 13,638 76,110 16,892 113,642 166,853 68,108 - C.1 Financial derivatives with exchange of capital - Long positions - 16,637 69,984 13,638 37,355 8,785 57,779 90,245 34,054 -

- Short positions - 5,046 40,135 - 38,755 8,107 55,863 76,608 34,054 - C.2 Financial derivatives without exchange of capital - Long positions 96,703 ------

- Short positions 169,979 ------C.3 Deposits and loans to be settled - Long positions ------

- Short positions ------C.4 Irrevocable commitments to lend funds - Long positions ------

- Short positions ------C.5 Financial guarantees given ------

194 Notes to the financial statements - Part E – Information on risks and hedging policies

Currency: Other currencies

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 15 days 1 and 3 and 6 months 1 and years cified 7 days days and 3 months 6 months and 5 years matu- 1 month 1 year rity On-balance-sheet assets 63,796 7,370 711 7,894 10,313 10,949 21,301 18,033 26,145 - A.1 Government bonds ------1 - A.2 Quoted debt securities 2,891 451 - 7,894 10,188 10,949 7,241 14,607 1,537 - A.3 Quotas of UCITS 1,018 ------

A.4 Loans

- Banks 48,783 6,919 711 ------

- Customers 11,104 - - - 125 - 14,060 3,426 24,607 - On-balance-sheet liabilities 10,901 173,699 - - - - 13,788 364 11,791 - B.1 Deposits

- Banks 5,338 173,699 - - - - 13,736 - 11,766 -

- Customers 5,555 ------

B.2 Debt securities ------

B.3 Other liabilities 8 - - - - - 52 364 25 - Off-balance sheet transactions 130,081 6,291 - 8,740 1,034,452 96,710 628,298 225,437 7,772 - C.1 Financial derivatives with exchange of capital - Long positions 17 2,967 - 8,437 516,214 54,199 323,803 95,816 513 -

- Short positions - 3,324 - 303 518,238 42,511 304,495 129,621 7,259 - C.2 Financial derivatives without exchange of capital - Long positions 68,197 ------

- Short positions 61,867 ------C.3 Deposits and loans to be settled - Long positions ------

- Short positions ------C.4 Irrevocable commitments to lend funds - Long positions ------

- Short positions ------C.5 Financial guarantees given ------

195 Notes to the financial statements - Part E – Information on risks and hedging policies

Sezione 4 - OPERATIONAL RISKS

Qualitative information

A. General aspects, management processes and assessment methods for operational risk Operational risk may be defined as the risk of sustaining losses due to the inadequacy or failure of processes, human resources and internal systems, or as a result of external events. Operational risk includes legal risk, namely the risk of losses deriving from breach of laws or regulations, contractual, out-of-contract responsibilities or other disputes; strategic and reputation risks are not included.

The Intesa Sanpaolo Group has defined an overarching framework for the management of operational risks by establishing rules and organisational procedures for assessing, managing and controlling these risks. Governance of operational risks is attributed to Banca IMI’s Board of Directors, which identifies the strategic orientations and management policies for risk and ensures the operation, efficiency and effectiveness of the operational risk management and control system. The General Manager ensures the accuracy and completeness of information flows with the aim of integrating the system for the measurement, management and control of operational risks into the Bank’s decision-making processes and management of operations.

The operational risk management function run by the Management Planning and Control Unit is the Decentralised Operational Risk Manager.

The latter, in coordination with the Parent Company’s Operational Risk Management function, is responsible for collecting and updating information on operational risks, the process of surveying exposure to operational risks and the generation of regular reports. In accordance with the requirements of applicable legislation, individual organisational units were involved in the process of surveying, managing and reporting operational events.

The integrated self-assessment process, which has been conducted on an annual basis since 2008, has allowed the Group to: – identify, measure, monitor and mitigate operational risk; and – create significant synergies with the specialised functions of the Organisation and Security Department that supervise the planning of operational processes and business continuity issues and with control functions (Compliance and Audit) that supervise specific regulations and issues (Legislative Decree 231/05, Law 262/05) or conduct tests of the effectiveness of controls of company processes.

The self-diagnosis procedure indicated the existence of good overall protection against operational risks and contributed to the spreading of a company culture aimed at constantly averting such risks.

The internal model for the calculation of capital absorption – not yet adopted for regulatory purposes – is conceived in such a way as to combine in a homogeneous manner all primary information sources both of a quantitative (internal and external historical loss data) and qualitative (scenario analysis and operational context assessment) nature.

The quantitative component is based on an analysis of historical data concerning internal events (recorded by organisational units, appropriately verified by the central function and managed by a dedicated IT system) and external events (the Operational Riskdata eXchange Association). The qualitative component (scenario analysis) focuses on the forward-looking assessment of the risk exposure of each unit and is based on the structured, organised collection of subjective estimates expressed directly by management with the aim of assessing the potential economic impact of particularly serious operational events.

Value-at-risk is therefore identified as the minimum amount at Group level required to bear the maximum potential loss (worst loss); value-at-risk is estimated using a Loss Distribution Approach model (actuarial statistical model to calculate the value-at-risk of operational losses), applied on quantitative data and the results of the scenario analysis assuming a one-year estimation period, with a confidence level of 99.90%; the methodology also applies a corrective factor, which derives from the qualitative analyses of the risk level of the evaluation of the business environment and internal control factors, to take account of the effectiveness of internal controls in the various business units.

196 Notes to the financial statements - Part E – Information on risks and hedging policies

Quantitative information

The integrated reporting system provides management with the information required to manage and/or mitigate the risks assumed.

The quantitative data surveyed by business units are analyzed by the Operational Risk Management function. These reports discuss the primary operational events detected during the reference period, analyze the performance of risk exposure over time, and compare the results with the losses estimate in the previous year’s scenario analysis. The proprietary scheme for the classification of operational events employed by the Bank is compliant with that established by the supervisory authority: – Unlawful actions by internal personnel: events attributable to voluntary action involving at least one person internal to the Bank and that result in damages (monetary losses) for the Bank. – Unlawful actions by external persons: events attributable to voluntary action taken solely by persons that may not be considered internal to the Bank, generally perpetrated in order to secure personal gain. – Staff relations and workplace safety: events attributable to the Bank’s relations with its staff or the non-compliance of the workplace with health and safety requirements; these include liabilities due to accidents suffered by employees in the Bank’s offices or using the Bank’s vehicles. – Commercial practices: events tied to services rendered and products supplied to customers executed improperly or negligently (including fiduciary requirements and adequate information concerning investments), or due to defects in the nature or characteristics of products/models/contracts. This category also includes claw-back suits in bankruptcy proceedings and liabilities due to the breach of public safety legislation or legislation not specific to the banking industry. – Disasters or other events: events deriving from natural causes or human actions that result in damages or injuries to company resources (property, equipment or intangible assets, persons, etc.) and/or the suspension of service, or other events (including improper conduct and/or actions by third-party companies that damage the Bank). This category also includes liabilities arising from political, legislative and fiscal changes effective retroactively. – Technological systems and services: events due to malfunctions, logical or structural flaws in technological systems and other support systems. – Execution, delivery and process management: events due to unintentional errors in the management of operational and support activity, or caused by counterparties other than customers and suppliers. This category also includes events related to the pricing models employed.

With respect to the Group’s Basel 2 project, in the area of operational risks, Banca IMI falls into the set of companies to which the Parent Company informed the supervisory authority in a note dated 20 September 2010 of its intention of extending the advanced management approach (AMA) for calculating operational risk requirements, as previously authorised for an “initial set” in Order 44017 on 20 January 2010. In 2010, Banca IMI continued to adopt the standard approach to determine its regulatory capital requirements, which amounted to approximately 172 million.

197 Notes to the financial statements - Part E – Information on risks and hedging policies

The following pie chart breaks down operational losses (in excess of the compulsory recording threshold set by the Group) recognised during the year by event type.

BREAKDOWN OF OPERATIONAL LOSSES IN 2010

IT Services and public utilities 0.31%

Execution, delivery and process management 99.69%

Legal risks The risks associated with legal disputes, potential disputes and any complaints received are subject to periodic analysis. Where there exist legal obligations in connection with which the Bank will likely be required to make a financial outlay, and the amount thereof may be reliably estimated, the appropriate provisions for risks and charges are recognised. The amount of such provisions is periodically adjusted to account for the evolution of the underlying risks.

In April 2007 a writ of summons was served by ten companies belonging to the Cirio Group (in extraordinary receivership) on Banca Caboto, the Parent Company and five other banks, seeking a finding of joint and several liability for damages caused by: – the aggravated default of the Cirio Group, favoured in part by the issuance of six bonds in the period 2000-2002; – the loss of standing for the extraordinary receiver to bring bankruptcy claw-back suits; and – the payment of fees for the placement of the various bonds.

In a judgment filed on 3 November 2009, the Court of Rome found that the Cirio Group’s claims were unfounded in the merits and therefore rejected them due to a failure to demonstrate a causal relationship between the defendants’ conduct and the cited damages. The claimants filed an appeal, and the trial was continued to 6 July 2011 at the first hearing.

198 Part F – Information on capital

Section 1 - SHAREHOLDERS’ EQUITY

A. Qualitative information

The objectives pursued in the management of the Bank’s equity are inspired by prudential supervisory provisions and aim to maintain adequate levels of capitalisation for the assumption of the risks typical of corporate finance, capital markets and investment banking, which may include temporary absorptions of regulatory capital due to placements on primary markets or concentration requirements for given issuers or groups.

The earnings appropriation policy aims to reinforce the Bank’s capital, with a particular emphasis on tier 1 capital, to distribute earnings in a prudent manner and to ensure a properly balanced financial position.

The payout ratio for distributable earnings was 80% in 2010 and 89% in 2009, up from 73.6% in 2008. The higher percentage was a result of the complete redemption in 2007-2009 of the subordinated tier 2 and tier 3 loans, underwritten in their entirety by the Parent Company, allowing Banca IMI to meet capital requirements in terms of its capital ratios.

Considering the proposed divided payout for 2010, the dividends distributed to the shareholder from May 2007 to May 2010 exceed 1.1 billion, in addition to the cash flow of 700 million in repayment of the subordinated loans commented upon above.

Credit risk mitigation techniques (netting) and internal market risk models have been introduced with the aim of optimising the use of regulatory capital. The scope of regulatory validation of the internal models adopted by Banca IMI and the Group is expected to be extended in 2011 to credit risk (AIRB model), counterparty risk and operating risks.

199 Notes to the financial statements - Part F – Information on capital

B. Quantitative information

B.1 Shareholders’ equity: breakdown

Total Total 31 December 2010 31 December 2009 1. Share Capital 962,464 962,464 2. Share premium reserve 581,260 581,260 3. Reserves - retained earning a) legal 120,841 95,410 b) statutory 593,228 475,114 c) treasury shares 180,000 180,000 d) other 11,445 98,729 - other (7,058) - 4. Equity Instruments - - 5. (Treasury shares) - - 6. Evaluation reserves: - Financial assets available for sale (38,103) 38,213 - Property and equipment - - - Intangible assets - - - Hedges of financial investments - - - Cash flow hedges - - - Foreign exchange differences - - - Non-current assets on disposal - - - Actuarial gains and losses on defined-benefits post-retirement plans - - - Quotas of valuation reserves on investments carried - - at shareholders' equity - Legally-required revaluation 4 4 7. Net Income ( Loss ) 547,310 508,620 Total 2,951,391 2,939,814

B.2 Valuation reserves on available-for-sale financial assets: breakdown

Total Totale 31 December 2010 31 December 2009 Positive Negative Positive Negative 1. Debt securities 1,612 (48,900) 29,773 (89) 2. Equity securities 7,892 - 8,529 - 3. UCITS quotas 1,293 - - - 4. Loans - - - - Total 10,797 (48,900) 38,302 (89)

200 Notes to the financial statements - Part F – Information on capital

B.3 Valuation reserves on available-for-sale financial assets: annual changes

Debt Equity UCITS Loans securities securities quotas 1. Initial amount 29,684 8,529 - - 2. Positive changes 2.1 Fair value increase 222 13 1,293 - 2.2 Reversal of negative reserves to the income statement: - impairment - - - - - disposal 60 - - - 2.3. Other changes - - - - 3. Negative changes 3.1 Fair value decrease (61,921) (650) - - 3.2 Impairment losses - - - - 3.3 Reversal of positive reserves to the income statement: - disposal (15,333) - - - 3.4. Other changes - - - - 4. Final amount (47,288) 7,892 1,293 -

Section 2 - REGULATORY CAPITAL AND CAPITAL RATIOS

2.1 Regulatory capital

A. Qualitative information

1. Tier 1 capital Tier 1 capital consists of share capital and earnings reserves, net of the carrying amount of intangible assets and leasehold improvements (the latter of which are included among “Other assets”). No hybrid capitalisation instruments have been issued. Prudential filters are applied to the positive components of tier 1 capital in accordance with the applicable accounting principles.

In accordance with the new rules introduced by Circular 263, 50% of the “items to be deducted” directly affect the aggregate.

2. Tier 2 capital The positive components of tier 2 capital are revaluation reserves for available-for-sale assets, within the limits set out below, in accordance with Law 413/91. The negative components refer to the remaining 50% of the “items to be deducted” cited above.

With respect to the AFS portfolio of debt securities in particular, pursuant to the Order of the Bank of Italy of 18 May 2010 envisaging the possibility of purging regulatory capital of the valuation effects associated with securities issued by the central governments of European Union Member States, Intesa Sanpaolo informed the supervisory authority of its exercise of that option for the entire banking group.

Accordingly, effective 30 June 2010 tier 2 capital will be formed primarily by fair-value measurements of equity interests and quotas of UCITS designated as assets available for sale.

201 Notes to the financial statements - Part F – Information on capital

B. Quantitative information

Total Total 31 December 2010 31 December 2009 A. Tier 1 capital before the application of prudential filters 2,584,019 2,254,470 B. Tier 1 capital prudential filters B.1 - Positive IAS/IFRS prudential filters - - B.2 - Negative IAS/IFRS prudential filters (26,470) (11,445) C. Tier 1 before items to be deducted (A+B) 2,557,549 2,243,025 D. Items to be deducted from Tier 1 (198,606) (1,756) E. Total Tier 1 capital (C-D) 2,358,943 2,241,269 F. Tier 2 capital before the application of prudential filters 9,189 38,217 G. Tier 2 capital prudential filters G.1 - Positive IAS/IFRS prudential filters - - G.2 - Negative IAS/IFRS prudential filters (4,592) (19,107) H. Tier 2 before items to be deducted (F + G) 4,597 19,110 J. Items to be deducted from Tier 2 - (1,756) L. Total Tier 2 capital (H-I) 4,597 17,354 M. Items to be deducted from total Tier 1 and Tier 2 capital - - N. Regulatory capital (E +L-M) 2,363,540 2,258,623 O. Tier 3 capital - - P. Regulatory capital including Tier 3 (N+O) 2,363,540 2,258,623

With respect to what are known as “prudential filters,” it should be noted that, in accordance with applicable supervisory regulations: – the cumulative positive impact of 10.6 million, net of the associated tax effect, deriving from the change in Banca IMI’s creditworthiness did not contribute to the determination of tier 1 capital; – the cumulative positive impact of 31.6 million deriving from the payment of a substitute tax for goodwill was only 50% applicable to the determination of tier 1 capital; – the cumulative negative impact of 43.3 million, net of the associated tax effect, deriving from the measurement at fair value of the debt securities issued by the central governments of European Union Member States carried in the AFS portfolio is not considered when determining tier 2 capital; – the cumulative negative impact of 4 million, net of the associated tax effect, deriving from the measurement at fair value of the remainder of the debt securities carried in the AFS portfolio is considered in its entirety when determining tier 1 capital; and – the cumulative positive impact of 9.2 million, net of the associated tax effect, deriving from the measurement at fair value of the equities and UCITS carried in the AFS portfolio is only 50% applicable when determining tier 2 capital.

2.2 Capital adequacy

A. Qualitative information

Capital adequacy is assessed by taking into account the planned developed of capital market, investment banking and structured finance operations following the centralisation of such operations within Banca IMI.

In strategic management of capital adequacy, a critical factor to supporting the expansion of assets and consolidating earnings profiles, adequate consideration is given to the expected or prospective developments of prudential regulatory provisions, and in particular the recent indications commonly known as Basel 3.

202 Notes to the financial statements - Part F – Information on capital

B. Quantitative information

Unweighted amounts Weighted amounts/requirements

31 December 2010 31 December 2009 31 December 2010 31 December 2009

A. RISK ASSETS

A.1 CREDIT AND COUNTERPARTY RISK

1. Standard methodology 75,097,239 76,578,366 13,706,060 12,977,064

2. Methodology based on internal ratings

2.1 Base

2.2 Avanced

3. Securitisations 531,302 412,734 139,166 92,727

B CAPITAL REQUIREMENTS

B.1 CREDIT AND COUNTERPARTY RISK 1,107,618 1,045,583

B.2 MARKET RISK

1. Standard methodology 285,395 449,050

2. Internal models 143,049 65,791

3. Concentration risk 50,249 56,799

B.3 OPERATIONAL RISK

1. Basic indicator approach (BIA) 172,066 142,805

2. Traditional standardized approach (TSA) - -

3. Advanced measurement approach (AMA) - -

B.4 OTHER CAPITAL REQUIREMENTS - -

B.5 OTHER ITEMS (439,594) (440,007)

B.6 TOTAL CAPITAL REQUIREMENTS 1,318,783 1,320,021

C. RISK-WEIGHTED ASSETS AND CAPITAL RATIOS

C.1 Risk-weighted assets 16,484,788 16,500,260

C.2 Tier 1 capital/Risk-weighted assets (Tier 1 capital ratio) 14.31% 13.58%

C.3 Total capital/Risk-weighted assets (Total capital ratio) 14.34% 13.69%

In accordance with the Instructions set out in Circular 262 of 22 December 2005, first update of 18 November 2009, the risk assets and ratios presented under points C.1, C.2 and C.3 are determined as the product of total capital requirements (caption B.6) and 12.5 (the inverse of the compulsory minimum ratio, 8%). The result fully reflects the benefits in terms of the lower requirements applicable to banks belonging to banking groups.

When determining capital requirements, the Company adopts the internal model for the commodities risk profile, the specific risk associated with equities and UCITS and the generic risk associated with equities and debt securities. The standard models are employed to determine the requirements for market risks and credit-related risks (counterparty, issuer and credit risks). To a residual extent, they are also applied to certain transactions in mutual funds.

Please refer to the report on operations for quarterly ratio trends beginning with 31 December 2009.

203 Part H – Transactions with related parties

1. Information on the compensation of key management personnel

The Bank has decided to include within the scope of “key management personnel” under IAS 24 (hereinafter “officers”) the Boards of Directors, Auditors, General Manager, the heads of the business units and the executive in charge of preparing company accounting documents.

The following table shows the main benefits paid by the Bank to its officers in 2010.

Short-term benefits 3,187 Post-retirement benefits 169 Other long-term benefits Employee termination indemnity Stock option plans Total 3,356

2. Information on related-party transactions

On 15 May 2007, as part of the process of consolidating corporate governance mechanisms, Intesa Sanpaolo’s Board of Directors approved the rules and procedures for the management of related-party transactions. Said rules and procedures were published by the Parent Company in Service Order 18/2007 and were subsequently implemented by Banca IMI.

These rules and procedures establish specific guidelines, and, in further detail: – the verification by units of the Parent Company and its subsidiaries that recently undertaken dealings involve a “related party of the Parent Company” identified according to a list updated on a monthly basis; – a specific preliminary inquiry by the proposing entity to ensure that the contents required by the rules and procedures are present and acquire full documentation of the obligations discharged for its records; and – determination that the authority to approve transactions with related parties has been established, considering the characteristics of the individual transactions proposed, according to the thresholds of significance set out in the rules and procedures.

Financial dealings undertaken with those defined as “related” parties according to the indications provided by Consob in its Recommendation 97001574 of 20 February 1997 and Recommendation 98015375 of 27 February 1998 are essentially related to normal financial brokerage or investment service operations.

Such dealings, where present, are also assessed from the standpoint of potential conflicts of interest and are settled at normal arm’s-length conditions. Please refer to the report on operations for information on dealings with Intesa Sanpaolo Group companies.

It should also be noted that no losses were reported on on-balance sheet exposures and lending commitments to related parties during the current and previous years.

204 Notes to the financial statements - Part H – Transactions with related parties

The Parent Company

Intesa Sanpaolo S.p.A. Registered office: Piazza S. Carlo 156 – 10121 Turin (Italy) Branch office: Via Monte di Pietà 8 – 20121 Milan (Italy)

Article 2497-ter of the Italian Civil Code requires that companies subject to management and control include a statement that sets forth salient financial data for the Parent Company in their financial statement packages. The following table shows the highlights of the most recently approved financial statements.

Intesa Sanpaolo - Financial highlights and alternative performance measures

(in millions of euro) 2009 2008 changes amount % Income statement Net interest income 3,530 4,250 -720 -16.9 Net fee and commission income 2,113 2,294 -181 -7.9 Profits (Losses) on trading 326 -823 1,149 Operating income 7,709 7,207 502 7.0 Operating costs -4,351 -4,644 -293 -6.3 Operating margin 3,358 2,563 795 31.0 Net adjustments to loans -1,345 -931 414 44.5 Income after tax from discontinued operations 101 892 -791 -88.7 Net income 1,843 1,055 788 74.7

Balance sheet Loans to customers 178,550 194,416 -15,866 -8.2 Direct customer deposits 250,456 250,697 -241 -0.1 Indirect customer deposits 150,146 151,444 -1,298 -0.9 of which: assets under management 68,585 69,233 -648 -0.9 Total assets 421,647 412,887 8,760 2.1 Shareholders' equity 47,785 45,674 2,111 4.6

Operating structure Number of employees 28,618 29,686 -1,068 of which: Italy 28,077 29,127 -1,050 Abroad 541 559 -18 Number of branches 2,438 2,888 -450 of which: Italy 2,422 2,872 -450 Abroad 16 16 -

Figures restated on a consistent basis.

205 Part L – Segment reporting

Banca IMI’s segment reporting is based on the elements that its management uses on a daily and periodic basis to monitor profit margins, allocate resources and make its operational decisions (known as the “management approach”). It is thus compliant with the disclosure requirements set forth in IFRS 8.

The organisational model is divided into three business segments with specific operational responsibilities: Capital Markets, Investment Banking and Structured Finance.

Principal aggregates by Business Area (in millions of euro) Capital Investment Structured Total Markets Banking Finance Held for trading 55,127.4 55,127.4 Available for sale 2,866.6 55.5 2,922.1 Due from banks and customers 59,117.7 6,507.9 65,625.6 Goodwill 194.1 194.1 Bond Issues (40,762.5) (40,762.5) Due to banks and customers (27,158.2) (5,787.0) (32,945.2) Guarantees given and commitments to lend (*) 7,769.3 3,069.0 10,838.3 Net interest and other banking income 747.4 89.0 266.5 1,102.9 Operating costs (208.1) (39.0) (40.8) (287.9) Adjustments and provisions (9.0) (28.8) (37.8) Income tax (182.0) (17.2) (35.9) (235.0) Net income 350.0 34.5 162.7 547.3 Cost income 27.8% 43.8% 15.3% 26.1% Number of employees 431 94 170 695 Risk Weighted Assets 12,193.1 172.4 9,526.5 21,892.1

(*) Excluding commitments underlying credit derivatives (protection selling).

Aggregates are allocated to business areas on the basis of management figures, for net interest and other banking income and operating costs, appropriately reconciled with accounting records, and according to the specific allocation and distribution of financial statement aggregates, including weighted risk assets, for the remaining captions. For the measurement of revenues and costs deriving from inter-segment transactions, the application of a contribution model at multiple Internal Transfer Rates for the various maturities permits the correct attribution of net interest income to the individual areas.

For the Structured Finance segment, to which goodwill of approximately 194 million has been allocated, the impairment test yielded a positive outcome inasmuch as the value in use according to the dividend discount model exceeded the carrying amount. In particular, value in use has been determined on the basis of updated cash flow projections as documented in the Intesa Sanpaolo Group’s most recent business plan for 2010-2012, the strategies and underlying assumptions of which have been reflected in Banca IMI’s 2010 budget.

For the forecasting period, the Bank has used separate estimates formulated by the management of the Bank and Group, prepared on the basis of macroeconomic scenarios and the operating trends illustrated in the directors’ report on operations included in this annual report. The plan is inspired by principles of prudence considering the uncertainties that continue to characterise the current economic scenario and tends to project net income results in a conservative manner. In detail, the forecast result for 2010 was met and exceeded by the actual figure.

206 Notes to the financial statements - Part L – Segment reporting

The guidelines for these projections confirm the goal of sustainable profitability for the Structured Finance segment in the medium term, summarised as a gradual improvement in the cost-income ratio, the profitability of ordinary operations and net income, through: (i) the full extraction of value from the extensive growth potential and revenue synergy; (ii) investments in growth and innovation with adequate monitoring of costs; and (iii) monitoring of credit quality, while aiming for a recovery of disbursements.

The segment’s value in use has been determined by assuming a cost of capital (Ke) of 10.68%, a growth rate (g) of 1.79% and an implicit inflation rate of 1.79%. Since value in use is determined by using estimates and assumptions that may contain some level of uncertainty, sensitivity analyses were carried out to verify the sensitivity of the results obtained to changes in said parameters and in the underlying hypotheses, as required by applicable accounting standards. In particular, the Bank verified the impact of value in use of a hypothetical deterioration of (i) the projected cash flows for 2011-2012 and (ii) the parameters employed, including increases in discounting rates of up to 100 BPs and decreases in the growth rate used to calculate terminal value of up to 50 BPs. The sensitivity of value in use to changes in the growth rate (g) or discounting rate (Ke) of +/-10 BPs in percentage terms amounted to 1.05% and 1.2%, respectively.

207

Certification by the executive in charge of accounting documents

209

211

Independent Auditor’s report

213 214 215

Board of Statutory Auditors’ report

217 BANCA IMI S.P.A. Registered office in Milan – Largo Raffaele Mattioli no. 3 Share capital: € 962,464,000 Milan Company Register, Tax code and VAT registration no. 04377700150 Company subject to the management and coordination of the Sole Shareholder, Intesa Sanpaolo S.p.A., part of the Intesa Sanpaolo Banking Group, entered in the Register of Banking Groups * * * * REPORT OF THE BOARD OF AUDITORS To the Shareholders’ Meeting of Banca IMI S.p.A. – Intesa Sanpaolo Banking Group. To the Sole Shareholder. The supervisory activity carried out by the Board of Auditors during 2010 was based on the provisions of Articles 2403 et seq, on the contents of CONSOB Notice no. DEM/1025564 of 6 April 2001, and on the principles for the conduct of the Board of Auditors, recommended by the Consiglio Nazionale dei Dottori Commercialisti e degli Esperti Contabili (Italian association of chartered accountants). The Board of Auditors hereby declares that: • it attended all the meetings of the Board of Directors, receiving appropriate information from the Directors on the activity carried out by the Company, including intra-group and related-party activities, and on the main economic, financial and asset transactions carried out by the Company; • it ensured that the transactions resolved upon and carried out, including extraordinary transactions, were in compliance with the law and with the Articles of Association and were not manifestly imprudent or foolhardy, potentially a conflict of interests or contrary to the resolutions passed by the Shareholders’ Meeting, or damaging to the rights of the sole shareholder and of third parties; • it oversaw the intra-group transactions to ensure that they satisfied criteria of normality and were consistent with the opportunities and resources offered by the Group to which the Company belongs. Indeed, relations between the various economic parties making up the Intesa Sanpaolo group are driven by criteria of centrality with regard to the fundamental activities of governance, control and direction, and assistance in the form of consultancy on legal, economic and organisational matters. Relations with the parent company thus fall within the usual operations of a group organised in accordance with the multiple business model. They are primarily relations for services rendered and are intended for the funding and/or management of the resources to be used for the business institutionally carried out by the Bank. The economic effects associated with the aforesaid relations are usually regulated according to the market conditions that are applied by the parent company to the subsidiary companies and governed by a specific agreement between the parties, known as a Service Level Agreement;

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218 • it constantly acquired knowledge and, within its area of responsibility, oversaw the procedures and operating practices and ensured that the organisational and management structure of the Bank remained adequate with regard to both the company’s objects and its increasing scale of activities, as well as other objectives to be achieved. It supervised compliance with principles of proper administration, through direct observation, the gathering of information from the heads of the various departments and meetings with the auditing company, for the mutual exchange of data and relevant information. It examined the management processes and the methods of measuring the risks related to the Bank’s business, as well as their suitability to take up the opportunities offered by the credit and interest rate markets. It oversaw the progress made in the compliance activity designed by the corresponding department of Intesa Sanpaolo and its interaction with the corporate activity. It also assessed and supervised the adequacy of the administrative/accounting system and its appropriateness to properly represent management events by obtaining the necessary information from the heads of the relevant departments. Taking these assessments into account, the Board of Auditors considers that the quality of the Bank’s internal control is adequate for its operations and the associated risks; • no complaints were received under Article 2408 of the Italian Civil Code, nor were any notices of objections submitted; • after establishing the independence of the auditing company Ernst & Young S.p.A., the results of the work carried out by said auditing company on the individual and consolidated accounts of Banca IMI as at 31 December 2010 were examined, without further requests for information or findings, as can be seen from the reports issued on 11 March 2011. It is also noted that the Bank agreed with auditing company Ernst & Young on the following compensation (in thousands of Euro) for jobs entrusted to the auditors during 2010: Auditing 620 Certification 15 Other activities 320 955 These amounts are incremented by € 50,000 for fees paid to companies belonging to the auditor’s corporate network; • it noted the activity carried out at the Bank’s facilities by the Intesa Sanpaolo Internal Auditing department, ensuring that this remained adequate for the changed and growing requirements of Banca IMI;

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219 • it ensured compliance with the legal regulations associated with preparing and drawing up the financial statements and the report on operations, by means of checks carried out with the executive in charge of compiling the company's financial reports and information provided by the auditing company; • during 2010 the Board of Directors of the Bank met 16 times and the Board of Auditors met 12 times; • the consolidated financial statements, obtained from the appropriate information provided by the subsidiary companies, were presented together with the individual financial statements of the Bank during the meeting of the Board of Directors held on 4 March 2011; • in compliance with the new regulations adopted by CONSOB on related party transactions in companies issuing listed or publicly traded shares, in December 2010 the Bank implemented the new Group Regulation for the management of transactions with parties related to Intesa Sanpaolo, adopted by the parent company in order to ensure the transparency and essential and procedural correctness of such transactions. The new Regulation has been in force since 1 January 2011. During the year, the members of the Board of Auditors expressed their individual approval of the resolutions on credit matters passed by the Board of Directors pursuant to Article 136 of Legislative Decree no. 385 of 1 September 1993. No omissions, reprehensible actions or irregularities emerged from the aforesaid supervision activity carried out by the Board of Auditors that merited reporting to the supervisory boards or mentioning to the Shareholders. With regard to the foregoing and for matters falling within its remit, the Board of Auditors expresses its favourable opinion to the Shareholders’ Meeting concerning the following proposals: (i) approval of the financial statements as at 31 December 2010; (ii) net decrease in the “valuation reserves” (€ 13.99 million) determined by the revaluation of the shares held in the “Omicron” Real Estate Fund (€ 1.3 million) and holdings in CME – Chicago Mercantile Exchange (€ 0.01 million), and for the use of the reserve on account of the sale of debt securities (€ 15.3 million); (iii) decrease in the “valuation reserves” from the valuation at “fair value” of the debt securities available for sale (€ 61.7 million) and from the value of the shareholding in SIA – Società Interbancaria per l’automazione (€ 0.7 million); (iv) allotment of the net profit for the period (amounting to € 547,310,122) partly to the legal reserve (€ 27,366,000), partly to the extraordinary reserve (€ 115,709,242), and € 404,234,880 towards a dividend of € 0.42 per share, as proposed by the Board of Directors.

Milan, 14 March 2011 The Board of Auditors

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220 Attachments

Auditors’ fees

Earnings and financial position of subsidiaries and associates

Details of bond issues

Report on corporate governance and ownership

221

Attachments Fees for auditing and services other than auditing pursuant to Article 149-duodecies of Consob Regulation 11971

The reform of the Consolidated Finance Act enacted through Law 262 of 28 December 2005, supplemented by Legislative Decree 3032 of 29 December 2006, resulted in the amendment of provisions governing the incompatibility of independent auditors and the introduction of new obligations concerning the disclosure of auditing fees pursuant to Article 160, paragraph 1-bis.

Article 149-duodecies of the Consob Issuer Regulations gave effect to the authority delegated under the above Article. In particular, the implementation measure established that companies that have engaged independent auditors must disclose auditing fees in their financial statements for years beginning after 30 June 2006.

The following table summarises the contractually established auditing fees owed by Banca IMI for 2010. The amounts are net of VAT, expenses and inflation adjustments. (in thousands of euro) Type of service Reconta Reconta Ernst & Young Ernst & Young Network

Independent audit 620 50 Release of certificates 15 - Tax consulting services - - Other: audit procedures - - social report audit - - other 320 - Total 955 50

223 Attachments Earnings and financial position of subsidiaries and associates

IMI Investments S.A. Société Anonyme

BALANCE SHEET (in thousands of euro) Balance sheet - assets 31.12.2010 31.12.2009 60 Due from banks 8,968 38,365 70 Loans to customers 100 Equity investments 24,304 23,232 140 Tax assets: a) current 348 291 160 Other assets Total assets 33,620 61,888

Liabilities and shareholders’ equity 31.12.2010 31.12.2009 90 Tax liabilities: a) current 387 3,610 110 Other liabilities 13 24 180 Reserves 3,351 4,352 200 Share capital 21,660 20,825 230 Net income (loss) 8,209 33,078 Total liabilities and shareholders' equity 33,620 61,888

224 Attachments

INCOME STATEMENT (in thousands of euro) 31.12.2010 31.12.2009 10 Interest and similar income 70 1,131 20 Interest and similar expense 30 Interest margin 70 1,131 40 Fee and commission income 50 Fee and commission expense -46 60 Net fee and commission income -46 0 70 Dividend and similar income 10,000 31,852 80 Profit/loss from trading activities -2,120 207 130 Net interest and other banking income 7,904 33,189 150 Net income from banking activities 7,904 33,189 190 Administrative expenses -42 -58 a) personnel expenses b) other administrative expenses -42 -58 250 Operating expenses -42 -58 280 Income (Loss) before tax from continuing operations 7,862 33,131 290 Taxes on income from continuing operations 347 -53 330 Net income (loss) 8,209 33,078

Starting from November 2010 the subsidiary prepares the financial statements in euro

225 Attachments

Imi Finance Luxembourg S.A. Société Anonyme

BALANCE SHEET (in thousands of euro) Balance sheet - assets 31.12.2010 31.12.2009 40 Financial assets available for sale 82,134 60 Due from banks 2,326 1,803 70 Due from customers 86,100 22,256 140 Tax assets: a) current 4,535 3,740 160 Other assets 2 Total assets 92,961 109,935

Liabilities and shareholders’ equity 31.12.2010 31.12.2009 10 Due to banks 68,426 78,848 90 Tax liabilities: a) current 2,565 4,871 110 Other liabilities 44 701 180 Reserves 15,415 13,250 200 Share capital 100 100 230 Net income (loss) 6,411 12,165 Total liabilities and shareholders' equity 92,961 109,935

INCOME STATEMENT (thousands of euro) 31.12.2010 31.12.2009 10 Interest and similar income 9,704 16,975 20 Interest and similar expense -1,289 -4,008 30 Interest margin 8,415 12,967 40 Fee and commission income 676 3,361 50 Fee and commission expense 60 Net fee and commission income 676 3,361 130 Net interest and other banking income 9,091 17,143 140 Net losses/recoveries on impairment of: -63 a) loans -63 150 Net income from banking activities 9,028 17,143 180 Net income from banking and insurance activities 9,028 17,143 190 Administrative expenses: -69 -111 a) personnel expenses b) other administrative expenses -69 -111 240 Other operating expenses (income) 17 250 Operating expenses -52 -111 280 Income (Loss) before tax from continuing operations 8,976 17,033 290 Taxes on income from continuing operations -2,565 -4,867 330 Net income (loss) 6,411 12,165

226 Attachments

Imi Capital Markets

BALANCE SHEET (in thousands of USD ($)) (in thousands of euro) Balance sheet - assets 31.12.2010 31.12.2009 31.12.2010 31.12.2009 60 Due from banks 1,125 1,156 842 802 100 Equity investments 105,034 103,898 78,606 72,121 140 Tax assets: a) current b) deferred tax asset 160 Other assets 17 12 Total assets 106,159 105,071 79,448 72,935

Liabilities and shareholders’ equity 31.12.2010 31.12.2009 31.12.2010 31.12.2009 110 Other liabilities 17 6 12 4 180 Reserves -1,802 -2,916 -1,349 -2,024 190 Share premium reserve 107,998 107,998 80,825 74,967 200 Share capital 5 5 4 3 230 Net income (loss) -59 -22 -44 -15 Total liabilities and shareholders' equity 106,159 105,071 79,448 72,935

INCOME STATEMENT (in thousands of USD ($)) (in thousands of euro) 31.12.2010 31.12.2009 31.12.2010 31.12.2009 40 Fee and commission -3 -4 -2 -3 50 Fee and commission 60 Net fee and commission -3 -4 -2 -3 190 Administrative expenses: -34 -22 -25 -15 a) personnel expenses b) other administrative expenses -34 -22 -25 -15 250 Operating expenses -34 -22 -25 -15 280 Income (Loss) before tax from continuing operations -37 -26 -27 -18 290 Taxes on income from continuing operations -22 4 -17 3 300 Income (Loss) after tax from continuing operations -59 -22 -44 -15 330 Net income (loss) -59 -22 -44 -15

The subsidiary prepares the financial statements in USD. The conversion into euro has occurred using the daily exchange rate of 1.3362 as at 31 December 2010 and of 1.4406 as at December 2009.

227 Attachments

Banca imi Securities Corp.

BALANCE SHEET (in thousands of USD ($)) (in thousands of euro) Balance sheet - assets 31.12.2010 31.12.2009 31.12.2010 31.12.2009 10 Cash and cash equivalents 1 1 1 1 20 Held for trading 59,679 53,624 44,663 37,223 40 Available for sale 784 724 587 503 60 Due from banks 518,940 262,234 388,370 182,031 70 Loans to customers 525,277 219,408 393,113 152,303 100 Equity investments 1 36 1 25 120 Property and equipment 168 391 126 271 130 Intangible assets 158 180 118 125 140 Tax assets 1,623 3,094 1,214 2,148 a) current 507 1,025 379 712 b) deferred tax asset 1,116 2,069 835 1,436 160 Other 19,867 10,234 14,868 7,104 Total assets 1,126,498 549,926 843,061 381,734

Balance sheet - liabilities and shareholders’ equity 31.12.2010 31.12.2009 31.12.2010 31.12.2009 10 Due to banks 9,983 1,086 7,471 754 20 Due to customers 1,008,466 441,787 754,728 306,669 110 Other 3,016 3,155 2,257 2,190 150 Valuation reserves a) available for sale (+/-) -1,718 -1,193 180 Reserves -40,886 -43,934 -30,599 -30,497 190 Share premium 102,000 102,000 76,336 70,804 200 Capital 44,500 44,500 33,303 30,890 230 Net profit (loss) -581 3,050 -435 2,117 Total liabilities and shareholders' equity 1,126,498 549,926 843,061 381,734

The subsidiary prepares the financial statements in USD. The conversion into euro has occurred using the daily exchange rate of 1.3362 as at 31 December 2010 and of 1.4406 as at December 2009.

228 Attachments

INCOME STATEMENT (in thousands of USD ($)) (in thousands of euro) 31.12.2010 31.12.2009 31.12.2010 31.12.2009 10 Interest and similar income 17,240 14,016 12,902 9,729 20 Interest and similar expense -10,886 -6,765 -8,147 -4,696 30 Interest margin 6,354 7,251 4,755 5,033 40 Fee and commission income 11,896 7,835 8,903 5,439 50 Fee and commission expense -1,851 -1,269 -1,385 -881 60 Net fee and commission income 10,045 6,566 7,518 4,558 70 Dividend and similar income 33 32 25 22 80 Profits (losses) on trading 34 2,147 25 1,490 100 Profits (Losses) on disposal or repurchase of: -26 -19 a) loans b) financial assets available for sale -26 -19 130 Net interest and other banking income 16,440 15,996 12,304 11,103 140 Net losses/recoveries on impairment of: -1,574 -1,178 b) financial assets available for sale -1,574 -1,178 150 Net income from banking activities 14,866 15,996 11,126 11,103 190 Administrative expenses: -13,573 -12,176 -10,158 -8,452 a) personnel expenses -7,805 -7,348 -5,841 -5,101 b) other administrative expenses -5,768 -4,828 -4,317 -3,351 200 Net provision for risk and charges 210 Net adjustments to/recoveries on property and equipment -268 -273 -201 -190 220 Net adjustments to/recoveries on intangible assets -26 -26 -19 -18 240 Other operating expenses (income) -21 31 -16 22 250 Operating expenses -13,888 -12,444 -10,394 -8,638 280 Income (Loss) before tax from continuing operations 978 3,552 732 2,465 290 Taxes on income from continuing operations -1,559 -502 -1,167 -348 330 Net income (loss) -581 3,050 -435 2,117

The subsidiary prepares the financial statements in USD. The conversion into euro has occurred using the daily exchange rate of 1.3362 as at 31 December 2010 and of 1.4406 as at December 2009.

Here following it is reported the reconciliation between the Company result under US GAAP and the result recorded in the Consolidated Banca IMI Financial Statements. (thousands of USD ($)) Net income (loss) of the period under US GAAP -581 Income from disposal of assets available for sale (reversal AFS reserve recorded before 1 January 2007) 53 Write off of adjustments due to deterioration of AFS assets 1,574 Net income (loss) of the period under IFRS 1,046

229 Attachments

EuroTLX SIM S.p.A.

BALANCE SHEET (amount in euros) Balance sheet - assets 31.12.2010 10 Cash and cash equivalents 1,670 20 Financial assets held for trading 30 Financial assets carried at fair value 40 Financial assets available for sale 50 Financial assets held to maturity 60 Due from banks 4,949,830 70 Hedging derivatives 80 Adjustments of financial assets subject to generic hedge (+/-) 90 Equity investments 100 Property and equipment 1,020,301 110 Intangible assets 207,287 120 Tax assets 104,447 a) deferred tax assets 73,880 b) deferred tax liabilities 30,567 130 Non recurring assets and groups of activities on disposal 140 Other assets 363,163 Total Assets 6,646,698

Liabilities and shareholders’ equity 31.12.2010 10 Due to banks 20 Securities issued 30 Financial liabilities held for trading 40 Financial liabilities carried at fair value through profit and loss 50 Hedging derivatives 60 Adjustments of financial liabilities subject to generic hedge (+/-) 70 Tax liabilities 77,310 a) current 77,310 b) deferred 80 Liabilities associated to activities on disposal 90 Other liabilities 1,917,425 100 Employee termination indemnities 67,733 110 Allowances for risks and charges 328,000 a) retirement packages and similar obligations b) other allowances 328,000 120 Share capital 5,000,000 130 Treasury shares (-) 140 Capital instruments 150 Share premium reserve 160 Reserves 1,062,211 170 Valuation reserves 180 Net income (loss) -1,805,981 Total liabilities and Shareholders’ Equity 6,646,698

230 Attachments

INCOME STATEMENT (amount in euros) 31.12.2010 10 Profits (Losses) on trading 20 Profits (Losses) on hedging 30 Profits (Losses) on disposal or repurchase of: a) financial assets b) financial liabilities 40 Profits (Losses) on financial assets and liabilites carried at fair value 50 Fee and commission income 9,222,262 60 Fee and commission expense 70 Interest and similar income 7,076 80 Interest and similar expense 90 Dividend and similar income Net interest and other banking income 9,229,338 100 Net losses/recoveries on impairment: a) financial assets c) other financial assets 110 Administrative expenses: -10,184,323 a) personnel expenses -2,899,520 b) other administrative expenses -7,284,803 120 Net adjustments to/recoveries on property and equipment -352,354 130 Net adjustments to/recoveries on intangible assets -168,444 140 Net income (loss) from fair value evaluation of tangible and intangible assets 150 Net provisions for risks and charges -328,000 160 Other operating expenses (income) 104,665 Operating Income -1,699,118 170 Profits (Losses) on equity investments 180 Profits (Losses) on disposal of investments Income (Loss) before tax from continuing operations -1,699,118 190 Taxes on income from continuing operations -106,863 Income (Loss) after tax from continuing operations -1,805,981 200 Net Income (Loss) from disposal of groups of activities Net income (loss) -1,805,981

231 Attachments

EPSILON SGR

BALANCE SHEET (amount in euros) Balance sheet - assets 31.12.2010 31.12.2009 Changes 10. Cash and cash equivalents 652 432 220 20. Financial assets held for trading 7,196,752 7,738,704 -541,952 40. Financial assets available for sale 10,000 10,000 0 60. Receivables 4,540,988 11,580,194 -7,039,206 a) asset management 4,194,876 11,245,729 -7,050,853 b) other 346,112 334,465 11,647 100. Property and equipment 37,789 70,969 -33,180 110. Intangible assets 11,735 30,798 -19,063 120. Tax assets 2,094,171 24,846 2,069,325 a) deferred tax assets 2,074,523 2,074,523 b) deferred tax liabilities 19,648 24,846 -5,198 140. Other assets 202,833 190,438 12,395 Total Assets 14,094,920 19,646,381 -5,551,461

Liabilities and shareholders’ equity 31.12.2010 31.12.2009 Changes 10. Payables 1,798,095 1,740,293 57,802 70. Tax liabilities 40,156 279,696 -239,540 a) current 252,968 -252,968 b) deferred 40,156 26,728 13,428 90. Other liabilities 899,609 1,210,766 -311,157 100. Employee termination indemnities 29,035 69,176 -40,141 110. Allowances for risks and charges 30,284 0 30,284 b) other allowances 30,284 30,284 Total liabilities 2,797,179 3,299,931 -502,752 120. Share capital 5,200,000 5,200,000 0 150. Share premium reserve 236 236 0 160. Reserves 2,646,214 2,425,787 220,427 180. Net income (loss) 3,451,291 8,720,427 -5,269,136 Total Shareholders’ Equity 11,297,741 16,346,450 -5,048,709 Total liabilities and Shareholders’ Equity 14,094,920 19,646,381 -5,551,461

232 Attachments

INCOME STATEMENT (amount in euros) 31.12.2010 31.12.2009 Changes 10. Fee and commission income 12,804,005 20,687,798 -7,883,793 20. Fee and commission expense -3,218,024 -2,988,378 -229,646 Net fee and commission income 9,585,981 17,699,420 -8,113,439 40. Interest and similar income 1,816 -1,816 60. Profits (Losses) on trading 67,766 231,942 -164,176 Net interest and other banking income 9,653,747 17,933,178 -8,279,431 110. Administrative expenses: a) personnel expenses -2,815,841 -3,212,663 396,822 b) other administrative expenses -1,517,710 -1,407,042 -110,668 120. Net adjustments to/recoveries on property and equipment -38,520 -29,838 -8,682 130. Net adjustments to/recoveries on intangible assets -19,063 -18,857 -206 150. Net provisions for risks and charges -30,284 -30,284 160. Other operating expenses (income) -3,508 -8,678 5,170 Operating Income 5,228,821 13,256,100 -8,027,279 Income (Loss) before tax from continuing operations 5,228,821 13,256,100 -8,027,279 190. Taxes on income from continuing operations -1,777,530 -4,535,673 2,758,143 Income (Loss) after tax from continuing operations 3,451,291 8,720,427 -5,269,136 Net income (loss) 3,451,291 8,720,427 -5,269,136

233 Attachments Details of bond issues

ISIN Description Category Issue Expiry Cur- Nominal Net book Structured/ Date Date rency amount value Non structured IT0004013238 BCA IMI 06/11 MULTIC CPPI 07-Mar-06 07-Mar-11 EUR 210,597,000.00 213,032,375.30 Structured

IT0004013253 B.IMI 06/11OC IND.LK CPPI 07-Mar-06 07-Mar-11 EUR 133,166,000.00 134,692,337.41 Structured

IT0004140163 BCA IMI STP DWN O.C. CPPI 25-Jan-07 25-Jan-12 EUR 104,978,000.00 103,848,973.16 Structured

IT0004140148 BCA IMI 12 STEP DOWN CPPI 27-Feb-07 27-Feb-12 EUR 124,899,000.00 122,417,012.07 Structured

IT0004159551 BCA IMI STP DWN /12 CPPI 29-Mar-07 29-Mar-12 EUR 71,186,000.00 70,198,115.58 Structured

IT0004159536 BCA IMI O.C. 07/11 CPPI 29-Mar-07 01-Feb-11 EUR 24,726,000.00 25,013,233.19 Structured

IT0004252364 BCA IMI 07/12 TM CPPI 31-Aug-07 31-Aug-12 EUR 99,455,000.00 96,677,825.54 Structured

IT0004252331 B.IMI 07/11 ZC CPPI 31-Aug-07 28-Feb-11 EUR 96,667,000.00 97,430,495.59 Structured

IT0004288830 BANCA IMI 07/12 TM CPPI 30-Nov-07 30-Nov-12 EUR 245,687,000.00 237,038,788.13 Structured

IT0004295645 BANCA IMI 07/12 TM CPPI 28-Dec-07 28-Dec-12 EUR 117,375,000.00 113,019,238.40 Structured

Totale 1,213,368,394.37

ISIN Description Category Issue Data Cur- Nominal Net book Structured/ Date scadenza rency amount value Non structured XS0366925377 BANCA IMI FR 23 EUR EQUITY 12-Jun-08 12-Jun-23 EUR 15,000,000.00 8,752,975.98 Structured

XS0376935028 BANCA IMI FR 08 EUR EQUITY 30-Jul-08 31-Jul-23 EUR 30,000,000.00 17,177,157.08 Structured

XS0370200528 BCA IMI CED.USA 7/08 EQUITY 31-Jul-08 31-Jul-14 EUR 21,142,000.00 21,616,984.75 Structured

IT0004375736 B.IMI 14 RELOAD3 TM EQUITY 23-Sep-08 23-Sep-14 EUR 711,669,000.00 669,106,534.43 Structured

XS0376868161 BANCA IMI FR 14 EUR EQUITY 30-Sep-08 30-Sep-14 EUR 40,902,000.00 40,853,084.60 Structured

XS0386332281 BANCA IMI FR 13 EUR EQUITY 15-Oct-08 15-Oct-13 EUR 50,000,000.00 51,286,710.01 Structured

XS0386499908 BANCA IMI FR 13 EUR EQUITY 22-Oct-08 22-Oct-13 EUR 32,300,000.00 31,280,070.66 Structured

IT0004397292 BANCA IMI 08/14 TM EQUITY 27-Nov-08 27-Nov-14 EUR 553,636,000.00 522,836,978.68 Structured

XS0392979901 B IMI 08/13 LK EQUITY 11-Dec-08 11-Dec-13 EUR 15,000,000.00 14,463,380.90 Structured

IT0004436108 B.IMI 08/11 T.M. EQUITY 29-Dec-08 29-Dec-11 EUR 1,664,000.00 1,605,629.74 Structured

IT0004440993 BANCA IMI 09/12 TM EQUITY 16-Feb-09 15-Feb-12 EUR 13,836,000.00 13,738,096.30 Structured

IT0004429202 BANCA IMI 09/15 TM EQUITY 27-Feb-09 27-Feb-15 EUR 853,618,000.00 875,181,072.38 Structured

IT0004449333 IMI09/14 TV EQUITY 27-Feb-09 27-Feb-14 EUR 105,820,000.00 105,211,151.43 Structured

XS0412168832 BANCA IMI FR 09/12 EQUITY 11-Mar-09 11-Mar-12 EUR 9,400,000.00 9,134,599.60 Structured

XS0419344501 BANCA IMI5% 09-15 EQUITY 15-May-09 15-May-15 EUR 83,761,000.00 80,043,075.84 Structured

IT0004532179 B IMI 09/16 ONE COUP EQUITY 30-Oct-09 30-Oct-16 EUR 10,040,000.00 8,101,868.01 Structured

IT0004532195 BANCA IMI 09/16 2,0% EQUITY 30-Oct-09 30-Sep-16 EUR 1,404,000.00 1,272,920.23 Structured

XS0460472904 IMI ONE COUPON 2016 EQUITY 18-Dec-09 18-Dec-16 EUR 15,157,000.00 12,531,728.87 Structured

XS0476375380 BANCA IMI TM 2016 EQUITY 29-Jan-10 29-Jan-16 EUR 46,327,000.00 42,356,126.36 Structured

XS0529330218 BCA IMI TM 2016 EMTN EQUITY 30-Sep-10 30-Sep-16 EUR 27,347,000.00 25,425,272.73 Structured

Totale 2,551,975,418.58

234 Attachments

ISIN Description Category Issue Expiry Cur- Nominal Net book value Structured/ Inflation Date Date rency amount Non Yes/No structured

IT0001271003 BIM 98/18 STEP DOWN INTEREST RATE 04-Nov-98 04-Nov-18 ITL 170,320,000,000.00 108,384,818.62 NS NO

IT0001304341 BIM 99/24 FIX ZERO INTEREST RATE 01-Feb-99 01-Feb-24 EUR 25,652,000.00 35,942,475.45 NS NO

IT0001349023 BIM 99/24 TV INTEREST RATE 05-Jul-99 05-Jul-24 EUR 10,000,000.00 9,681,783.58 NS NO

IT0004036916 BCA IMI 06-11 TM INTEREST RATE 10-Apr-06 10-Apr-11 EUR 9,336,000.00 9,564,757.61 NS NO

IT0004062342 BCA IMI 06-11 TV INTEREST RATE 12-Jun-06 12-Jun-11 EUR 4,847,000.00 4,871,930.95 NS YES

IT0004077571 B.IMI 06-11 TV INTEREST RATE 19-Jun-06 19-Jun-11 EUR 4,300,000.00 4,326,224.61 NS YES

IT0004190127 B.IMI 07/11 TV INTEREST RATE 20-Mar-07 20-Mar-11 EUR 31,275,000.00 31,901,162.31 NS YES

IT0004357429 BANCA IMI 08/12 TV INTEREST RATE 16-May-08 16-May-12 EUR 171,948,000.00 176,986,427.19 NS YES

XS0361254385 BANCA IMI ZC 13 EUR INTEREST RATE 30-Jun-08 01-Jul-13 EUR 12,850,000.00 12,187,125.53 NS NO

XS0362401480 BANCA IMI FR 14 EUR INTEREST RATE 30-Jun-08 30-Jun-14 EUR 1,964,034,000.00 2,098,812,361.27 Structured NO

XS0366014933 BCA IMI T.M. 15 EUR INTEREST RATE 30-Jun-08 30-Jun-15 EUR 9,230,000.00 8,936,321.04 NS NO

XS0367497681 BANCA IMI FR08-14EUR INTEREST RATE 30-Jun-08 30-Jun-14 EUR 1,125,830,000.00 1,200,435,366.07 Structured NO

XS0374293768 BANCA IMI ZC 13 EUR INTEREST RATE 02-Jul-08 30-Jun-13 EUR 40,000,000.00 37,998,934.82 NS NO

IT0004381635 BANCA IMI 08/13 4,30 INTEREST RATE 02-Jul-08 30-Jun-13 EUR 41,160,000.00 43,285,210.55 NS NO

XS0371420182 BANCA IMI FR 14 EUR INTEREST RATE 31-Jul-08 31-Jul-14 EUR 1,660,574,000.00 1,767,192,448.27 Structured NO

IT0004388887 BCA IMI 2013 TV INTEREST RATE 31-Jul-08 31-Jul-13 EUR 40,423,000.00 39,838,859.40 NS NO

XS0376072236 BCA IMI SR.9 FR 14 INTEREST RATE 13-Aug-08 13-Aug-14 EUR 531,039,000.00 563,665,562.84 Structured NO

XS0377044317 BANCA IMI 0,65%14EUR INTEREST RATE 30-Sep-08 30-Sep-14 EUR 50,100,000.00 46,964,157.91 NS NO

XS0382367091 BCA IMI 5% 08/14 EUR INTEREST RATE 10-Oct-08 10-Oct-14 EUR 2,170,000.00 1,980,038.20 NS NO

XS0389817064 BANCA IMI FR 14 EUR INTEREST RATE 18-Nov-08 18-Nov-14 EUR 667,878,000.00 694,889,733.10 Structured NO

XS0390338019 BANCA IMI ZC 13 EUR INTEREST RATE 03-Dec-08 03-Dec-13 EUR 154,588,000.00 145,452,966.92 NS NO

XS0379942609 ISPIM 0 12/16/12 INTEREST RATE 16-Dec-08 16-Dec-12 EUR 3,750,000.00 3,624,605.68 NS NO

IT0004451719 B IMI 09-11 TV INTEREST RATE 23-Jan-09 23-Jan-11 EUR 3,499,531,000.00 3,529,190,053.65 NS NO

XS0405872416 BCA IMI FR 09/11 EUR INTEREST RATE 02-Feb-09 02-Feb-11 EUR 1,290,755,000.00 1,342,132,100.44 NS NO

XS0408352960 BCA IMI FR 09/11 EUR INTEREST RATE 02-Feb-09 02-Feb-11 EUR 897,815,000.00 927,301,924.78 NS NO

XS0409428231 BANCA IMI FR 09/11 INTEREST RATE 02-Feb-09 02-Feb-11 EUR 927,165,000.00 957,538,714.13 NS NO

IT0004450752 BCAIMI 09/15 TV INTEREST RATE 02-Feb-09 02-Feb-15 EUR 615,018,000.00 639,919,240.08 Structured NO

IT0004441009 BANCA IMI 09/15 TV INTEREST RATE 02-Feb-09 02-Feb-15 EUR 958,836,000.00 1,015,415,821.40 Structured NO

XS0410936842 BANCA IMI FR 09/11 INTEREST RATE 27-Feb-09 27-Feb-11 EUR 1,177,367,000.00 1,212,602,832.22 NS NO

XS0413318527 IMI 2009/2011 TV INTEREST RATE 27-Feb-09 27-Feb-11 EUR 918,520,000.00 946,920,010.15 NS NO

IT0004452899 BIMI 09/12 S/D INTEREST RATE 27-Feb-09 26-Feb-12 EUR 17,799,000.00 18,320,322.29 Structured NO

XS0411727893 BCA IMI 2009-2013 INTEREST RATE 05-Mar-09 05-Mar-13 EUR 2,107,000.00 2,065,957.92 NS NO

XS0415157592 BCA IMI FR 06/3/2018 INTEREST RATE 06-Mar-09 06-Mar-18 EUR 9,000,000.00 9,667,179.03 Structured NO

IT0004456031 B IMI 09/12 3,32%TF INTEREST RATE 06-Mar-09 06-Mar-12 EUR 4,992,000.00 5,178,731.61 NS NO

IT0004462997 B IMI 09/11 3,086%TF INTEREST RATE 09-Mar-09 09-Mar-11 EUR 380,252,000.00 384,192,241.46 NS NO

IT0004452907 B IMI 09/11 3,3175% INTEREST RATE 09-Mar-09 09-Mar-11 EUR 472,293,000.00 477,706,596.88 NS NO

XS0416426376 BANCA IMI SPA INTEREST RATE 10-Mar-09 30-Dec-11 EUR 40,400,000.00 40,683,852.90 NS NO

IT0004470560 BANCA IMI 09/11 TV INTEREST RATE 13-Mar-09 13-Mar-11 EUR 1,499,178,000.00 1,506,851,582.40 NS NO

XS0414767029 BCA IMI 09/11 INTEREST RATE 31-Mar-09 31-Mar-11 EUR 1,341,402,000.00 1,380,412,077.66 NS NO

IT0004470040 B IMI 9/14 3.15% S/U INTEREST RATE 31-Mar-09 30-Sep-14 EUR 267,134,000.00 267,281,336.50 Structured NO

XS0421526681 BCA IMI TM 09-14 INTEREST RATE 30-Apr-09 30-Apr-14 EUR 205,576,000.00 201,819,725.24 NS NO

IT0004481930 BANCA IMI 09/13 TV INTEREST RATE 30-Apr-09 30-Apr-13 EUR 26,969,000.00 27,258,798.03 NS YES

IT0004489164 B IMI SPA 09/13 S/UP INTEREST RATE 15-May-09 15-May-13 EUR 12,325,000.00 12,743,310.93 Structured NO

IT0004481245 B IMI 09/13 S/UP EUR INTEREST RATE 15-May-09 15-May-13 EUR 24,422,000.00 25,256,678.60 Structured NO

IT0004486533 B IMI 09/14 TV EURO INTEREST RATE 25-May-09 25-May-14 EUR 4,795,000.00 4,890,132.73 Structured NO

IT0004487903 BANCA IMI 09/14 TV INTEREST RATE 28-May-09 28-May-14 EUR 14,880,000.00 15,106,355.57 Structured NO

XS0415046845 BCA IMI HCPI 09-14 INTEREST RATE 29-May-09 29-May-14 EUR 93,571,000.00 94,692,610.97 NS YES

IT0004491848 BCA IMI 09/14 S/U INTEREST RATE 29-May-09 29-May-14 EUR 12,304,000.00 12,267,033.70 Structured NO

235 Attachments

ISIN Description Category Issue Expiry Cur- Nominal Net book value Structured/ Inflation Date Date rency amount Non Yes/No structured

IT0004496912 B IMI 09/13 2,45% INTEREST RATE 17-Jun-09 17-Jun-13 EUR 10,000,000.00 10,175,828.22 NS NO

IT0004486525 BIMI 09/13 3,25% INTEREST RATE 26-Jun-09 26-Jun-13 EUR 20,000,000.00 20,241,748.20 NS NO

IT0004505530 BCA IMI 09/14 3.1% INTEREST RATE 30-Jun-09 30-Jun-14 EUR 23,062,000.00 23,455,630.73 NS NO

IT0004474158 BANCA IMI 09/14 3,5% INTEREST RATE 30-Jun-09 30-Jun-14 EUR 299,547,000.00 305,149,489.36 NS NO

IT0004531312 B IMI 09/14 TV INTEREST RATE 30-Oct-09 30-Oct-14 EUR 37,609,000.00 37,327,759.17 Structured NO

IT0004532187 BCA IMI 09/16 TV INTEREST RATE 30-Oct-09 30-Oct-16 EUR 802,498,000.00 777,570,025.12 Structured NO

XS0463026210 BANCA IMI FR14 INTEREST RATE 26-Nov-09 26-Nov-17 EUR 5,950,000.00 5,676,724.98 Structured NO

XS0471301829 BANCA IMI FR13 INTEREST RATE 11-Dec-09 14-Jul-13 EUR 2,500,000.00 2,512,502.79 NS NO

XS0471302470 BCA IMI FR11 INTEREST RATE 11-Dec-09 15-Dec-11 EUR 5,000,000.00 5,004,312.58 NS NO

XS0460430142 BANCA IMI FR 2016 INTEREST RATE 18-Dec-09 18-Dec-16 EUR 750,698,000.00 719,119,340.16 Structured NO

IT0004554991 BCA IMI 09/12 1,85% INTEREST RATE 21-Dec-09 21-Dec-12 EUR 8,000,000.00 8,044,314.15 NS NO

XS0461107905 BANCA IMI 1.75% 2015 INTEREST RATE 22-Dec-09 22-Dec-15 EUR 256,702,000.00 244,619,856.75 Structured NO

XS0468849814 ISPIM FR 22/12/2017 INTEREST RATE 22-Dec-09 22-Dec-17 EUR 1,900,000.00 1,802,467.60 Structured NO

XS0474145553 BANCA IMI FR 12/2011 INTEREST RATE 22-Dec-09 22-Dec-11 EUR 1,500,000,000.00 1,496,084,735.00 NS NO

XS0475745104 BANCA IMI FR 12/2016 INTEREST RATE 28-Dec-09 28-Dec-16 EUR 2,500,000.00 2,414,368.37 Structured NO

XS0470425181 ISPIM FR 29/12/2009 INTEREST RATE 29-Dec-09 29-Dec-12 EUR 79,884,000.00 79,761,658.07 Structured NO

XS0470428284 ISPIM FR 30/12/2009 INTEREST RATE 30-Dec-09 30-Dec-12 EUR 343,694,000.00 343,163,951.64 Structured NO

XS0476560528 BANCA IMI FR 2012 INTEREST RATE 12-Jan-10 13-Jan-12 EUR 5,000,000.00 5,018,628.39 NS NO

XS0476433254 BCA IMI 2.3125% 12 INTEREST RATE 29-Jan-10 29-Jan-12 EUR 20,000,000.00 20,529,127.76 NS NO

IT0004564156 B IMI 10/15 TV EUR INTEREST RATE 29-Jan-10 29-Jul-15 EUR 218,053,000.00 216,475,707.24 Structured NO

IT0004561889 B IMI 10/13 TV EUR INTEREST RATE 02-Feb-10 02-Feb-13 EUR 823,696,000.00 832,709,015.64 Structured NO

IT0004564016 B IMI 10/13 TV EUR INTEREST RATE 03-Feb-10 03-Feb-13 EUR 79,132,000.00 80,073,210.90 Structured NO

IT0004572258 BCA IMI 10/13 S/U INTEREST RATE 15-Feb-10 15-Feb-13 EUR 10,000,000.00 10,200,719.81 NS NO

IT0004573249 B IMI 10/15 TV EUR INTEREST RATE 26-Feb-10 26-Aug-15 EUR 165,163,000.00 162,652,102.25 Structured NO

IT0004565237 BANCA IMI 10/14 2,1% INTEREST RATE 26-Feb-10 26-Feb-14 EUR 80,000,000.00 82,249,368.39 NS NO

IT0004573264 B IMI 2010/2013 TV INTEREST RATE 03-Mar-10 03-Mar-13 EUR 1,074,038,000.00 1,084,480,821.13 Structured NO

IT0004573256 BCA IMI 10/13 TV INTEREST RATE 04-Mar-10 04-Mar-13 EUR 49,660,000.00 50,137,554.14 Structured NO

IT0004572811 B IMI 2010/2017 TV INTEREST RATE 04-Mar-10 04-Mar-17 EUR 109,534,000.00 105,985,761.26 Structured NO

XS0483710355 BANCA IMI FR 10-17 INTEREST RATE 17-Mar-10 17-Mar-17 EUR 239,349,000.00 239,109,950.86 Structured NO

IT0004576556 BCA IMI 10/15 TV INTEREST RATE 22-Mar-10 22-Mar-15 EUR 452,082,000.00 452,048,746.36 Structured YES

IT0004586472 B IMI 10/16 TV INTEREST RATE 12-Apr-10 12-Apr-16 EUR 199,904,000.00 202,665,184.40 Structured NO

XS0501797616 BANCA IMI FR 8/2012 INTEREST RATE 23-Apr-10 01-Aug-12 EUR 5,000,000.00 5,015,621.76 NS NO

IT0004591795 BCA IMI 10/16 TV INTEREST RATE 04-May-10 04-May-16 EUR 237,414,000.00 239,535,087.84 Structured NO

XS0508678389 BANCA IMI FR 05/2012 INTEREST RATE 18-May-10 18-May-12 EUR 1,500,000,000.00 1,497,672,385.17 NS NO

IT0004610553 BA IMI SPA 10/14 2% INTEREST RATE 23-Jun-10 23-Jun-14 EUR 7,000,000.00 6,931,675.77 NS NO

IT0004611932 BCA IMI SPA 10/17 TV INTEREST RATE 30-Jun-10 30-Jun-17 EUR 421,591,000.00 409,956,486.03 Structured NO

XS0508527842 BANCA IMI STEP 2020 INTEREST RATE 30-Jun-10 30-Jun-20 EUR 6,057,000.00 5,993,423.37 NS NO

IT0004614696 BCA IMI 10/16 TV INTEREST RATE 30-Jun-10 30-Jun-16 EUR 12,607,000.00 12,255,746.23 Structured NO

IT0004614654 BCA IMI SPA 10/17 TV INTEREST RATE 30-Jun-10 30-Jun-17 EUR 21,226,000.00 20,421,430.46 Structured NO

IT0004610256 BCA IMI 10/13 2,0% INTEREST RATE 30-Jun-10 30-Jun-13 EUR 496,485,000.00 494,154,706.52 NS NO

IT0004610702 BCA IMI SPA 10/13 2% INTEREST RATE 01-Jul-10 01-Jul-13 EUR 13,087,000.00 13,025,145.88 NS NO

XS0514557973 BANCA IMI TM 2017 INTEREST RATE 12-Jul-10 12-Jul-17 EUR 152,197,000.00 149,428,572.89 Structured NO

IT0004621873 BCA IMI 10/15 TV INTEREST RATE 30-Jul-10 30-Jul-15 EUR 23,466,000.00 22,969,796.94 NS NO

IT0004621923 B IMI 10/15 T.M. INTEREST RATE 16-Aug-10 16-Aug-15 EUR 40,302,000.00 39,589,042.15 Structured NO

IT0004626450 BCA IMI 10/15 T.M. INTEREST RATE 31-Aug-10 31-Aug-15 EUR 11,737,000.00 11,513,142.23 Structured NO

IT0004622525 BCA IMI SPA 10/15 TV INTEREST RATE 01-Sep-10 01-Sep-15 EUR 2,491,000.00 2,443,620.16 Structured NO

IT0004621543 BCA IMI SPA 10/15 TV INTEREST RATE 01-Sep-10 01-Sep-15 EUR 6,005,000.00 5,864,038.82 Structured NO

IT0004626914 BCA IMI 10/17 TV INTEREST RATE 01-Sep-10 01-Sep-17 EUR 622,941,000.00 600,739,939.38 Structured NO

236 Attachments

ISIN Description Category Issue Expiry Cur- Nominal Net book value Structured/ Inflation Date Date rency amount Non Yes/No structured

IT0004627151 BCA IMI 10/13 2,25% INTEREST RATE 01-Sep-10 01-Sep-13 EUR 462,781,000.00 457,930,809.90 NS NO

IT0004628050 BCA IMI 10/17 TV INTEREST RATE 03-Sep-10 03-Sep-17 EUR 50,419,000.00 48,940,703.72 Structured NO

IT0004625890 BCA IMI 10/13 TV INTEREST RATE 06-Sep-10 06-Sep-13 EUR 164,281,000.00 163,487,256.32 Structured NO

XS0546464883 BCA IMI FL.R2010/12 INTEREST RATE 15-Oct-10 15-Oct-12 EUR 2,500,000,000.00 2,487,814,532.50 NS NO

IT0004640121 BCA IMI SPA 10/15 TV INTEREST RATE 01-Nov-10 01-Nov-15 EUR 7,077,000.00 6,852,511.96 Structured NO

XS0545435496 BCA IMI FR 04/11/12 INTEREST RATE 04-Nov-10 04-Nov-12 EUR 130,604,000.00 130,305,298.97 NS NO

IT0004648694 BCA IMI 10/17 T.M. INTEREST RATE 10-Nov-10 10-Nov-17 EUR 13,515,000.00 12,995,996.94 NS NO

IT0004649544 BCA IMI SPA 10/14 TV INTEREST RATE 18-Nov-10 18-Nov-14 EUR 4,137,000.00 4,045,239.87 Structured NO

IT0004650963 BCA IMI 10/15 TV INTEREST RATE 22-Nov-10 22-Nov-15 EUR 6,372,000.00 6,159,298.61 Structured NO

XS0554141142 BCA IMI FR 03/12/12 INTEREST RATE 03-Dec-10 03-Dec-12 EUR 117,530,000.00 117,249,972.39 NS NO

IT0004650740 BCA IMI SPA 10/17 TV INTEREST RATE 10-Dec-10 10-Dec-17 EUR 71,000,000.00 65,808,456.34 Structured NO

IT0004655970 BCA IMI 10/16 TV INTEREST RATE 17-Dec-10 17-Dec-16 EUR 10,142,000.00 9,776,147.12 Structured NO

IT0004655988 BCA IMI 10/15 TV INTEREST RATE 21-Dec-10 21-Dec-15 EUR 196,863,000.00 191,499,808.07 Structured NO

IT0004654171 BANCA IMI 10/16 TV INTEREST RATE 21-Dec-10 21-Dec-16 EUR 5,436,000.00 5,193,861.62 Structured NO

XS0563967214 B.IMI TS MISTO 10/12 INTEREST RATE 30-Dec-10 30-Dec-12 EUR 15,972,000.00 15,819,610.20 NS NO

IT0004661085 BCA IMI 10/15 TM INTEREST RATE 30-Dec-10 30-Dec-15 EUR 5,000,000.00 4,909,240.11 NS NO

Totale 36,997,097,710.85

237 Attachments Report on corporate governance and ownership pursuant to Art. 123-bis of Legislative Decree 58 of 24 February 1998

The report on corporate governance has been prepared in accordance with Legislative Decree 58 of 24 February 1998, the Consolidated Financial Intermediation Act. Banca IMI is an issuer of financial instruments other than shares admitted for trading on regulated markets or multilateral trading systems. Pursuant to paragraph 5 of Article 123-bis, the following is an account of the main features of the existing risk management and internal control systems for the financial reporting process.

*****

Risk assumption and management policies for Intesa Sanpaolo and its subsidiaries are set by the Supervisory Board and the Management Board of the Parent Company, which draw on support from specific operating committees coordinated by the Group Risk Governance Committee and from the Chief Risk Officer, who reports directly to the Chief Executive Officer.

In detail, the Group Risk Governance Committee, presided over by the Chief Executive Officer, a body with decision-making, advisory and informational powers, is the central locus of risk monitoring and management and the protection of company value, and serves as the hub for functions important to the achievement of risk control strategies, such as: – proposing the Group risk management strategies and policies to the Statutory Bodies, thus ensuring the guidance and coordination of the main risk management measures; – ensuring compliance with the directions and instructions of the Supervisory Authorities concerning risk governance and the related reporting transparency; – ensuring that the Managing Director and CEO and the Management Board have an overview of risk exposure, by reporting any non-compliance and/or breaches of relevant policy; – identifying, analyzing and monitoring situations of potentially significant deterioration of risk and managing events of specific impact and relevance, with implications for the Group’s reputation; – ensuring the adequacy and effectiveness of the risk measurement and reporting system architecture, assessing consistency between business guidelines and management tools/processes; on this point the Committee supervises the results of risk management model validation processes; – assessing the adequacy of the Group’s equity and regulatory capital, as well as the allocation of capital to business units on the basis of plan objectives and risk tolerance objectives; – verifying the consistency of capital requirements and risk measurement with accounting policies; – verifying the Group’s overall credit risk profile, coordinating corrective action and strategic guidelines in relation to credit risk and lending policies; – allocating risk limits to the Divisions, Departments and subsidiaries and setting country risk limits (by country, duration and type of operations) and credit risk concentration limits, in accordance with the decisions of the Management Board and the value creation targets set for each business unit; – spreading awareness of risk, in its various forms, within the Group; – setting out business continuity strategies designed to respond to major emergency situations. In this respect it performs a decision-making role with the following responsibilities: - ratifying the declaration of a state of crisis, on proposal by the Group Head of Crisis Management; - setting out the measures to be taken to deal with major emergencies; - ratifying the extraordinary expenditure proposed by the Group Head of Crisis Management; and - approving the internal communication and communication with the authorities, banking system participants, media and customers.

The Committee is also responsible for Basel II governance and supervising the projects and measures necessary to guarantee compliance.

The Financial Risk Committee is responsible for matters concerning the assumption of financial risks (in both the trading and banking books). The General Manager of Banca IMI and the Head of the Financial

238 Attachments and Capital Management Department are members of the Committee, which is chaired by the Chief Risk Officer and Chief Financial Officer. The Committee is responsible for setting guidelines for methods and the measurement of financial risks, placing operational limits and verifying the risk profile of the Group and its main business units, organised into legally distinct departments and companies. The Committee also sets out the strategies for the management of the banking book to be submitted to the competent bodies and establishes the guidelines on liquidity, interest rate and exchange risk, and periodically assesses the Group’s overall financial risk profile and any measures needed to modify it.

The Group Compliance and Operational Risk Committee, chaired by the Chief Risk Officer, has the task of supervising the implementation of compliance and legal risk guidelines and policies and periodically verifying the Group’s overall operational risk profile, defining any corrective actions, coordinating and monitoring the effectiveness of the main mitigation activities and approving operational risk transfer strategies.

The risk management strategy aims at providing the increasingly integrated and consistent management of risks, in consideration of both the macroeconomic scenario and the Group’s risk profile, while raising awareness of risk. This is shown in the great efforts made in recent years to obtain the validation by the Supervisory Authorities of the internal models for operational and market risks and for credit derivatives, and the approval of the use of internal ratings for the calculation of the requirement to cover credit and operational risk with the Basel 2 project.

Within the Chief Risk Officer’s purview, the Risk Management Department is in charge of the operational implementation of management strategies and guidelines along the decision-making chain, down to each of the Bank’s operational units and individual desks.

Intesa Sanpaolo’s Risk Management Department, to which similar activities are entrusted for Banca IMI, is also responsible for the risk management methods and controls implemented in each business unit, reporting on the general situation to the corporate governance bodies, proposing operational limits on financial risks (for both the banking and trading books), promoting the use of risk measurement tools in granting and monitoring loans and risk concentration, overseeing the methodological and organisational framework for operational risks, using value-at-risk measurements in management reporting and for assessing the Group’s internal capital adequacy, and ensuring statutory reports concerning internal models are sent to Supervisory Bodies.

The scope of the risks identified and monitored of direct interest to Banca IMI may be broken down as follows: – credit risk. This category also includes concentration risk, country risk and residual risks, both from securitisations and uncertainty on credit recovery rates; – market risk (trading book), including position, settlement and concentration risk on the trading book; – financial risk (banking book), mostly represented by interest rate and foreign exchange rate risk; – operational risk, including legal risk; and – liquidity risk.

The scope includes additional risk profiles that may not be attributed to Banca IMI at the date of this report: – strategic risk; – risk on equity investments not subject to line-by-line consolidation; – risk on real estate assets owned for any purpose; – reputation risk; and – insurance risk.

Assessments of each single type of risk for the Group its subsidiaries are then integrated in a summary amount – represented by capital – defined as the maximum “unexpected” loss that may be incurred over a year. This a key measure for determining the financial structure and risk tolerance, guiding operations and ensuring the balance between risks assumed and shareholder return.

The level of absorption of economic capital is estimated on the basis of the current situation and also at a forecast level, based on the Budget assumptions and the projected economic scenario under ordinary and stress conditions.

Risk coverage, in consideration of the nature, frequency and potential impact of the risk, is based on the constant balance between mitigation/hedging actions, control procedures/processes and finally capital protection.

239 Attachments

A Market Risk Committee has been formed within Banca IMI. This technical body has decision-making, propositional and information powers and ensures the monitoring and coordinated oversight of risk management issues in accordance with the guidance provided by the Parent Company’s Risk Governance Committee, as mentioned above.

The following activities fall within the Risk Committee’s purview: – proposing company and Group risk management policies to the Chief Executive Officer and Board of Directors; – proposing security and operational continuity strategies created to deal with emergency situations to the BoD and implementing those strategies; – drafting a proposal for the BoD governing tier-one operational limits by setting maximum risk levels for each business unit in accordance with the decisions made by the Group’s Financial Risk Committee; – ensuring that the Chief Executive Officer and BoD have an integrated view of risk exposure, by reporting any cases of non-compliance and/or breaches of relevant policy; identifying, analyzing, and monitoring situations of potential significant deterioration of risk; – assessing the adequacy and ensuring the efficacy of the reference models for identifying, measuring and reporting risks in connection with (i) governance mechanisms, (ii) management processes and (iii) tools, methods and models, by approving the changes to be made to those models; – assessing and monitoring the Bank’s risk profiles and compliance with the limits set for business units by also analyzing critical issues associated with the offer of new products/services or arising from acquisitions/disposals of operations; – guiding and coordinating major risk intervention, mitigation and transfer while monitoring the efficacy thereof; – approving economic and regulatory capital to be allocated according to the level of risk accepted; – verifying the compliance of capital requirements with allocations and impairment losses; and – ensuring compliance with the directions and instructions of the supervisory authorities concerning risk governance and the related reporting transparency.

The Risk Committee is also charged with supervising the projects and measures required to ensure regulatory compliance, with a particular emphasis on prudential regulatory provisions. The Risk Committee’s activities are supported by periodic reports generated by Intesa Sanpaolo’s Study and Research Service (macroeconomic and financial outlook) and Intesa Sanpaolo’s Market Risk and Financial Valuation Service (risk report).

The risk profile is illustrated by the Risk Management function and discussed in reference to the various indicators (VaR, sensitivity, stress test, indicators of notional amounts and mark-to-market, and the ageing of positions).

The Risk Committee meets weekly and is chaired by the General Manager or by an executive designated by the General Manager in his absence.

240 Attachments

The following individuals participate in the Committee: – the General Manager; – the heads of Finance and Capital Management, Capital Markets, Investment Banking and Structured Finance1; – the head of the Credit Department; – the head of Management Planning and Control; – the head of Administration; – the head of the Market Risks and Financial Valuation Service – Intesa Sanpaolo Risk Management Department; and – the head of the Corporate and Finance Service – Intesa Sanpaolo Internal Auditing Department.

Other functions may be called on to participate when deemed necessary in connection with the issues at hand.

For the control purposes described herein, Banca IMI uses a vast array of techniques and instruments for risk measurement and management that refer to best practices, as explained in ample detail in the notes to the financial statements.

1 The exchange of information between segregated entities (Capital Markets, Investment Banking and Structured Finance) concerning major transactions is strictly limited to information that is not, or no longer, privileged or confidential.

241

CONSOLIDATED ANNUAL REPORT DECEMBER 2010

Consolidated BANCA IMI - Financial highlights and performance ratios

(in millions of euro) Changes 31.12.2010 31.12.2009 amount % Income statement Net interest 513.2 469.7 43.5 9.3 Net fee and commission income 266.4 250.9 15.5 6.2 Net interest and other banking income 1,085.6 1,059.3 26.3 2.5 Net operating costs (298.4) (274.7) (23.7) 8.6 of which: - personnel expenses (120.0) (111.3) (8.7) 7.8 Operating Income 787.2 784.6 2.6 0.3 Taxes on income (238.4) (264.3) 25.9 -9.8 Net income 516.9 517.3 (0.4) -0.1

Balance Sheet Owned securities (HFT and L&R) 13,795.6 15,480.9 (1,685.3) -10.9 Investments 2,931.3 3,838.9 (907.6) -23.6 Structured finance assets 6,594.1 5,944.4 649.7 10.9 Total assets 126,531.8 117,754.4 8,777.4 7.5 Bond and subordinate issues 40,762.5 38,918.5 1,844.0 4.7 Guarantees given and commitments to lend 6,530.8 4,427.2 2,103.6 47.5 Notional amount of financial derivatives 3,010,644.2 3,071,738.7 (61,094.5) -2.0 Notional amount of credit derivatives 99,643.5 133,373.1 (33,729.6) -25.3 Shareholders' equity(1) 3,039.6 3,052.4 (12.8) -0.4

Profitability and risk ratios Cost / Income ratio(2) 27.5% 25.9% Net Income/Average shareholders' equity (ROE)(3) 22.7% 22.7% Basic earning per share (EPS basic) - euros(2) 0.537 0.689

Operating structure Total dedicated resources(4) 738 709 29

1) Including net profits for the period 2) With the exclusion of those effects which impact the overall redditivity of the period 3) Profits for the period in relation to the average capital, reassessment reserves and other reserves 4) It includes seconded resources proportionately

245 Consolidated report on operations

Banca IMI reported a consolidated net income of 517 million at 31 December 2010, unchanged compared to the previous year. Banca IMI S.p.A. was responsible for approximately 99% (97% in the previous year) of this result. Accordingly, extensive references will be made in the rest of this Report to the comments expressed in the separate financial statements of Banca IMI S.p.A.

In the interest of providing an analysis of earnings performance, the following table shows the income statement in reclassified form, which permits a more accurate presentation of the main captions that compose core business results and results of a non-recurring nature.

Restated income statement (in millions of euro) 31.12.2010 31.12.2009 changes amount % Net interest income 513.2 469.7 43.5 9.3 Net fee and commission income 266.4 250.9 15.5 6.2 Profits from financial transactions 301.9 438.5 (136.6) -31.2 Core business results 1,081.5 1,159.1 (77.6) -6.7 Net non-recurring results 4.1 (99.8) 103.9 Net interest and other banking income 1,085.6 1,059.3 26.3 2.5 Net administrative expenses: (297.6) (273.6) (24.0) 8.8 of which: - personnel expenses (120.0) (111.3) (8.7) 7.8 - other administrative expenses (177.6) (162.3) (15.3) 9.4 Adjustments to property, equipments and intangibles assets (0.8) (1.1) 0.3 Operating costs (298.4) (274.7) (23.7) 8.6 Income from other activities 787.2 784.6 2.6 0.3 Provisions and adjustments (37.0) (9.4) (27.6) Other operating income ( expenses ) 5.1 6.4 (1.3) -20.3 Income before tax from continuing operations 755.3 781.6 (26.3) -3.4 Taxes on income from continuing operations (238.4) (264.3) 25.9 -9.8 Net income 516.9 517.3 (0.4) -0.1

In further detail: – net interest income has been adjusted to account for the effects of the hedging of the banking book and transactions economically related to the trading book; – dividends collected on trading shares have been attributed to profits from financial transactions; – revenues and costs associated with strategic operations or of a non-recurring nature are presented on a separate line within net interest and other banking income (net non-recurring results); and – personnel expenses and other administrative expenses are stated net of recoveries.

Net interest at the consolidated level also showed the significant growth commented upon in the separate financial statements, to which the reader is referred to further details: there was a decline in the contribution of debt securities and repurchase agreements, offset by greater income on the banking book both in terms of structured finance loans and management of securities funding.

Within this framework of growth of the aggregate, Banca IMI Securities’ contribution remained essentially unchanged compared to the previous year, while the Luxembourg conglomerate saw an approximately 50% decrease (from 14 to 8 million) in its contribution to the total aggregate, essentially due to the decrease in loans to customers.

246 Consolidated financial statements of Banca IMI - Consolidated report on operations

Net interest (in millions of euro) 31.12.2010 31.12.2009 changes amount % Bond and repo 399.8 413.3 (13.5) -3.3 Structured finance 168.3 80.5 87.8 Funding and interbank market 757.6 915.5 (157.9) -17.2 Bond issues and subordinated liabilities (803.5) (927.4) 123.9 -13.4 Other (9.0) (12.2) 3.2 -26.2 Net interest income 513.2 469.7 43.5 9.3

Income on services rendered, up 6% in both the separate and consolidated financial statements, showed an improvement in the fee and commissions margin reported by IMI Securities, which rose from 4.6 to 7.5 million, owing to the considerable growth of distribution of fixed-income instruments, while brokerage commissions on U.S. and European equity markets remained essentially unchanged. Conversely, the absence of new structured-finance transactions originated by the subsidiary IMI Finance resulted in a decrease in the commissions earned by the latter on arrangement and structuring, which fell from 3.4 million in the previous year to 0.7 million.

The trends in advisory and investment banking operations fully reflect the comments presented in Banca IMI’s separate financial statements. The overall slowdown of the market in 2010, in addition to a cautious approach by issuers to access to capital markets, did not allow for the achievement of the performances of the previous year, which was characterised by significant non-recurring transactions.

Net fee and commission income (in millions of euro) 31.12.2010 31.12.2009 changes amount % Dealing and consultancy Dealing and acceptance of trading instructions 27.3 29.3 (2.0) -6.8 Currency dealing 31.2 26.9 4.3 16.0 Placement of equity and debt 81.1 117.6 (36.5) -31.0 Structured finance 125.8 58.8 67.0 Advisory & specialist 21.3 37.2 (15.9) -42.7 Other 1.7 1.6 0.1 3.7 288.4 271.4 17.0 6.2 Management and services Custody and administration of securities (15.8) (14.5) (1.3) 9.0 Collection and payment services (6.0) (6.0) 0.0 0.0 Other services (0.2) 0.0 (0.2) (22.0) (20.5) (1.5) 7.3

Net fee and commission income 266.4 250.9 15.5 6.2

247 Consolidated financial statements of Banca IMI - Consolidated report on operations

Financial profits are in effect entirely attributable to Banca IMI, with a modest contribution of 2 million in foreign-exchange expenses by IMI Investments. This phenomenon was only attributable to a secondary degree to the market conditions that arose in terms of interest rates and exchange rates and may be ascribed to corporate rather than operational management.

Financial profits (in millions of euro) 31.12.2010 31.12.2009 changes amount % Assets: rates and receivables 211.0 344.7 (133.7) -38.8 Assets: stock securities and indices 10.8 (14.9) 25.7 Assets: stock securities and indices 64.1 88.0 (23.9) -27.2 Assets: currencies 16.0 20.7 (4.7) -22.7 Other assets 301.9 438.5 (136.6) -31.2

Due to the foregoing trends, core business results stood at 1,082 million, down 6.7%.

Net non-recurring results refer exclusively to Banca IMI and include revenue and expenses not directly ascribable to the operating desks. This caption captures the valuation effects of financial assets and liabilities of a cyclical nature attributable to the trend in credit spreads for bank issuers, for which it is not possible or appropriate to enter into specific hedging transactions in the years in question.

The caption thus includes the valuation expenses for the bonds issued by Banca IMI and subject to the fair value option instead of the amortised cost method. The volatility of the creditworthiness of bank issuers resulted in alternating positive and negative effects from one quarter to the next, also influenced by redemptions of 2 billion in bonds. The offsetting effects result in the marginal registration during the 12 months of 1 million in costs – compared to 129 million at 31 December 2009 – due to the measurement of the liabilities issued by Banca IMI designated at fair value.

Net non-recurring results (in millions of euro) 31.12.2010 31.12.2009 changes amount % Capital gains on investments 0.0 3.7 (3.7) IMI Creditworthiness (1.2) (129.0) (127.8) -99.1 SPQR II Creditworthiness 5.3 25.5 20.2 79.2 Net non-recurring results 4.1 (99.8) 103.9

The effects described above were accompanied by the income of the same nature recognised in conjunction with the early extinguishment of the securitisation of own receivables designated SPQR II. The amount of 5.3 million, already presented in Banca IMI’s financial report at 30 June 2010, refers to the securities underlying that transaction, which were repurchased in their entirety in July. The 2009 caption is completed by the dividends collected on AFS investments and profits on the sale of interests in market-companies.

Net interest and other banking income came to 1,086 million for the year, up 2.5%.

248 Consolidated financial statements of Banca IMI - Consolidated report on operations

Moving on to operating costs, it should firstly be noted that the caption increased 8.6% compared to the previous year, climbing to 298 million from the previous 275 million. Within the aggregate, “Personnel expenses” showed slower growth in percentage terms while yielding a structural increase that reflects the larger average number of employees as a result of both the contribution of the Structured Finance business unit to Banca IMI and the subsequent enhancement of the workforce, including that of IMI Securities.

The Group employed a total of 737 resources at 31 December 2010, most of whom were assigned to the Group’s Italian offices. Following the enhancement of the workforce of Banca IMI Securities and the contribution of the Structured Finance business unit to the London branch, over 12% of resources are now outside the national perimeter from a logistical standpoint.

“Other administrative expenses” were up 9.4%, with an increase in the cost captions most closely tied to operations and a moderate increase in logistics expenses attributable to the transfer of IMI Securities to a more suitable location. The constant focus on the overall level of costs also extended to the international investees.

“Adjustments to property, equipment and intangible assets” also decreased due to more extensive use of third-party services than direct investments.

Administrative expenses (in millions of euro) 31.12.2010 31.12.2009 changes amount % Outsourcing costs (109.5) (97.9) (11.6) 11.8 Compulsory costs (4.3) (2.6) (1.7) 65.4 Logistics and functioning costs (9.1) (8.5) (0.6) 7.1 Databases and market information costs (32.5) (32.4) (0.1) 0.3 Legal and consulting expenses (12.7) (11.9) (0.8) 6.7 Other expenses (9.5) (9.0) (0.5) 5.6 Total administrative expenses (177.6) (162.3) (15.3) 9.4

As a result of the foregoing trends, operating income stood at 787 million, essentially in line with 31 December 2009. The cost-income ratio improved to 27.5% from the previous 26%. The indicator’s performance was driven by higher margins on the expansion of the cost basis, in particular for international companies.

249 Consolidated financial statements of Banca IMI - Consolidated report on operations

The net income of 517 million is after provisions for risks and charges and net adjustments to credit exposures of 37 million. The above adjustments of 29 million, attributable to Banca IMI, were driven to an essentially equal extent by two factors, the deterioration of the valuation parameters employed to determine the collective impairment losses on on-balance sheet loans and commitments to lend, following a trend that began as early as the second quarter, and the adjustment of individual impairment losses on positions classified as substandard and restructured.

Net Income (in millions of euro) 31.12.2010 31.12.2009 changes amount % Income from operating activities 787.2 784.6 2.6 0.3 Provisions and adjustments (29.0) (4.0) (25.0) Provisions for risks and charges (8.0) (5.3) (2.7) 50.9 Other non-operational revenues 10.3 10.6 (0.3) -2.8 Other non-operational charges (5.2) (4.3) (0.9) 20.9 Profits from ordinary activities 755.3 781.6 (26.3) -3.4 Income taxes for the period (238.4) (264.3) 25.9 -9.8 Net income 516.9 517.3 (0.4) -0.1

Other non-operational revenues include in both 2009 and 2010 the release to the income statement of provisions recognised in previous years, the amount of which exceeded the sum effectively required to discharge the liability, of 5 and 2 million, respectively.

The net income was after income taxes of 238 million, with a decline in the tax rate (31.5% compared to 33.8%) due to the positive affects of the realignment of the tax value of the goodwill carried by Banca IMI. The percentage is in excess of the 30% recorded in the separate financial statements owing to the higher tax base of the subsidiary IMI Securities.

250 Consolidated financial statements of Banca IMI - Consolidated report on operations

Quarterly reclassified income statement figures are presented in the following table in the interest of further analysis of the development of the income statement during the years compared.

Restated Income Statement by quarter (in millions of euro) 4QT10 3QT10 2QT10 1QT10 4QT09 3QT09 2QT09 1QT09 Net interest income 143.9 130.5 132.2 106.6 99.5 116.0 127.3 126.9 Net fee and commission income 90.9 50.3 48.4 76.8 78.1 51.8 58.0 63.0 Profits from financial transactions 50.1 25.0 56.5 170.3 56.9 99.0 185.2 97.4 Core business results 284.9 205.8 237.1 353.7 234.5 266.8 370.4 287.4 Net non-recurring results (4.4) (7.0) 16.5 (1.0) (8.6) (15.0) (36.6) (39.6) Net interest and other banking income 280.5 198.8 253.6 352.7 225.9 251.8 333.8 247.8 Net administrative expenses: (73.0) (73.3) (76.9) (74.4) (78.0) (66.9) (63.1) (65.6) of which: - personnel expenses (28.5) (30.3) (30.6) (30.6) (33.6) (27.8) (24.2) (25.7) - other administrative expenses (44.5) (43.0) (46.3) (43.8) (44.4) (39.1) (38.9) (39.9) Adjustments to property, equipments and intangibles assets (0.2) (0.3) 0.0 (0.3) (0.3) (0.3) (0.2) 0.3) Operating costs (73.2) (73.6) (76.9) (74.7) (78.3) (67.2) (63.3) (65.9) Income from other activities 207.3 125.2 176.7 278.0 147.6 184.6 270.5 181.9 Provisions and adjustments (12.3) (11.5) (11.2) (2.0) (5.5) 0.4 (4.3) 0.0 Other operating income (expenses ) 6.4 0.0 (1.1) (0.2) 2.0 2.4 2.7 (0.7) Income before tax from continuing operations 201.4 113.7 164.4 275.8 144.1 187.4 268.9 181.2 Taxes on income from continuing operations (77.6) (38.8) (57.4) (64.6) (43.0) (65.4) (96.2) (59.7) Net income 123.8 74.9 107.0 211.2 101.1 122.0 172.7 121.5

The following table presents a reconciliation between the statutory consolidated income statement and reclassified consolidated income statement.

251 Consolidated financial statements of Banca IMI - Consolidated report on operations

Reconciliation between the restated income statement as at 31 December 2010 with the consolidated balance sheet (in millions of euro) RESTATED INCOME INCOME STATEMENT - CIVILISTIC SYSTEM STATEMENT TOTAL expenses Dividends Other costs Income taxes Net commissions Profits on disposal Profits Alloc. to provisions Alloc. to provisions Negotiating results Net interest income Net interest Personnel expenses for risks and charges Other administrative and intangible assets Liabilities at fair value Net value adjustments and operating revenues Net profit from hedging from Net profit Adjustments to tangible

Net interest income 505.0 8.2 513.2 Net fee and commission income 266.4 266.4 Financial profits (5.6) (42.7) 317.5 35.6 0.7 21.0 (24.6) 301.9

Non-recurring results 0.0 5.3 (1.2) 4.1

Personnel expenses (120.0) (120.0) Administrative expenses (1.0) (180.2) 3.6 (177.6) Adjustments to property, equipment and intangibles (0.6) (0.2) (0.8) Allocations and adjustments (29.0) (8.0) (37.0) Other revenues and costs (1.4) 6.5 5.1 Income taxes (238.4) (238.4)

TOTAL 499.4 223.7 317.5 40.9 0.7 29.2 (25.8) (30.4) (121.0) (180.2) (0.6) (8.0) 9.9 (238.4) 516.9

The restated income statement aims to better represent management phenomena, highlighting the economic connection of some civilistic plan items.

Specifically: – Net interests take account of the effects of liabilities valued at fair value, hedging operations and all of financial transaction similar to them; – the dividends and manufactured dividends received on trading and returns to distribution networks are reported among the financial profits; – the results of liabilities assessed at fair value are among the financial profits, the item that includes the revenues from related investments; – non-recurring proceeds and costs are shown on a separate line; – other administrative expenses net of reimbursements and recovered amount total.

252 Consolidated financial statements of Banca IMI - Consolidated report on operations

The following table presents the changes in consolidated balance sheet aggregates.

Summary of the reclassified Asset and Liability Statement (in millions of euro) ASSETS 31.12.2010 31.12.2009 changes amount % 1. Due from banks and customers: - Repurchase agreements 11,859.3 9,249.4 2,609.9 28.2 - Securities lending 995.8 530.9 464.9 87.6 - Fixed-income securities 1,582.8 1,517.7 65.1 4.3 - Collateral deposited 2,901.7 1,740.4 1,161.3 66.7 - Structured finance assets 6,594.1 5,944.4 649.7 10.9 - Interbank deposits 41,095.1 37,196.5 3,898.6 10.5 - Checking accounts and other accounts 1,407.6 1,210.0 197.6 16.3 2. Financial assets held for trading - Fixed-income securities 11,672.1 13,404.6 (1,732.5) -12.9 - Stocks and quotas 540.7 558.6 (17.9) -3.2 - Valuation of off-balance sheet trading transactions 42,959.1 41,062.1 1,897.0 4.6 - Valuation of off-balance sheet hedging transactions 987.4 886.7 100.7 11.4 3. Investments - Fixed income securities AFS 2,856.7 3,811.0 (954.3) -25.0 - Equity investments, share capital and UCITS AFS 74.6 27.9 46.7 4. Other assets - Property, equipment and intangible assets 195.1 195.6 (0.5) -0.3 - Other asset items 809.7 418.6 391.1 93.4 Total Assets 126,531.8 117,754.4 8,777.4 7.5

253 Consolidated financial statements of Banca IMI - Consolidated report on operations

(in millions of euro) LIABILITIES 31.12.2010 31.12.2009 changes amount % 1. Due to banks and customers - Repurchase agreements 16,463.1 15,961.6 501.5 3.1 - Securities lending 941.8 520.8 421.0 80.8 - Collateral received 4,401.7 3,444.9 956.8 27.8 - Loans 11,215.0 7,473.4 3,741.6 50.1 - Checking accounts and other 676.0 2,759.7 (2,083.7) -75.5 2. Financial assets held for trading - Valuation of off-balance sheet trading transactions 45,358.2 42,101.0 3,257.2 7.7 - Short selling 2,578.3 2,307.2 271.1 11.8 - Valuation of off-balance sheet hedging transactions 586.9 668.9 (82.0) -12.3 3. Issues - fair value issues 1,213.4 3,224.4 (2,011.0) -62.4 - other 39,549.1 35,694.1 3,855.0 10.8 4. Vehicle funds 26.4 24.1 2.3 9.5 5. Other liabilities 482.3 521.9 (39.6) -7.6 6. Net shareholder's equity: - Share capital and reserve 2,522.7 2,535.1 (12.4) -0.5 - Net income 516.9 517.3 (0.4) -0.1 Total Liabilities and Shareholders' equity 126,531.8 117,754.4 8,777.4 7.5

(in millions of euro) OFF-BALANCE SHEET TRANSACTIONS 31.12.2010 31.12.2009 changes amount % Guarantees given and commitments to lend 6,530.8 4,427.2 2,103.6 47.5 Financial derivatives 3,010,644.2 3,071,738.7 (61,094.5) -2.0 Credit derivatives 99,643.5 133,373.1 (33,729.6) -25.3

254 Consolidated financial statements of Banca IMI - Consolidated report on operations

During the year, the amount of trading securities – almost entirely attributable to Banca IMI S.p.A. – showed a gradual increase in the government securities segment, which peaked at above the considerable sum of 10 billion. In the third quarter, scheduled redemptions resulted in a decrease in investments in Italian government bonds. As part of a tactical approach, those investments, which were funded solely through repurchase agreements, were not renewed. The year-end figure thus falls short of that reported at 31 December 2009.

Trading securities portfolio (in millions of euro) 31.12.2010 30.06.2010 31.12.2009 changes on 12/09 amount % – Government and public agency securities 4,971.5 10,561.2 7,339.8 (2,368.3) -32.3 – Bonds and other debt securities 6,700.6 6,057.7 6,064.8 635.8 10.5 – Capital securities 540.7 1,950.3 558.6 (17.9) -3.2 - Stocks 178.6 390.6 115.3 63.3 - Quotas at UCITS 362.1 1,559.7 443.3 (81.2) Total 12,212.8 18,569.2 13,963.2 (1,750.4) -12.5

Investments in debt securities for a longer holding period are classified among loans and receivables and assets available for sale.

The former, which are not quoted on an active market and normally acquired on the primary market, showed a total residual value of 1.6 billion at year-end. These include the securities reclassified from held-for-trading to loans and receivables in 2008. For details and trend information, the reader is referred to the separate financial statements of Banca IMI.

Loans to customers are essentially attributable to structured finance transactions. The consolidated aggregate includes aggregates attributable to the area from a management standpoint.

Credit Portfolio (in millions of euro) Gross Adjustments (**) Net exposure Coverage exposure On-balance sheet exposure - performing loans 6,445.9 (103.8) 6,342.1 1.61% - restructured exposures (*) 256.5 (20.0) 236.5 7.80% - substandard loans (*) 17.5 (2.0) 15.5 11.43% Guarantees given 1,599.3 (15.3) 1,584.0 0.96% Irrevocable commitments to lend 1,685.6 (2.3) 1,683.3 0.14% Total 10,004.8 (143.4) 9,861.4

(*) Inclusive of authorised amounts not drawn down of 10 and 3 million, respectively. (**) Inclusive of the deductible of 10.5 million on Risk Participation Agreements entered into with Intesa Sanpaolo.

255 Consolidated financial statements of Banca IMI - Consolidated report on operations

Bond funding was entirely ascribable to Banca IMI. The funds raised by the subsidiaries took the form of bank financing.

Bond Issues (in millions of euro) 31.12.2010 30.06.2010 31.12.2009 changes on 12/09 amount % - Bond issues: rate indexed 36,997.1 37,465.3 33,075.2 3,921.9 11.9 - Bond issues: equity indexed 2,552.0 2,678.7 2,618.9 (66.9) -2.6 - Bond issues: CPPI indexed 1,213.4 1,736.6 3,224.4 (2,011.0) -62.4 Total 40,762.5 41,880.6 38,918.5 1,844.0 4.7

The increase in funding continued to drive treasury investments. At year-end, the interbank position saw a further rise in time deposits with the Parent Company, following similar trends to securities funding.

As shown in the consolidated statement of cash flows, Banca IMI and its subsidiaries generated over 465 million in net cash on operating activity.

Derivatives transactions are entirely attributable to Banca IMI. For a review of the stocks of notional amounts outstanding at year end and the development thereof, the reader is referred to the separate financial statements of Banca IMI.

The following table shows the gross positive and negative fair value of off-balance sheet transactions. Futures-style contracts, the margins of which are entered directly to the total treasury balances through the income statement, are excluded from consideration.

Measurement of off-balance sheet transactions (in millions of euro) Positive fair value of: 31.12.2010 31.12.2009 changes amount % Derivatives on debt securities and interest rates 37,641.0 35,631.2 2,009.8 5.6 Derivatives on capital securities and indices 1,427.0 1,662.2 (235.2) -14.1 Derivatives on currencies 1,749.1 1,724.8 24.3 1.4 Credit derivatives 1,956.7 1,915.0 41.7 2.2 Derivatives on commodities 175.0 108.1 66.9 61.9 Forwards and covered warrants 10.3 20.8 (10.5) -50.5 Total 42,959.1 41,062.1 1,897.0 4.6

Negative fair value of: 31.12.2010 31.12.2009 changes amount % Derivatives on debt securities and interest rates 38,135.0 35,313.4 2,821.6 8.0 Derivatives on capital securities and indices 1,540.5 1,874.1 (333.6) -17.8 Derivatives on currencies 1,746.0 1,658.0 88.0 5.3 Credit derivatives 1,778.0 1,925.3 (147.3) -7.7 Derivatives on commodities 156.7 89.6 67.1 74.9 Forwards and covered warrants 2,002.0 1,240.6 761.4 61.4 Total 45,358.2 42,101.0 3,257.2 7.7

The increase in the aggregate “negative fair value” was primarily offset by the cash collected for the issue of securitised derivatives (covered warrants and certificates).

256 Consolidated financial statements of Banca IMI - Consolidated report on operations

The following table shows trends in consolidated shareholders’ equity during the two years compared:

Changes in Shareholders’ equity (in millions of euro) Share Share Reserves Fair Value Profits Total net capital premium and profits Reserves worth to be allocated Net shareholders’ equity as at 31 December 2008 662.4 131.3 781.0 11.4 308.1 1,894.2 Results of the previous accounting period 175.6 (308.1) (132.5) Capital increase due to migration 300.0 450.0 750.0 Adjustments of debt securities AFS 25.6 25.6 Balance sheets' conversion and other changes (2.2) (2.2) Profit (loss) for the period 517.3 517.3 Net shareholders’ equity as at 31 December 2009 962.4 581.3 954.4 37.0 517.3 3,052.4 Breakdown Net Income 64.9 (517.3) (452.4) Purchase of Epsilon SGR (7.0) (7.0) Fair value for AFS investments (74.5) (74.5) Balance sheets' conversion and other changes 4.2 4.2 Profit (loss) for the period 516.9 516.9 Net shareholders’ equity as at 31 December 2010 962.4 581.3 1,016.5 (37.5) 516.9 3,039.6

Banca IMI and its subsidiaries belong to the Intesa Sanpaolo Banking Group. The ultimate Parent Company is responsible for discharging consolidated regulatory obligations.

The following pages contain a presentation of the quarterly development of the reclassified balance sheet.

Quarterly reclassified asset and liability statement (in millions of euro) ASSETS 31.12.2010 30.09.2010 30.06.2010 31.03.2010 31.12.2009 30.09.2009 30.06.2009 31.03.2009

1.Due from banks and customers:

- Repurchase agreements 11,859.3 10,963.3 14,215.0 11,972.7 9,249.4 6,703.3 7,168.8 7,570.1

- Securities lending 995.8 1,966.2 3,084.9 2,535.6 530.9 924.5 505.7 1,425.1

- Fixed income securities 1,582.8 1,537.2 1,692.4 1,494.3 1,517.7 1,511.6 1,511.4 563.8

- Collateral deposited 2,901.7 3,964.0 2,445.7 1,681.1 1,740.4 1,707.9 1,258.3 1,383.7

- Structured finance assets 6,594.1 6,274.1 6,166.1 5,929.6 5,944.4 5,746.9 450.3 962.1

- Interbank and other accounts 42,502.7 44,822.1 42,199.3 40,453.3 38,406.5 36,478.9 36,313.7 34,286.0

2. Held for trading assets

- Fixed income securities 11,672.1 14,976.2 16,618.9 16,345.5 13,404.6 14,539.2 13,663.8 13,091.8

- Stocks and quotas 540.7 1,553.5 1,950.3 1,418.7 558.6 874.3 900.8 1,189.0 - Positive valuation of off-balance sheet transactions 43,946.5 59,343.1 55,568.9 48,230.2 41,948.8 45,541.5 40,506.6 46,361.7 3. Investments

- Fixed income securities AFS 2,856.7 4,168.1 4,971.8 4,637.7 3,811.0 4,311.9 4,005.8 3,914.5 - Equity investments, share capital and UCITS AFS 74.6 36.6 28.6 14.3 27.9 31.4 17.4 18.8 4. Other assets - Property, equipment and intangible assets 195.1 195.3 195.4 195.5 195.6 195.4 1.7 1.9 - Other asset items 809.7 888.1 752.7 656.1 418.6 1,015.5 753.6 557.7

Total Assets 126,531.8 150,687.8 149,890.0 135,564.6 117,754.4 119,582.3 107,057.9 111,326.2

257 Consolidated financial statements of Banca IMI - Consolidated report on operations

(in millions of euro) LIABILITIES 31.12.2010 30.09.2010 30.06.2010 31.03.2010 31.12.2009 30.09.2009 30.06.2009 31.03.2009

1. Due to banks and customers:

- Repurchase agreements 16,463.1 19,908.0 25,016.6 22,000.5 15,961.6 16,417.3 16,179.6 16,274.4

- Securities lending 941.8 1,702.7 264.1 293.8 520.8 426.0 257.8 297.8

- Collateral received 4,401.7 6,048.4 5,528.9 4,063.2 3,444.9 3,706.7 3,374.7 3,791.4

- Loans 11,215.0 11,126.5 9,798.6 9,525.3 7,473.4 5,135.6 688.6 1,897.0 - Checking accounts and other accounts 676.0 1,495.3 3,713.4 3,398.3 2,759.7 5,001.1 4,411.9 2,053.9 2. Held for trading assets - Negative valuation of off-balance sheet transactions 45,945.1 60,731.7 56,522.8 48,880.1 42,769.9 45,671.1 40,341.4 45,422.2 - Short selling 2,578.3 2,630.6 3,783.1 3,969.2 2,307.2 1,771.5 1,421.5 1,574.4

3. Issues

- subordinate - - - - - 167.4 166.8 167.4

- other 40,762.5 43,429.8 41,880.6 39,343.3 38,918.5 37,755.6 37,683.1 37,313.9

4. Vehicle funds 26.4 20.9 21.2 23.4 24.1 21.2 19.1 18.2

5. Other liability items 482.3 667.4 496.4 797.3 521.9 548.6 420.4 497.3

6. Shareholders' equity

- Share capital and reserves 2,522.7 2,533.4 2,546.1 3,059.0 2,535.1 2,544.2 1,798.8 1,896.7

- Net income 516.9 393.1 318.2 211.2 517.3 416.0 294.2 121.6

Total Liabilities 126,531.8 150,687.8 149,890.0 135,564.6 117,754.4 119,582.3 107,057.9 111,326.2

(in millions of euro) OFF-BALANCE SHEET TRANSACTIONS 31.12.2010 30.09.2010 30.06.2010 31.03.2010 31.12.2009 30.09.2009 30.06.2009 31.03.2009 Financial derivatives (notional amount) 3,010,644.2 3,029,998.1 3,227,379.7 3,328,448.4 3,071,738.7 2,823,483.2 2,755,174.6 2,904,969.6 Credit derivatives (notional amount) 99,643.5 100,847.0 80,804.7 91,584.9 133,373.1 92,021.6 89,185.3 57,809.3 Guarantees given and commitments to lend 6,530.8 8,060.6 8,247.8 7,801.1 4,427.2 3,735.3 1,107.6 1,168.7

The following is a statement of reconciliation between the shareholders’ equity and net income of Banca IMI and those of the Group as at 31 December 2010: (in thousands of euro) Shareholders' of which: equity net income on 31.12.2010 Balance of Banca IMI accounts as at 31.12.2010 2,951,392 547,310 Effects of consolidation of subsidiaries subject to control 86,670 15,359 Effect of valutation at equity of companies subject to joint control 966 966 Dividends collected in the period (46,752) Other changes 532 0 Balance of consolidated accounts as at 31.12.2010 3,039,560 516,883

The Board of Directors

Milan, 4 March 2011

258 Consolidated financial statements of the Banca IMI Group

Consolidated financial statements of the Banca IMI Group

Consolidated Balance Sheet (in thousands of euro) Assets 31.12.2010 31.12.2009 changes amount % 10. Cash and cash equivalents 2 5 (3) -60.0 20. Financial assets held for trading 55,172,020 55,025,303 146,717 0.3 30. Financial assets carried at fair value - - - 40. Financial assets available for sale 2,922,644 3,836,377 (913,733) -23.8 50. Financial assets held to maturity - - - 60. Due from banks 52,888,946 48,504,365 4,384,581 9.0 70. Loans to customers 13,547,339 8,884,866 4,662,473 52.5 80. Hedging derivatives 987,356 886,675 100,681 11.4 90. Adjustments of financial assets subject to generic hedge (+/-) – – – 100. Equity investments 8,647 2,529 6,118 110. Technical reserves to be charged on reinsurance companies - - - 120. Property and equipment 855 1,254 (399) -31.8 130. Intangible assets 194,251 194,342 (91) of which: - goodwill 194,070 194,070 - - 140. Tax assets 388,945 153,577 235,368 a) deferred tax assets 263,647 116,351 147,296 b) deferred tax liabilities 125,298 37,226 88,072 150. Non recurring assets and groups of activities on disposal - - - 160. Other assets 420,829 265,149 155,680 58.7 Total Assets 126,531,834 117,754,442 8,777,392 7.5

261 Consolidated financial statements of the Banca IMI Group

(in thousands of euro) Liabilities and shareholders’ equity 31.12.2010 31.12.2009 changes amount % 10. Due to banks 25,228,016 25,601,530 (373,514) -1.5 20. Due to customers 8,469,525 4,558,919 3,910,606 85.8 30. Securities issued 39,549,073 35,694,070 3,855,003 10.8 40. Financial liabilities held for trading 47,936,468 44,408,240 3,528,228 7.9 50. Financial liabilities carried at fair value through profit and loss 1,213,368 3,224,429 (2,011,061) -62.4 60. Hedging derivatives 586,922 668,861 (81,939) -12.3 70. Adjustments of financial liabilities subject to generic hedge (+/-) – – – 80. Tax liabilities 327,549 341,294 (13,745) -4.0 a) current 323,999 324,197 (198) -0.1 b) deferred 3,550 17,097 (13,547) -79.2 90. Liabilities associated to activities on disposal - - - 100. Other liabilities 154,972 180,493 (25,521) -14.1 110. Employee termination indemnities 8,600 8,900 (300) -3.4 120. Allowances for risks and charges 17,781 15,249 2,532 16.6 a) retirement packages and similar obligations 12 12 - - b) other allowances 17,769 15,237 2,532 16.6 130. Technical reserves - - - 140. Valuation reserves (37,567) 37,024 (74,591) 150. Callable shares - - - 160. Capital instruments - - - 170. Reserves 1,016,520 954,380 62,140 6.5 180. Share premium reserve 581,260 581,260 - - 190. Share capital 962,464 962,464 - - 200. Treasury shares (-) - - - 210. Third party equity (+/-) - - - 220. Net income (loss) 516,883 517,329 (446) -0.1 Total liabilities and Shareholders’ Equity 126,531,834 117,754,442 8,777,392 7.5

262 Consolidated financial statements of the Banca IMI Group

Consolidated Income Statement (in thousands of euro) 2010 2009 changes amount % 10. Interest and similar income 2,080,093 1,944,519 135,574 7.0 20. Interest and similar expense (1,580,728) (1,480,469) (100,259) -6.8 30. Interest margin 499,365 464,050 35,315 7.6 40. Fee and commission income 394,355 381,141 13,214 3.5 50. Fee and commission expense (170,647) (173,522) 2,875 1.7 60. Net fee and commission income 223,708 207,619 16,089 7.7 70. Dividend and similar income 317,560 329,713 (12,153) -3.7 80. Profits (Losses) on trading 40,864 232,733 (191,869) -82.4 90. Profits (Losses) on hedging 653 4,782 (4,129) -86.3 100. Profits (Losses) on disposal or repurchase of: 29,218 73,981 (44,763) -60.5 a) loans 8,166 43 8,123 b) financial assets available for sale 15,108 73,061 (57,953) -79.3 c) investments held to maturity - 221 (221) d) financial liabilities 5,944 656 5,288 110. Profits (Losses) on financial assets and liabilites carried at fair value (25,816) (253,595) 227,779 89.8 120. Net interest and other banking income 1,085,552 1,059,283 26,269 2.5 130. Net losses / recoveries on impairment: (30,318) (4,027) (26,291) a) loans (42,129) (1,532) (40,597) b) financial assets available for sale - - - c) investments held to maturity - - - d) other financial activities 11,811 (2,495) 14,306 140. Net income from banking activities 1,055,234 1,055,256 (22) 150. Net premiums - - - 160. Other income/loss from insurance activities - - - 170. Net income from banking and insurance activities 1,055,234 1,055,256 (22) 180. Administrative expenses: (301,134) (275,840) (25,294) -9.2 a) personnel expenses (120,972) (112,238) (8,734) -7.8 b) other administrative expenses (180,162) (163,602) (16,560) -10.1 190. Net provisions for risks and charges (8,000) (5,300) (2,700) -50.9 200. Net adjustments to/recoveries on property and equipment (536) (522) (14) -2.7 210. Net adjustments to/recoveries on intangible assets (110) (205) 95 46.3 220. Other operating expenses (income) 9,859 8,201 1,658 20.2 230. Operating expenses (299,921) (273,666) (26,255) -9.6 240. Profits (Losses) on equity investments (23) - (23) 250. Net income (loss) from fair value evaluation of tangible and intangible assets - - - 260. Impairments of goodwill - - - 270. Profits (Losses) on disposal of investments - - - 280. Income (Loss) before tax from continuing operations 755,290 781,590 (26,300) -3.4 290. Taxes on income from continuing operations (238,407) (264,261) 25,854 9.8 300. Income (Loss) after tax from continuing operations 516,883 517,329 (446) -0.1 310. Net Income (Loss) from disposal of groups of activities - - - 320. Net income (loss) 516,883 517,329 (446) -0.1 330. Thir party net income (loss) - - - 340. Parent company net income 516,883 517,329 (446) -0.1 Basic Earnings per share (basic EPS) - euro 0.537 0.689 Diluted Earnings per share (diluted EPS) - euro 0.537 0.689

263 Consolidated financial statements of the Banca IMI Group

Consolidated statement of comprehensive income (in thousands of euro) 2010 2009 changes amount % 10. NET INCOME (LOSS) 516,883 517,329 (446) -0.1

Other net income components

20. Financial assets available for sale (74,591) 25,611 (100,202) 30. Property and equipment - - - 40. Intangible assets - - - 50. Foreign investments hedge - - - 60. Financial cash flows hedge - - - 70. Exchange rate differentials 6,485 (378) 6,863 80. Non recurring assets on disposals - - - 90. Attuarial gains and losses on defined-benefits post-retirement plans - - - 100. Valuation reserve quotas at equity investments carried at shareholders' equity - - - 110. Total other net income components (68,106) 25,233 (93,339) 120. COMPREHENSIVE INCOME (Captions 10 + 110) 448,777 542,562 (93,785) -17.3 130. Third party consolidated comprehensive income - - - 140. Parent company consolidated comprehensive income 448,777 542,562 (93,785)

264 Consolidated financial statements of the Banca IMI Group

Statement of changes in consolidated shareholder’s equity as at 31.12.2009 (in thousands of euro) Share Share Reserves Valuation Net Income Sharehol- Capital premium reserves (Loss) ders' reserves equity ordinary income other shares SHAREHOLDERS' EQUITY AS AT 31.12.2008 662,464 131,260 781,022 - 11,413 308,080 1,894,239

Allocation of previous year

net income – Reserves - - 175,587 - (175,587) - – Dividends and other allocations (132,493) (132,493) Changes in the period – Changes in reserves and exchange rate differentials (1,851) - - (1,851)

– Transaction on shareholders' equity - New shares issue 300,000 450,000 750,000 – Comprehensive income for the period 2009 (378) 25,611 517,329 542,562

SHAREHOLDERS' EQUITY AS AT 31.12.2009 962,464 581,260 954,380 - 37,024 517,329 3,052,457

Statement of changes in consolidated shareholder’s equity as at 31.12.2010 (in thousands of euro) Share Share Reserves Valuation Net Income Sharehol- Capital premium reserves (Loss) ders' reserves equity ordinary income other shares SHAREHOLDERS' EQUITY AS AT 31.12.2009 962,464 581,260 954,380 - 37,024 517,329 3,052,457

Allocation of previous year

net income – Reserves 64,971 (64,971) - – Dividends and other allocations (452,358) (452,358) Changes in the period – Changes in reserves and exchange rate differentials (9,316) (9,316)

– Comprehensive income for the period 2010 6,485 (74,591) 516,883 448,777

SHAREHOLDERS' EQUITY AS AT 31.12.2010 962,464 581,260 1,016,520 - (37,567) 516,883 3,039,560

265 Consolidated financial statements of the Banca IMI Group

Consolidated statement of cash flows (in thousands of euro) 31.12.2010 31.12.2009 A. operating activities 1. Cash flow from operations 906,902 760,909 - Net income (+/-) 516,883 517,329 - Gains/Losses on financial assets held for trading and on 61,734 (25,335) assets/liabilities carried at fair value through profit and loss - Gains/Losses on hedging activities - - - Net losses/recoveries on impairment 30,318 4,027 - Adjustments to/net recoveries on property, equipment 646 727 and intangible assets - Net provisions for risks and charges and other costs/revenues 31,244 5,300 - Net insurance premiums to be collected - - - Other insurance revenues/charges to be collected - - - Taxes and duties to be settled 238,407 264,261 - Net adjustments to/recoveries on disposal groups net of tax effect - - - Other adjustments 27,670 (5,400) 2. Cash flow from / used in financial assets (8,833,410) (29,919,472) - Financial assets held for trading (208,451) (6,291,870) - Financial assets carried at fair value - - - Financial assets available for sale 913,733 (3,583,015) - Due from banks: repayable on demand (335,973) 277,096 - Due from banks: other (4,048,608) (21,716,747) - Loans to customers (4,662,473) 1,409,915 - Other assets (491,638) (14,851) 3. Cash flow from / used in financial liabilities 8,392,085 29,289,745 - Due to banks: repayable on demand (2,657,971) (527,900) - Due to banks: other 2,284,457 8,136,041 - Due to customers 3,910,606 740,614 - Securities issued 3,855,003 17,870,825 - Financial liabilities held for trading 3,528,228 3,214,554 - Financial liabilities carried at fair value through profit and loss (2,011,061) (653,715) - Other liabilities (517,177) 509,326 Net cash flow from (used in) operating activities 465,577 131,182

266 Consolidated financial statements of the Banca IMI Group

Consolidated statement of cash flows (in thousands of euro) 31.12.2010 31.12.2009 B. INVESTMENT ACTIVITIES 1. Cash flow from operations (13,222) 1,311 - Sales of equity investments - - - Dividends collected on equity investments (13,222) 1,311 - Sales of investments held to maturity - - - Sales of property and equipment - - - Sales of intangible assets - - - Sales of business branches - - 2. Cash flow used in - - - Purchases of equity investments - - - Purchases of investments held to maturity - - - Purchases of property and equipment - - - Purchases of intangibles assets - - - Purchases of business branches - - Net cash flow from (used in) investing activities (13,222) 1,311 C. FINANCING ACTIVITIES - Issues/purchases of treasury shares - - - Share capital increases - - - Dividend distribution and other (452,358) (132,493) Net cash flow from (used in) financing activities (452,358) (132,493)

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS (3) 0

Reconciliation

Cash and cash equivalents at beginning of period 5 5 Net increase (decrease) in cash and cash equivalents (3) - Cash and cash equivalents: foreign exchange effect - - CASH AND CASH EQUIVALENTS AT THE END OF THE PERIOD 2 5

LEGEND: (+) cash flow from (–) cash flow used in

267

Notes to the consolidated financial statements

269

Part A – Accounting policies

A.1 - GENERAL CRITERIA

SECTION 1 - DECLARATION OF COMPLIANCE WITH INTERNATIONAL ACCOUNTING STANDARDS The consolidated financial statements have been prepared in accordance with Legislative Decree 38 of 28 February 2005, according to the IASs/IFRSs issued by the International Accounting Standards Board (IASB), endorsed and in force at 31 December 2010, and the interpretations designated SIC and the Interpretations of the International Financial Reporting Interpretations Committee (IFRIC), as established in Regulation (EC) 1606 of 19 July 2002. Those principles have been used to prepare the comparative figures and opening balance at 1 January 2010.

The financial reporting instructions issued by the Bank of Italy in the Order of 22 December 2005, the concurrent Circular 262/05 and the subsequent update of 18 November 2009 have been followed in preparing the consolidated financial statements.

The earnings and financial position figures of subsidiaries have been drawn from reporting packages specifically prepared to ensure consistency with the information employed in the Intesa Sanpaolo Group’s consolidated financial statements. These reporting packages have been drafted in accordance with the Intesa Sanpaolo Group’s accounting standards, which are consistent with IASs/IFRSs. Accordingly, there were no effects on the consolidated shareholders’ equity and net income of Banca IMI and its subsidiaries due to the application of different accounting standards.

The consolidated financial statements at 31 December 2010 have been audited by Reconta Ernst & Young S.p.A..

SECTION 2 - GENERAL BASIS OF PREPARATION The consolidated financial statements comprise the balance sheet, the income statement, statement of comprehensive income, statement of changes in shareholders’ equity, statement of cash flows and notes and are also accompanied by a report on the operations, earnings results and financial position of Banca IMI and its subsidiaries and associates.

The financial statements have been prepared in accordance with the general principles of IASs and present the figures for the period alongside the comparative figures from the previous year, for the balance sheet, or the corresponding period of the previous year, for the income statement.

In accordance with the provisions of Article 5 of Legislative Decree 38/2005, the financial statements have been drawn up using the euro as the functional currency. The amounts in the financial statements and the notes are expressed in thousands of euro, unless otherwise indicated, whereas those stated in the report on operations are in millions of euro, unless otherwise indicated.

The consolidated financial statements have been prepared in accordance with the general principles of IAS 1 and the specific accounting standards endorsed by the European Commission and illustrated in Part A.2 of these notes, as well as in compliance with the general assumptions set forth by the Framework for the Preparation and Presentation of Financial Statements issued by the IASB. There were no exceptions to the application of international accounting standards (IASs/IFRSs).

The report on operations and the notes provide all information required by international accounting standards, the law, the Bank of Italy and Consob, in addition to further information that is not compulsory but is nonetheless deemed necessary to a true and fair presentation of the consolidated situation.

271 Notes to the consolidated financial statements - Part A – Accounting policies

SECTION 3 - SCOPE OF CONSOLIDATION AND CONSOLIDATION METHODS

Scope of consolidation The consolidated financial statements include Banca IMI and its direct or indirect subsidiaries and associates.

Companies are considered subsidiaries when Banca IMI directly or indirectly holds more than half of the voting rights or when it has a lesser share of voting rights but has the power to appoint the majority of directors of the company or determine its financial or operating policies. In the measurement of voting rights, “potential” rights are also considered if they are currently exercisable or convertible into actual voting rights at any time.

Companies are considered as subject to joint control when the voting rights and the control of the economic activities of the company are equally shared by Banca IMI, directly or indirectly, and another entity.

Companies are considered associates, that is subject to significant influence, when Banca IMI directly or indirectly holds at least 20% of voting rights (including “potential” voting rights as described above), or when the Parent Company – despite a lower percentage of voting rights due to specific legal agreements such as the participation of voting syndicates – has the power to participate in the determination of the financial and operating policies of the company.

There were no changes in the scope of consolidation compared to the situation at 31 December 2009. The following table shows equity investments included in the line-by-line scope of consolidation of the consolidated financial statements at 31 December 2010.

Equity investments in fully controlled companies

Company Office Relation Equity investment relation Voting rights % Participating quota company % A. CONTROLLING EQUITY INVESTMENTS Controlling company Banca IMI S.p.A. Milan Share capital Euro 962.464.000 distributed in shares with non expressed nominal value A. 1 Fully consolidated companies IMI Investments S.A. Luxembourg (1) Banca IMI 100 100 Share capital Euro 21.660.000 IMI Finance S.A. Luxembourg (1) IMI Investments 100 100 Share capital Euro 100.000 IMI Capital Markets Delaware (1) IMI Investments 100 100 Share capital USD 5.000 Banca IMI Securities Corp. New York (1) IMI Capital 99.99 99.99 Share capital USD 44.500.000

(1) Majority of voting rights in shareholders’ meeting

272 Notes to the consolidated financial statements - Part A – Accounting policies

Consolidation methods

Line-by-line consolidation This method involves the “line-by-line” combination of the individual amounts reported in the balance sheets and income statements of the subsidiaries concerned. Following the allocation to minority shareholders of their interests, in a specific caption, in both shareholders’ equity and net income or loss for the year, the amount of the equity investment is derecognised along with the residual shareholders’ equity of the subsidiaries concerned. Any positive consolidation differences, after allocation to the subsidiary’s assets and liabilities, are recognised under intangible assets as goodwill or other intangible assets. Negative differences are charged to the income statement. All assets, liabilities, income and expenses between consolidated companies are derecognised. Acquisitions of companies are accounted for according to the acquisition method set out in IFRS 3, as amended by Regulation 495/2009, according to which the acquiree’s identifiable assets acquired and identifiable liabilities assumed (including contingent liabilities) are to be recognised at their respective acquisition date fair values. In addition, for each business combination, any minority interests in the acquiree may be recognised at fair value or in proportion to the minority interests in the acquiree’s identifiable net assets. If the consideration provided (represented by the fair value of the assets transferred, liabilities assumed and equity instruments issued) and fair value of the minority interests exceed the fair value of the assets and liabilities acquired, the difference is recognised as goodwill. If the price is lower, the difference is charged to the income statement. The “acquisition method” is applied effective the acquisition date, i.e. the moment control of the acquiree is obtained. Accordingly, the earnings results of a subsidiary acquired during the reporting period are included in the consolidated financial statements effective the acquisition date. Likewise, the earnings results of a subsidiary that has been sold are included in the consolidated financial statements until the date on which control ceases. The difference between sale price and book value at the date of disposal (including foreign exchange differences recorded in shareholders’ equity on consolidation, over time) is accounted for in the income statement. Once a year (or whenever there is evidence of impairment losses), goodwill is tested for impairment. This process requires the identification of the cash-generating unit to which the goodwill is to be allocated. Any impairment losses are determined on the basis of the difference between the carrying amount and recoverable amount of goodwill, if the latter is lower. This recoverable amount is equal to the greater of the fair value of the cash-generating unit less costs to sell and the relative value in use. The ensuing adjustments are recognised in the income statement. The financial statements of Banca IMI and the other companies used to prepare the consolidated financial statements refer to the same date.

Consolidation according to the equity method Associates and companies subject to joint control are consolidated according to the equity method (an alternative consolidation method permitted under IAS 31). The equity method requires the initial recognition of the equity investment at cost and its subsequent value adjustment based on the interest in the company’s shareholders’ equity. Any difference between the book value of the investment and the shareholders’ equity of the investee is included in the carrying amount of the investment. The valuation of the interest in shareholders’ equity does not contemplate potential voting rights. The Group’s interest in the company’s results for the period is recognised in a specific caption of the consolidated income statement. Where there is evidence of impairment, the recoverable amount of the investment is estimated, considering the present value of the future cash flows that may be generated by the investment, including the final disposal value. If the recoverable amount is less than the carrying amount, the difference between them is recognised in the income statement. For consolidation of investments in associates or companies subject to joint control, the most recent approved (annual or interim) figures have been used.

273 Notes to the consolidated financial statements - Part A – Accounting policies

Conversion of financial statements in currencies other than the euro The financial statements of companies that operate outside the Eurozone are translated into euro by applying the spot exchange rate at year-end to assets and liabilities and the average exchange rates to captions of the income statement. Exchange differences on the translation of the financial statements of investees are recognised under “Earnings reserves”. All foreign exchange differences are reversed to the income statement during the year in which the foreign operation is sold.

SECTION 4 - SIGNIFICANT EVENTS AFTER THE REPORTING DATE

No other events occurred after the reporting date that would have resulted in effects on the Bank’s earnings or financial position to an extent worthy of mention in these notes.

A.2 - MAIN FINANCIAL STATEMENT CAPTIONS

The accounting standards followed in preparing the consolidated financial statements were the same as those employed in the separate financial statements, to which the reader is referred.

A.3 - INFORMATION ON FAIR VALUE

For the trends in transfers between portfolios, ascribable solely to Banca IMI, the reader is referred to the separate financial statements.

A.3.2 Fair value hierarchy

For the general principles of the fair value hierarchy, the reader is referred to the contents of the separate financial statements.

A.3.2.1 Accounting portfolios: breakdown by fair value levels (in thousands of euro) Financial assets/liabilities carried at 31 December 2010 31 December 2009 fair value L1 L2 L3 L1 L2 L3 1. Financial assets held for trading 8,219,463 46,727,462 225,095 10,451,798 44,453,691 119,814 2. Financial assets carried at fair value 3. Financial assets available for sale 2,857,355 - 65,289 3,705,549 119,235 11,593 4. Hedging derivatives 987,356 886,675 Total 11,076,818 47,714,818 290,384 14,157,347 45,459,601 131,407 1. Financial liabilibities held for trading 3,735,587 43,865,526 335,355 2,780,123 41,627,800 317 2. Financial liabilities carried at fair value 1,213,368 3,224,429 3. Hedging derivatives 586,922 668,861 Total 3,735,587 45,665,816 335,355 2,780,123 45,521,090 317

Legend: L1 = Level 1 L2 = Level 2 L3 = Level 3

274 Notes to the consolidated financial statements - Part A – Accounting policies

A.3.3 Information on day-one profit

Revenues from the sale of financial instruments, determined by the difference between transaction amount paid or received and the fair value of the instrument, are recognised in the income statement at the time of the transaction if the fair value is determinable with reference to parameters or transactions recently closed on the same market. If such values are not easily observable or present a reduced level of liquidity, the financial instrument is recognised at a value equal to the price of the transaction, net of the commercial margin. Any greater income and expenses are suspended. The net income not yet credited to the income statement came to approximately 28 million at 31 December 2009 and is entirely attributable to Banca IMI S.p.A. For further details, the reader is referred to the separate financial statements.

275 Part B – Information on the consolidated balance sheet

ASSETS

Section 1 - Cash and cash equivalents - caption 10

1.1 Cash and cash equivalents: breakdown

31 December 2010 31 December 2009 a) Cash 2 5 b) On demand deposits with Central Banks - - Total 2 5

276 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 2 - Financial assets held for trading - caption 20

2.1 Financial assets held for trading: breakdown

31 December 2010 31 December 2009 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 A. Cash assets 1. Debt securities 1.1 structured securities 129,500 851,086 - 19,393 882,358 147 1.2 other debt securities 6,877,698 3,811,246 2,667 9,294,700 3,095,145 112,762 2. Equities 177,645 - 993 115,137 - 153 3. Quotas of UCITS 362,026 - 21 443,337 - - 4. Loans 4.1 repurchase agreements ------4.2 other ------Total A 7,546,869 4,662,332 3,681 9,872,567 3,977,503 113,062 B. Derivatives 1. Financial derivatives 1.1 trading 672,594 40,111,602 218,256 579,231 38,561,195 6,752 1.2 fair value option ------1.3 other ------2. Credit derivatives 2.1 trading - 1,953,528 3,158 - 1,914,993 - 2.2 fair value option ------2.3 other ------Total B 672,594 42,065,130 221,414 579,231 40,476,188 6,752

Total (A+B) 8,219,463 46,727,462 225,095 10,451,798 44,453,691 119,814

At 31 December 2010, structured securities included 242 million in instruments with rate options (in particular reverse floaters, step-ups and step-downs), 164 million in equity-linked instruments and 57 million in convertible instruments. The remainder refers to mixed-rate structures (fixed and indexed).

277 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

2.2 Financial assets held for trading: borrower/issuer breakdown

31 December 2010 31 December 2009 A. CASH ASSETS 1. Debt securities a) Governments and Central Banks 4,965,939 7,309,255 b) Other public entities 5,597 12,733 c) Banks 3,820,911 3,653,334 d) Other issuers 2,879,750 2,429,183 2. Equities a) Banks 18,273 12,682 b) Other issuers - insurance companies 2,726 2,702 - financial institutions 14,122 25,257 - non-financial companies 143,517 74,649 - other - - 3. Quotas of UCITS 362,047 443,337 4. Loans a) Governments and Central Banks - - b) Other public entities - - c) Banks - - d) Other counterparties - - Total A 12,212,882 13,963,132 B. DERIVATIVES a) Banks 37,713,360 36,797,096 - fair value b) Customers 5,245,778 4,265,075 - fair value Total B 42,959,138 41,062,171

Total (A+B) 55,172,020 55,025,303

The quotas of UCITS in portfolio at year-end were represented by 167 million in bond and balanced funds and 142 million in equity funds. In addition, there were 18 million in commodity funds, 19 million in investments in listed real-estate funds and 16 million in quotas of SICAVs.

278 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

2.3 Financial assets held for trading: annual changes

Debt Equity UCITS Loans Total Securities shares Quotas A. Initial amounts 13,404,505 115,290 443,337 - 13,963,132 B. Increases 294,581,255 32,454,038 22,871,345 - 349,906,638 B1. Purchases 289,090,341 31,318,980 22,231,320 - 342,640,641 B2. Positive fair value changes 42,133 4,619 7,999 - 54,751 B3. Other changes 5,448,781 1,130,439 632,026 - 7,211,246 C. Decreases (296,313,563) (32,390,690) (22,952,635) - (351,656,888) C1. Sales (283,112,163) (30,692,643) (22,625,055) - (336,429,861) C2. Reimbursements (7,952,458) - - - (7,952,458) C3. Negative fair value changes (128,732) (5,550) (2,540) - (136,822) C4. Transfers to other portfolios - - - - - C5. Other changes (5,120,210) (1,692,497) (325,040) - (7,137,747) D. Final amounts 11,672,197 178,638 362,047 - 12,212,882

The “Other changes” under “Increases” and “Decreases” refer to, inter alia, the amount of “technical overdrafts” at the beginning and end of the year, which are included among “Financial liabilities held for trading” on the liabilities side of the balance sheet.

279 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 4 - Financial assets available for sale - caption 400

4.1 Financial assets available for sale: breakdown

31 December 2010 31 December 2009 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 1. Debt securities 1.1 Structured securities ------1.2 Other debt securities 2,856,346 - 304 3,704,638 105,177 1,169 2. Equities 2.1 Measured at fair value 1,009 - 9,467 911 - 10,161 2.2 Measured at cost - - - - - 263 3. Quotas of UCITS - - 55,518 - 14,058 - 4. Loans ------Total 2,857,355 - 65,289 3,705,549 119,235 11,593

4.2 Financial assets available for sale: borrower/issuer breakdown

31 December 2010 31 December 2009 1. Debt securities a) Governments and Central Banks 2,522,063 3,704,639 b) Other public entities - - c) Banks 334,587 34,968 d) Other issuers - 71,377 2. Equities a) Banks - - b) Other issuers - insurance companies - - - financial institutions 6,169 6,029 - non-financial companies 4,307 5,306 - other - - 3. Quotas of UCITS 55,518 14,058 4. Loans a) Governments and Central Banks - - b) Other public entities - - c) Banks - - d) Other counterparties - - Total 2,922,644 3,836,377

280 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

4.4 Financial assets available for sale: annual changes

Debt Equities UCITS Loans Total Securities Quotas A. Initial amounts 3,810,984 11,335 14,058 - 3,836,377 B. Increases 3,878,019 143 41,910 - 3,920,072 B1. Purchases - business combinations ------others 3,629,797 - 40,000 - 3,669,797 B2. Positive fair value differences 18,412 104 1,910 - 20,426 B3. Write-backs recognised in - income statement - X - - - - shareholders' equity - - - - - B4. Transfers from other portfolios - - - - - B5. Other changes 229,810 39 - - 229,849 C. Decreases (4,832,353) (1,002) (450) - (4,833,805) C1. Sales (3,365,149) (328) - - (3,365,477) C2. Reimbursements (1,134,508) (4) (450) - (1,134,962) C3. Negative fair value differences - (693) - - (693) C4. Impairment losses recognised in - income statement ------shareholders' equity - - - - - C5. Transfers to other portfolios - - - - - C6. Other changes (332,696) 23 - - (332,673) D. Final amount 2,856,650 10,476 55,518 - 2,922,644

281 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 6 - Due from banks - caption 60

6.1 Due from banks: breakdown

31 December 2010 31 December 2009 A. Due from Central Banks 1. Time deposits - - 2. Compulsory reserve - - 3. Repurchase agreements - - 4. Other - - B. Due from banks 1. Checking accounts and deposits 730,570 486,677 2. Time deposits 43,188,213 38,648,969 3. Other loans 3.1 Repurchase agreements 7,869,455 7,627,763 3.2 Financial leases - - 3.3 Other 97,273 737,877 4. Debt securities 4.1 Structured - - 4.2 Other 1,003,435 1,003,079 Total (book value) 52,888,946 48,504,365

Total (fair value) 52,723,152 48,531,522

The compulsory reserve, the obligation for which has been discharged indirectly, is carried among “time deposits” in the amounts of 280 million at 31 December 2010 and 318 million at 31 December 2009.

282 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 7 - Loans to customers - caption 70

7.1 Loans to customers: breakdown

31 December 2010 31 December 2009 Performing Non-per- Performing Non-per- forming forming 1. Checking accounts 216,693 - - - 2. Repurchase agreements 4,984,074 - 2,145,284 - 3. Mortgages - - - - 4. Credit card loans, personal loans and assignments of the fifth - - - - 5. Financial leases - - - - 6. Factoring - - - - 7. Other operations 7,455,647 248,020 6,133,414 9,483 8. Debt securities 8.1 Structured securities - - - - 8.2 Other debt securities 642,905 - 596,685 - Total (book value) 13,299,319 248,020 8,875,383 9,483

Totale (fair value) 13,011,241 248,020 8,615,754 9,483

7.2 Loans to customers: borrower/issuer breakdown

31 December 2010 31 December 2009 Performing Non-per- Performing Non-per- forming forming 1. Debt securities a) Governments - - - - b) Other public entities - - - - c) Other issuers - non-financial companies 59,022 - 107,639 - - financial institutions 583,883 - 489,046 - - insurance companies - - - - - other - - - - 2. Loans a) Governments - - - - b) Other public entities - - - - c) Other counterparties - non-financial companies 5,099,839 238,537 3,838,140 - - financial institutions 7,554,622 9,483 4,437,921 9,483 - insurance companies 1,831 - 2,637 - - other 122 - - - Total 13,299,319 248,020 8,875,383 9,483

283 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 8 - Hedging derivatives - caption 80

8.1 Hedging derivatives: breakdown by type of hedge and levels

Fair value 31 December 2010 Notional Fair value 31 December 2009 Notional value value Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 A. Financial derivatives 1) Fair value - 987,356 - 22,542,904 - 886,675 - 18,431,396 2) Financial cash flows ------3) Foreign investments ------B. Credit derivatives 1) Fair value ------2) Financial cash flows ------Total - 987,356 - 22,542,904 - 886,675 - 18,431,396

8.2 Hedging derivatives: breakdown by hedged portfolio and type of hedge

Fair value Cash flow Specific Generic Foreign Specific Generic rate investments Price Credit Various Foreign Foreign Interest Interest exchange 1. Financial assets available for sale X - X X 2. Loans X - X X 3. Investments held to maturity X - - X - X - X X 4. Portfolio X X X X X X X 5. Other operations - - - - - X - X - Total assets 8,386 ------1. Financial liabilities 978,970 - - X - X - X X 2. Portfolio X X X X X - X - X Total liabilities 978,970 ------1. Expected transactions X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X - X - -

284 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 10 - Equity investments - caption 100

10.1 Equity investments in companies subject to joint control (measured according to the equity method) and companies subject to significant influence: information on equity stakes

Registered % Votes office held available % B. Joint ventures 1. EuroTLX Sim Milan 50.00 50.00 C. Companies subject to significant influence 1. Consorzio Studi e Ricerche Fiscali Rome 7.50 7.50 2. Intesa Sanpaolo Group Services Turin 0.007 0.007 3. Infogroup Florence 0.003 0.003 4. Epsilon Milan 49.00 49.00

10.2 Equity investments in companies subject to joint control and companies subject to significant influence: accounting information

Total Total Net income Sharehol- Book Fair value assets revenues (loss) ders’ value equity(1)

A. Companies carried at equity A.1 Companies carried at equity 1. EuroTLX Sim (2) 6,646 9,229 (1,806) 4,256 2,050 X 2. Consorzio Studi e Ricerche fiscali(2) (3) 1,190 2,030 - 258 19 X 3. Intesa Sanpaolo Group Services (2) (3) 1,270,128 1,714,997 - 496,040 50 X 4. Infogroup (2) (3) 56,576 81,807 12 21,852 1 X 5. Epsilon (2) 14,095 9,654 3,451 11,297 6,527 X Total 1,348,635 1,817,717 1,657 533,703 8,647 -

(1) Including net income for the period. (2) Figures referred to the approved 2010 financial statements. (3) The Group holds all quotas.

285 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

10.3 Equity investments: annual changes

31 December 2010 31 December 2009 A. Initial amount 2,529 2,480 B. Increases 7,132 51 B.1 Purchases 6,165 51 B.2 Write-backs - - B.3 Revaluations - - consolidation with the equity method 967 - other B.4 Other changes - C. Decreases (1,014) (2) C.1 Sales (25) - C.2 Revaluations - - consolidation with the equity method (989) - other C.4 Other changes (2) D. Final amount 8,647 2,529 E. Total revaluations 967 F. Total impairment losses (1,555) (566)

286 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 12 - Property and equipment - caption 120

12.1 Property and equipment: breakdown of assets measured at cost

Total Total 31 December 2010 31 December 2009 A. Property and equipment used in operations 1.1 owned a) land - - b) buildings - - c) furniture 302 436 d) electronic equipment 551 810 e) other 2 8 1.2 acquired in financial lease a) land - - b) buildings - - c) furniture - - d) electronic equipment - - e) other - - Total A 855 1,254 B. Investment property 2.1 owned a) land - - b) buildings - - 2.2 acquired in financial lease a) land - - b) buildings - - Total B - -

Total (A+B) 855 1,254

287 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

12.3 Property and equipment used in operations: annual changes

Land Buildings Furniture Electronic Other Total equipment

A. Gross initial carrying amount - - 5,368 67,347 9,319 82,034 A.1 Total net adjustments - - (4,932) (66,537) (9,311) (80,780) A.2 Net initial carrying amount - - 436 810 8 1,254 B. Increases - - 6 133 - 139 B.1 Purchases - - 6 111 - 117 B.2 Capitalized improvement costs ------B.3 Write-backs ------B.4 Positive fair value differences recognised in a) shareholders' equity ------b) income statement ------B.5 Positive foreign exchange differences - - - - - B.6 Transfer from investment property ------B.7 Other changes - - - 22 - 22 C. Decreases - - (138) (394) (6) (538) C.1 Sales ------C.2 Depreciation - - (138) (394) (4) (536) C.3 Impairment losses recognised in a) shareholders' equity ------b) income statement ------C.4 Negative fair value differences recognised in a) shareholders' equity ------b) income statement ------C.5 Negative foreign exchange differences ------C.6 Transfer to a) investment property ------b) non-current assets held for sale and discontinued operations ------C.7 Other changes - - - - (2) (2) D. Net final carrying amount - - 304 549 2 855 D.1 Total net adjustments - - (4,928) (66,505) (9,311) (80,744) D.2 Gross final carrying amount - - 5,232 67,054 9,313 81,599 E. Measurement at cost - - 304 549 2 855

288 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 13 - Intangible assets - caption 130

13.1 Intangible assets: breakdown by type of asset

31 December 2010 31 December 2009 Finite Indefinite Finite Indefinite useful life useful life useful life useful life A.1 Goodwill X 194,070 X 194,070 A.1.1 of the group X 194,070 X 194,070 A.1.2 of third parties X X A.2 Other intangible assets 109 72 205 67 A.2.1 Assets measured at cost a) Internally generated intangible assets - - - - b) Other assets 109 72 205 67 A.2.2 Assets measured at fair value a) Internally generated intangible assets - - - - b) Other assets - - - - Total 109 194,142 205 194,137

289 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

13.2 Intangible assets: annual changes

Goodwill Other intangible assets: Other intangible assets: Total internally generated other

Finite Indefinite Finite Indefinite useful life useful life useful life useful life A. Gross initial carrying amount 194,070 - - 14,887 67 209,024 A.1 Total net adjustments - - - (14,682) - (14,682) A.2 Net initial carrying amount 194,070 - - 205 67 194,342 B. Increases - - - 14 5 19 B.1 Purchases - - - 14 5 19 B.2 Increases of internally generated intangible assets X - - - - - B.3 Write-backs X - - - - - B.4 Positive fair value differences recognised in - shareholders' equity X ------income statement X - - - - - B.5 Positive foreign exchange differences - - - - B.6 Other changes - - business combinations ------other ------C. Diminuzioni - - - (110) - (110) C.1 Sales ------C.2 Impairment losses - Amortization X - - (110) - (110) - Write-downs recognised in - shareholders' equity X ------income statement ------C.3 Negative fair value differences recognised in - shareholders' equity X ------income statement X - - - - - C.4 Transfer to non-current assets held for sale ------and discontinued operations ------C.5 Negative foreign exchange differences ------C.6 Other changes 194,070 - - 109 72 194,251 D. Net final carrying amount - - - (14,792) - (14,792) D.1 Total net adjustments 194,070 - - 14,901 72 209,043 E. Gross final carrying amount 194,070 - - 109 72 194,251 F. Measurement at cost

13.3 Other information In accordance with IAS 38, we report that intangible assets have not been revalued, nor have any of them been acquired, in whole or in part, under government concession. At year-end, there were no commitments to purchase new intangible assets or third-party rights to those carried in these financial statements. Goodwill has been allocated entirely to the Structured Finance CGU. For information on impairment testing, refer to part L below.

290 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

Section 14 - Tax assets and liabilities - asset caption 140 and liability caption 80

14.1 Deferred tax assets: breakdown

14.2 Deferred tax liabilities: breakdown Deferred tax assets and liabilities are recognised in connection with all temporary differences that arise from increases and decreases in the taxable base, without any time limits.

The figures for Banca IMI, for a detailed account of which the reader is referred to the separate financial statements, include deferred tax assets of 0.5 million claimed by IMI Securities as the residual amount recognised on temporary differences expected to be reversed in 2011.

14.3 Changes in deferred tax assets (through profit and loss)

31 December 2010 31 December 2009 1. Initial amount 36,321 32,448 2. Increases 82,799 18,816 2.1 Deferred tax asset tax recognised in the period a) related to previous years - - b) due to changes in accounting criteria - - c) value recoveries - - d) other 82,684 15,425 2.2 New taxes or tax rate increases - - 2.3 Other increases a) business combinations - 3,218 b) other 115 173 3. Decreases (18,050) (14,943) 3.1 Deferred tax asset tax eliminated in the period a) reversals (17,588) (14,898) b) write-offs - - c) due to changes in accounting criteria - - d) other - - 3.2 Tax rate reductions - - 3.3 Other decreases (462) (45) 4. Final amount 101,070 36,321

291 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

14.4 Changes in deferred tax liabilities (through profit and loss)

31 December 2010 31 December 2009 1. Initial amount 533 - 2. Increases 155 533 2.1 Deferred tax liabilities recognised in the period a) related to previous years - - b) due to changes in accounting criteria - - c) other - - 2.2 New taxes or tax rate increases - - 2.3 Other increases a) business combinations - 533 b) other 155 - 3. Decreases (688) - 3.1 Deferred tax liabilities eliminated in the period a) reversals (155) - b) due to changes in accounting criteria - - c) other (533) - 3.2 Tax rate reductions - - 3.3 Other decreases - - 4. Final amount - 533

14.5 Changes in deferred tax assets (recorded in equity)

31 December 2010 31 December 2009 1. Initial amount 905 1,013 2. Increases 23,352 29 2.1 deferred tax asset recognised in the period a) related to previous years - - b) due to changes in accounting criteria - - c) other 23,352 29 2.2 New taxes or tax rate increases - - 2.3 Other increases - - 3. Decreases (29) (137) 3.1 deferred tax asset eliminated in the period a) reversals (29) (137) b) write-offs for impossible recovery - - c) due to changes in accounting criteria - - d) other - - 3.2 Tax rate reductions - - 3.3 Other decreases - - 4. Final amount 24,228 905

292 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Assets

14.6 Changes in deferred tax liabilities (recorded in equity)

31 December 2010 31 December 2009 1. Initial amount 16,564 1,758 2. Increases 619 15,659 2.1 Deferred tax liabilities recognised in the period a) related to previous years - - b) due to changes in accounting criteria - - c) other 619 14,193 2.2 New taxes or tax rate increases - - 2.3 Other increases a) business combinations - 1,466 b) other - - 3. Decreases (13,633) (853) 3.1 Deferred tax liabilities eliminated in the period a) reversals (13,633) (752) b) due to changes in accounting criteria - - c) other - (101) 3.2 Tax rate reductions - - 3.3 Other decreases - - 4. Final amount 3,550 16,564

Section 16 - Other assets - caption 160

16.1 Other assets: breakdown

31 December 2010 31 December 2009 Amounts to be debited - deriving from securities transactions 248,587 107,669 Accrued income and deferred expenses not reclassified 10,203 19,467 Leasehold improvements 486 552 Margins on behalf of third parties 16,440 27,123 Various fiscal items 19,832 4,008 Transit items 105,706 76,211 Premiums to be settled 763 1,355 Other 18,812 28,764 Total 420,829 265,149

293 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

LIABILITIES

Section 1 - Due to banks - caption 10

1.1 Due to banks: breakdown

Total Total 31 December 2010 31 December 2009 1. Due to Central Banks - - 2. Due to banks 2.1 Checking accounts and deposits 526,587 2,667,459 2.2 Time deposits 4,823,368 4,622,575 2.3 Loans 2.3.1 Repurchase agreements 9,683,997 12,168,341 2.3.2 Other 10,188,037 6,137,696 2.4 Debts for commitments to repurchase own equity instruments - - 2.6 Other debts 6,027 5,459 Total 25,228,016 25,601,530

Fair value 25,228,016 25,601,530

Section 2 - Due to customers - caption 20

2.1 Due to customers: breakdown

Total Total 31 December 2010 31 December 2009 1. Checking accounts and deposits 135,560 7,907 2. Time deposits 684,190 236,545 3. Loans 3.1 Repurchase agreements 6,887,271 4,007,381 3.2 Other 754,726 306,669 4. Debts for commitments to repurchase own equity instruments - - 5. Other debts 7,778 417 Total 8,469,525 4,558,919

Fair value 8,469,525 4,558,919

294 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

Section 3 - Securities issued - caption 30

3.1 Securities issued: breakdown

Total 31 December 2010 Total 31 December 2009 Book Fair value Book Fair value Value Value Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 A. Securities 1. bonds 1.1 structured 18,529,143 2,599,298 15,252,033 - 13,107,747 - 13,066,675 - 1.2 other 21,019,930 272,856 20,666,446 - 22,586,323 299,612 22,353,444 - 2. other 2.1 structured ------2.2 other ------Total 39,549,073 2,872,154 35,918,479 - 35,694,070 299,612 35,420,119 -

Securities issued refer solely to Banca IMI.

3.3 Breakdown of caption 30 “Securities issued”: securities with specific hedges

Total Total 31 December 2010 31 December 2009 1. Securities with specific fair value hedges 28,922,706 22,147,287 a) interest rate risk 28,922,706 22,147,287 b) foreign exchange risk - - c) other - - 2. Securities with specific cash flow hedges - - a) interest rate risk - b) foreign exchange risk - - c) other - -

295 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

Section 4 - Financial liabilities held for trading - caption 40

4.1 Financial liabilities held for trading: breakdown

Total 31 December 2010 Total 31 December 2009

Nominal Fair Value Fair Nominal Fair Value Fair Amount or Value (*) Amount or Value (*) notional notional Level 1 Level 2 Level 3 Level 1 Level 2 Level 3

A. Cash liabilities

1. Due to banks 2,458,321 2,576,567 1,767 - 2,578,334 2,197,836 2,299,700 7,550 - 2,307,250

2. Due to customers ------

3. Debt securities

3.1 Bonds

3.1.1 Structured - - - - X - - - - X

3.1.2 Other bonds - - - - X - - - - X

3.2 Other

3.2.1 Structured - - - - X - - - - X

3.2.2 Other - - - - X - - - - X

Total A 2,458,321 2,576,567 1,767 - 2,578,334 2,197,836 2,299,700 7,550 - 2,307,250

B. Derivatives

1. Financial derivatives

1.1 Trading X 1,159,020 42,089,932 331,169 X X 480,423 39,695,219 - X

1.2 Fair value option X - - - X X - - - X

1.3 Other X - - - X X - - - X

2. Credit derivatives

2.1 Trading X - 1,773,827 4,186 X X - 1,925,031 317 X

2.2 Fair value option X - - - X X - - - X

2.3 Other X - - - X X - - - X

Total B X 1,159,020 43,863,759 335,355 X X 480,423 41,620,250 317 X

Total (A+B) 2,458,321 3,735,587 43,865,526 335,355 2,578,334 2,197,836 2,780,123 41,627,800 317 2,307,250

(*) fair value calculated excluding changes in creditworthiness of the issuer after issue date.

The caption “Due to banks” refers to short securities positions.

296 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

Section 5 - Financial liabilities carried at fair value - caption 50

5.1 Financial liabilities carried at fair value: breakdown

Total 31 December 2010 Total 31 December 2009

Nominal Fair Value Fair Nominal Fair Value Fair value Value (*) value Value (*) Level 1 Level 2 Level 3 Level 1 Level 2 Level 3

1. Due to banks

1.1 Structured - - - - X - - - - X

1.2 Other - - - - X - - - - X

2. Due to customers

2.1 Structured - - - - X - - - - X

2.2 Other - - - - X - - - - X

3. Debt securities

3.1 Structured 1,228,736 - 1,213,368 - X 3,245,334 - 3,224,429 - X

3.2 Other - - - - X - - - - X

Total 1,228,736 - 1,213,368 - 3,245,334 - 3,224,429 -

(*) fair value calculated excluding changes in creditworthiness of the issuer after issue .

The measurement at fair value at 31 December 2010 includes 16 million in residual revaluations owing to the change in creditworthiness.

5.3 Financial liabilities carried at fair value: annual changes

Due to Due to Securities Total banks customers issued

A. Initial amount - - 3,224,429 3,224,429 B. Increases - - 63,002 63,002 B1. Issues - - - - B2. Sales - - 18,549 18,549 B3. Positive fair value differences - - 17,622 17,622 B4. Other changes - - 26,831 26,831 C. Decreases - - (2,074,063) (2,074,063) C1. Purchases - - (287,339) (287,339) C2. Reimbursements - - (1,752,774) (1,752,774) C3. Negative fair value differences - - (17,420) (17,420) C4. Other changes - - (16,530) (16,530) D. Final amount - - 1,213,368 1,213,368

297 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

Section 6 - Hedging derivatives - caption 60

6.1 Hedging derivatives: breakdown by type of hedge and hierarchical levels

Fair Value 31 December 2010 Notional Fair Value 31 December 2009 Notional value value Level 1 Level 2 Level 3 31.12.2010 Level 1 Level 2 Level 3 31.12.2009 A. Financial derivatives 1) Fair value - 586,922 - 12,770,294 - 668,861 - 10,596,501 2) Financial cash flows ------3) Foreign investments ------B. Credit derivatives 1) Fair value ------2) Financial cash flows ------Total - 586,922 - 12,770,294 - 668,861 - 10,596,501

6.2 Hedging derivatives: breakdown by hedged portfolio and type of hedge

Fair Value Financial cash flow

Specific vestments Interest Foreign Credit risk Price risk Various in - Foreign

rate risk exchange risksi Generic Specific Generic risk 1. Financial assets available - X X for sale 116,129 - - - - X 2. Loans - - - X - X - X X 3. Investments held to maturity X - - X - X - X X 3.1 Equity investments ------X 4. Portfolio X X X X X - X - - Total assets 116,129 ------1. Financial liabilities 470,793 - - X - X - X X 2. Portfolio X X X X X - X - X Total liabilities 470,793 ------1. Expected transactions X X X X X X - X X 2. Financial assets and liabilities portfolio X X X X X - X - -

Hedging derivatives refer to the interest-rate risk on investments in securities available for sale, securities classified as loans and receivables and bonds issued.

Section 8 - Tax liabilities - caption 80

Please refer to section 14 of the assets side for information on tax liabilities.

298 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

Section 10 - Other liabilities - caption 100

10.1 Other liabilities: breakdown

Total Total 31 December 2010 31 December 2009 Due to suppliers 48,478 49,788 Due to employees 54,154 54,799 Due to social security entities 2,679 6,881 Amounts to be paid - deriving from securities transactions 8,462 13,695 Other creditors for other items 3,088 8,164 Various fiscal items 6,673 4,438 Allowances for guarantees impairment 7,266 19,077 Accrued expenses and deferred income not reclassified 24,172 23,651 Total 154,972 180,493

Section 11 – Employee termination indemnities – caption 110

11.1 Employee termination indemnities: annual changes

Total Total 31 December 2010 31 December 2009 A. Initial amount 8,900 7,160 B. Increases 700 2,344 B.1 Provisions in the year 257 391 B.2 Other 443 1,953 C. Decreases (1,000) (604) C.1 Benefits paid (1,000) (604) C.2 Other - D. Final amounts 8,600 8,900

The liability refers solely to Banca IMI S.p.A. Following the reform of supplementary pension schemes enacted by Legislative Decree 252 of 5 December 2005, termination indemnities accrued after 1 January 2007 may, at the employee’s discretion, be allocated to supplementary pension schemes or transferred to the fund managed by Italy’s social-security agency (INPS) and do not appear among annual changes. The other increases refer primarily to transfers of personnel among Intesa Sanpaolo Group companies.

11.2 Other information Pursuant to Article 2424-bis of the Italian Civil Code, we report that the statutory liability accrued by Banca IMI at year-end in connection with termination indemnities came to 9.8 million euro (10.1 million at 31 December 2009).

299 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

Section 12 - Allowances for risks and charges - caption 120

12.1 Allowances for risks and charges: breakdown

Total Total 31 December 2010 31 December 2009 1. Post employment benefits 12 12 2. Other allowances for risks and charges 2.1 legal disputes 14,198 11,109 2.2 personnel charges 1,527 2,084 2.3 other 2,044 2,044 Total 17,781 15,249

12.2 Allowances for risks and charges: annual changes

Post Other Total employment allowances benefits A. Initial amount 12 15,237 15,249 B. Increases - 8,055 8,055 B.1 Provisions in the year - 8,055 8,055 B.2 Time value changes - - B.3 Changes due to discount rate variations - - B.4 Other - - - C. Decreases - (5,523) (5,523) C.1 Uses in the year - (5,523) (5,523) C.2 Changes due to discount rate variations - - C.3 Other - - - D. Final amount 12 17,769 17,781

12.3 Defined-benefit retirement packages The determination of the actuarial values for defined-benefit retirement packages required by the application of IAS 19 Employee Benefits is entrusted to an independent actuary who uses the Projected-Unit Credit Method.

As a result of the contribution of resources belonging to the Structure Finance unit, Banca IMI S.p.A. is now co-obligated towards the external fund designated Cassa di Previdenza Integrativa per il Personale dell’Istituto Bancario San Paolo di Torino, a fund that is considered a legal entity and enjoys full segregation of assets and autonomy of operation. The obligation assumed (in connection with a participant) consists of joint and several liability for the fund’s undertakings to participating employees, retirees and third parties.

Any actuarial income or loss is recognised according to the corridor method.

300 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

Section 15 - Group shareholders’ equity: captions 140, 160, 170, 180, 190, 200 and 220

15.1 Share capital and treasury shares: breakdown The share capital of Banca IMI S.p.A. consists of 962,464,000 shares without express par value. The Group does not hold any treasury shares.

15.2 Share capital - Number of shares: annual changes

Ordinary Other A. Initial number of shares – fully paid-in 962,464,000 – not fully paid-in A.1 Treasury shares (-) B.2 Shares outstanding: initial number 962,464,000 - B. Increases - - B.1. New issues – for consideration - business combinations - conversion of bonds - exercise of warrants - other – for free - in favour of employees - in favour of directors - other B.2 Sale of treasury shares B.3 Other C. Decreases - - C.1 Annulment C.2 Purchase of treasury shares C.3 Disposal of companies C.4 Other D. Shares outstanding: final number 962,464,000 - D.1 Treasury shares (+) D.2 Final number of shares – fully paid-in 962,464,000 - – not fully paid-in

15.4 Earnings reserves: other information Earnings reserves, which are allocated in accordance with the Italian Civil Code, the Articles of Association or specific resolutions passed when allocating earnings for the period, are aimed at strengthening the Group’s capitalisation.

A portion of the reserves of Banca IMI S.p.A., 180 million at 31 December 2010 and 31 December 2009, has been identified as coverage, pursuant to Article 2359-bis of the Italian Civil Code, of the purchases of shares of the ultimate Parent Company, Intesa Sanpaolo. Said purchases were undertaken in the context of brokerage transactions on equity indices and listed options or in response to orders from customers who requested temporary activity on their proprietary accounts.

301 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

Other information

1. Guarantees and commitments

Total Total 31 December 2010 31 December 2009 1) Financial guarantees given a) Banks - - b) Customers 1,531,661 1,917,859 2) Commercial guarantees given a) Banks - 369 b) Customers 131,517 62,897 3) Irrevocable commitments to lend funds a) Banks i) of certain use 3,204,431 4,319,196 ii) of uncertain use 780,445 10,839,071 b) Customers i) of certain use 3,815,049 3,227,438 ii) of uncertain use 1,189,473 1,945,347 4) Underlying commitments on credit derivatives: protection sales 48,448,581 65,640,584 5) Assets pledged as collateral of third party commitments - - 6) Other commitments 185,688 495,439 Total 59,286,845 88,448,200

2. Assets pledged as collateral for liabilities and commitments

Total Total 31 December 2010 31 December 2009 1. Financial assets held for trading 5,014,861 7,077,805 2. Financial assets carried at fair value - - 3. Financial assets available for sale 2,102,004 3,247,081 4. Investments held to maturity - - 5. Due from banks - - 6. Loans to customers 57,816 - 7. Property and equipment - - Total 7,174,681 10,324,886

The amount refers to the carrying amount of owned securities used in funding repurchase agreements and derivatives transactions.

302 Notes to the consolidated financial statements - Part B – Information on the consolidated balance sheet - Liabilities

5. Management and dealing on behalf of third parties

Amount 1. Dealing in financial instruments on behalf of third parties a) purchases 1) settled 554,629,528 2) to be settled 1,182,218 b) sales 1) settled 592,354,437 2) to be settled 251,961 2. Portfolio management a) individual - b) collective - 3. Custody and administration of securities a) third party securities held in deposit: related to depositary bank activities (excluding individual portfolio management schemes) 1. securities issued by the reporting bank - 2. other securities - b) other third party securities held in deposit (excluding individual portfolio management schemes): other 1. securities issued by the reporting bank 40,246,002 2. other securities 13,322,927 c) third party securities deposited with third parties 8,473,934 d) portfolio securities deposited with third parties 17,374,791 4. Other 81,709,352

The caption “Other” refers to the receipt and collection of orders and placements.

303 Part C – Information on the consolidated income statement

Section 1 - Interest - captions 10 and 20

1.1 Interest and similar income: breakdown

Debt Loans Other 2010 2009 Securities operations 1. Financial assets held for trading 311,058 - - 311,058 364,785 2. Financial assets carried at fair value through profit and loss - - - - - 3. Financial assets available for sale 144,895 - - 144,895 83,491 4. Investments held to maturity - - - - - 5. Due from banks - 951,588 3,693 955,281 1,049,180 6. Loans to customers 41,500 176,605 8,022 226,127 145,400 7. Hedging derivatives X X 442,041 442,041 301,411 8. Other assets X X 691 691 252 Total 497,453 1,128,193 454,447 2,080,093 1,944,519

1.2 Interest and similar income: differentials on hedging transactions

Voci 2010 2009 A. Positive differentials related to hedging 999,365 823,024 B. Negative differentials related to hedging (557,324) (521,613) C. Balance (A - B) 442,041 301,411

1.3 Interest and similar income: other information

2010 2009 1.3.1 Interest income on foreign currency financial assets 76,598 41,561

304 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

1.4 Interest and similar expense: breakdown

Debt Securities Other 2010 2009 securities operations

1. Due to central banks - X - - - 2. Due to banks (231,959) X (318) (232,277) (206,455) 3. Due to customers (40,134) X (21,183) (61,317) (40,509) 4. Securities issued X (1,287,133) - (1,287,133) (1,233,453) 5. Financial liabilities held for trading - - - - (36) 6. Financial liabilities carried at fair value - - - - - 7. Other liabilities and allowances X X (1) (1) (16) 8. Hedging derivatives X X - - - Total (272,093) (1,287,133) (21,502) (1,580,728) (1,480,469)

1.6 Interest and similar expense: other information

2010 2009 1.6.1 Interest expense on foreign currency financial liabilities (44,263) (16,847)

305 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 2 - Fees and commissions - captions 40 and 50

2.1 Fee and commission income: breakdown

2010 2009 a) guarantees given 35,527 17,357 b) credit derivatives - - c) management, dealing and consultancy services 1. dealing in financial instruments 44,363 47,451 2. dealing in foreign exchange - - 3. portfolio management 3.1 individual - - 3.2 collective - - 4. custody and administration of securities - - 5. depositary bank - - 6. placement of securities 164,748 203,469 7. acceptance of trading instructions 4,488 4,861 8. consultancy services 8.1 on investments - - 8.2 on structured finance 54,253 68,917 9. distribution of third party services 9.1 portfolio management 9.1.1 individual - - 9.1.2 collective - - 9.2 insurance products - - 9.3 other products - - d) collection and payment services - - e) servicing related to securitisations 31 75 f) services related to factoring - - g) tax collection services - - h) management of multilateral exchange systems - - i) management of checking accounts - - j) other services 90,945 39,011 Total 394,355 381,141

The amounts carried under “j) other services” refer primarily to revenue on arrangement, underwriting and agency services rendered in the course of Structured Finance operations. The amount for 2009 included 23 million in revenue presented in the same table of the notes to the previous financial statements under “c) Management, dealing and consultancy services” – sub-caption “8.2 consultancy services: on structured finance”.

306 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

2.2 Fee and commission expense: breakdown

2010 2009 a) Guarantees received (417) (647) b) Credit derivatives - - c) Management, dealing and consultancy services 1. dealing in financial instruments (23,871) (20,740) 2. dealing in foreign exchange - - 3. portfolio management 3.1 own customers - - 3.2 delegated - - 4. custody and administration of securities (15,271) (14,663) 5. placement of financial instruments (125,109) (131,256) 6. “door-to-door” sale of financial instruments, products and services - - d) Collection and payment services (5,747) (6,069) e) Other services (232) (147) Total (170,647) (173,522)

Section 3 - Dividends and similar income - caption 70

3.1 Dividends and similar income: breakdown

2010 2009 Dividends Income Dividends Income from UCITS from UCITS quotas quotas A. Financial assets held for trading 313,604 2,835 324,902 3,090 B. Financial assets available for sale 30 1,091 1,422 299 C. Financial assets carried at fair value - - - - D. Equity investments X - X Total 313,634 3,926 326,324 3,389

307 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 4 - Profits (Losses) on trading - caption 80

4.1 Profits (Losses) on trading: breakdown

Revaluations Profits on Write- Losses on Net result (A) trading downs trading (A+B ) - (C+D) (B) (C) (D)

1. Financial assets held for trading 1.1 Debt securities 41,878 427,818 (128,378) (456,706) (115,388) 1.2 Equities 4,619 723,290 (5,550) (1,191,231) (468,872) 1.3 Quotas of UCITS 7,999 407,299 (2,540) (237,641) 175,117 1.4 Loans - - - - - 1.5 Other - - - - - 2. Financial liabilities held for trading 2.1 Debt securities 24,793 213,864 (1,617) (222,403) 14,637 2.2 Debts - - - - - 2.3 Other 921 32,807 (3,657) (82,054) (51,983) 3. Foreign exchange differences X X X X 101,232 4. Derivatives 4.1 Financial derivatives - On debt securities and interest rates 7,518,611 29,801,356 (7,686,072) (29,327,416) 306,479 - On equities and stock indices 852,650 6,533,247 (1,423,942) (5,856,915) 105,040 - On foreign exchange and gold X X X X (37,178) - Other 155,677 245,780 (143,010) (229,915) 28,532 4.2 Credit derivatives 2,006,143 675,597 (1,902,069) (796,423) (16,752) Total 10,613,291 39,061,058 (11,296,835) (38,400,704) 40,864

308 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 5 - Profits (Losses) on hedging - caption 90

5.1 Profits (Losses) on hedging: breakdown

2010 2009 A. Income from A.1 Fair value hedge derivatives 425,193 539,025 A.2 Financial assets hedged (fair value) 31,625 119,723 A.3 Financial liabilities hedged (fair value) 127,511 8,436 A.4 Cash flow hedge: derivatives - - A.5 Foreign exchange assets and liabilities 2,252 - Total (A) 586,581 667,184 B. Expenses for B.1 Fair value hedge derivatives (375,441) (323,131) B.2 Financial assets hedged (fair value) (57,761) (5,167) B.3 Financial liabilities hedged (fair value) (152,726) (333,372) B.4 Cash flow hedge: derivatives - - B.5 Foreign exchange assets and liabilities - (732) Total (B) (585,928) (662,402)

C. Total (A - B) 653 4,782

Section 6 - Profits (Losses) on disposals or repurchases - caption 100

6.1 Profits (Losses) on disposals or repurchases: breakdown

2010 2009 Profits Losses Net Profits Losses Net result result Financial assets 1. Due from banks - - - - 2. Loans to customers 8,277 (111) 8,166 198 (155) 43

3. Financial assets available for sale

3.1 Debt securities 49,193 (34,108) 15,085 107,901 (37,126) 70,775 3.2 Equities 43 (19) 24 2,293 (7) 2,286 3.3 Quotas of UCITS - - - - 3.4 Loans - - - - 4. Investments held to maturity - - - 221 - 221 Total assets 57,513 (34,238) 23,275 110,613 (37,288) 73,325 Financial liabilities 1. Due to banks - - - - - 2. Due to customers - - - - - 3. Securities issued 20,727 (14,784) 5,943 18,321 (17,665) 656 Total liabilities 20,727 (14,784) 5,943 18,321 (17,665) 656

309 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 7 - Profits (losses) on financial assets and liabilities carried at fair value - caption 110

7.1 Profits (Losses) on financial assets and liabilities carried at fair value: breakdown

Revaluations Profits on Write- Losses on Net result (A) disposal downs disposal (A+B ) - (C+D) (B) (C) (D)

1. Financial assets 1.1 Debt securities - - - - - 1.2 Equities - - - - - 1.3 Quotas of UCITS - - - - - 1.4 Loans - - - - - 2. Financial liabilities 2.1 Securities issued 17,420 1,148 (17,622) (26,762) (25,816) 2.2 Due to banks - - - - - 2.3 Due to customers - - - - - 3. Foreign currency financial assets and liabilities foreign exchange differences X X X X - 4. Financial and credit derivatives - - - - - Total 17,420 1,148 (17,622) (26,762) (25,816)

In application of IFRS 7 (.10), we report that the change in the fair value attributable to Banca IMI’s creditworthiness resulted in the recognition of 1 million in expenses during the period. The residual revaluations carried at the reporting date amounted to 16 million.

310 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 8 - Net losses/recoveries on impairment - caption 130

8.1 Net impairment losses on loans: breakdown

Impairment losses (1) Recoveries (2) 2010 2009 Individual Collec- Individual Collective tive write-offs other A B A B

A. Due from banks - Loans ------Debt securities - - (105) - - - - (105) B. Due from customers - Loans - (22,000) (21,203) - - - 1,499 (41,704) (4,626) - Debt securities - - (320) - - - - (320) 3,094 C. Total - (22,000) (21,628) - - - 1,499 (42,129) (1,532) (1) – (2)

Legend: A = of interest B = other

8.4 Net impairment losses on other financial activities: breakdown

Impairment losses (1) Recoveries (2) Total Total 2010 2009 Individual Collec- Individual Collective tive write-offs other A B A B

A. Guarantees given - - - - - 11,811 11,811 (2,495) B. Credit derivatives ------C. Commitments to lend funds ------E. Total ------E. Totale ------11,811 11,811 (2,495) (1) – (2)

Legend: A = of interest B = other

311 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 11 - Administrative expenses - caption 180

11.1 Personnel expenses: breakdown

2010 2009 1) Personnel employed a) wages and salaries (87,718) (77,863) b) social security charges (25,017) (23,332) c) termination indemnities - - d) supplementary benefits (1,325) (916) e) provisions for termination indemnities (257) (391) f) provisions for post employment benefits - defined contribution plans - - - defined benefit plans - - g) payments to external pension funds - defined contribution plans (5,539) (4,441) - defined benefit plans - - h) costs from share-based payments - - i) other benefits in favour of employees (521) (499) 2) Other personnel (584) (1,055) 3) Directors and statutory auditors (866) (824) 4) Retired personnel - - 5) Recoveries / Reimbursements for seconded personnel 855 (2,917) Total (120,972) (112,238)

11.2 Average number of employees by categories

2010 2009 - Personnel employed a) managers 81 73 b) officers 477 416 c) other employees 177 162 - Other personnel (9) (9) Total 726 642

11.3 Defined-benefit retirement packages: total expense No actuarial expenses were recognised on internal or external funds during the year.

312 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

11.5 Other administrative expenses: breakdown

2010 2009 Taxes and duties - other taxes and duties - Italy (2,496) (1,627) - other taxes and duties - Abroad (499) (565) Total taxes and duties (2,995) (2,192) Information technology, processing and data processing services (113,957) (101,281) Expenses for consultancy fees (34,707) (35,394) Telephonic, teletransmission and transmission expenses (1,774) (1,472) ICT services: maintenance (1,219) (2,087) Real estate rental and management expenses (5,777) (5,584) Data base subscriptions (1,281) (942) Advertising and promotional expenses (3,020) (3,815) Associations and subscriptions (3,411) (1,761) Reimbursements to personnel and business travels (2,167) (1,627) Legal expenses (3,889) (2,640) Training and other personnel expenses (1,658) (1,193) Lighting, central heating and air conditioning (469) (794) Expenses for maintenance of furniture and equipments (47) (135) Security services (229) (238) Maintenance of real estate assets (101) (75) Cleaning services (206) (190) Rentals of other property and equipment (150) (134) Printing, stationery and consumables (335) (257) Insurance premiums (119) (120) Data storage and document processing (111) (138) Charities (6) (39) Postal and telegraphic (28) (41) Transport and other connected services (55) (50) Other (2,451) (1,403) Total (180,162) (163,602)

Section 12 - Net provisions for risks and charges - caption 190

12.1 Net provisions for risks and charges: breakdown

2010 2009 Net provisions for legal disputes - - Net provisions for risks and charges (8,000) (5,300) Total (8,000) (5,300)

313 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 13 - Net adjustments to/recoveries on property and equipment - caption 200

13.1 Net adjustments to property and equipment: breakdown

Depreciation Impairment Recoveries Net result (a) losses (b) (c) (a+b-c)

A. Property and equipment A.1 Owned - used in operations (536) - - (536) - investment - - - - A.2 Acquired in financial leases - used in operations - - - - - investment - - - - Total (536) - - (536)

Section 14 - Net adjustments to/recoveries on intangible assets - caption 210

14.1 Net adjustments to intangible assets: breakdown

Amortization Impairment Recoveries Net result (a) losses (b) (c) (a+b-c)

A. Intangible assets A.1 Owned - internally generated - - - - - other (110) - - (110) A.2 Acquired in financial leases - - - - Total (110) - - (110)

314 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 15 - Other operating expenses (income) - caption 220

15.1 Other operating expenses: breakdown

2010 2009 Contingent liabilities and items to be reconciliated (4,562) (3,965) Amortization of leasehold improvements (178) (352) Other (186) (624) Total (4,926) (4,941)

15.2 Other operating income: breakdown

2010 2009 Contingent liabilities and items to be reconciliated 11,166 9,596 Recovery of taxes 2,215 1,573 Recovery of other expenses 1,278 692 Other 126 1,281 Total 14,785 13,142

315 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 16 - Profits (Losses) on equity investments - caption 240

16.1 Profits (Losses) on equity investments: breakdown

Total 2010 Total 2009 1) Jointly controlled subsidiaries A. Profits - - 1. Revaluations - - 2. Profits on disposal - - 3. Write-backs - - 4. Other - - B. Losses (989) - 1. Write-downs (989) - 2. Impairment losses - 3. Losses on disposal - - 4. Other - - Net Result (989) - 2) Companies subject to significant influence A. Profits 966 - 1. Revaluations 966 - 2. Profits on disposal - - 3. Write-backs - - 4. Other - - B. Losses - - 1. Write-downs - - 2. Impairment losses - - 3. Losses on disposal - - 4. Other - - Net Result 966 -

Total (23) -

316 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 20 - Taxes on income from continuing operations - caption 290

20.1 Taxes on income from continuing operations: breakdown

2010 2009 1. Current taxes (-) (304,191) (264,964) 2. Changes in current taxes of previous years (+/-) - - 3. Reduction in current taxes of the year (+) - 3 4. Changes in deferred tax assets (+/-) 65,096 700 5. Changes in deferred tax liabilities (+/-) 688 - 6. Taxes on income for the year (-) (-1+/-2+3+/-4+/-5) (238,407) (264,261)

20.2 Reconciliation of theoretical tax charge to total income tax expense for the period

31 December 2010 31 December 2009 Amount Tax rate Amount Tax rate

Main tax Income before tax 782,310 27.5% 767,620 27.5% Theoretical tax expense (215,135) 27.5% (211,096) 27.5% – permanent positive differences 992,794 27.5% 64,226 27.5% – permanent negative differences (855,455) 27.5% (26,789) 27.5% – tax losses carried forward 0 27.5% 0 27.5% – temporary positive differences 73,058 27.5% 7,578 27.5% – temporary negative differences (53,036) 27.5% 0 27.5% Taxable income 939,671 812,635 Current IRES (258,410) (223,475) Secondary tax Income before tax 782,310 4.82% 767,620 4.82% Theoretical tax expense (37,707) 4.82% (36,999) 4.82% – permanent positive differences 297,595 4.82% 193,754 4.82% – permanent negative differences (194,919) 4.82% (184,453) 4.82% – temporary positive differences 480 4.82% 0 4.82% – temporary negative differences (1,061) 4.82% (5,903) 4.82% Taxable income 884,405 771,018 Current IRAP (42,628) (37,163)

Taxes paid abroad (3,407) (4,323) – changes in deferred tax asset 65,350 700 – changes in deferred tax liabilites 688 0 – changes in tax rate 0 0 Deferred and deferred tax asset tax 66,038 700

Income tax (238,407) (264,261)

317 Notes to the consolidated financial statements - Part C – Information on the consolidated income statement

Section 23 - Other information

Banca IMI S.p.A. (Milan office and London branch) was responsible for 98.2% of net interest and other banking income (98% in 2009). For net income, the corresponding percentages are 99.01% and 96.98%.

Given the particular nature of operations, a significant portion of which is carried out through remote access to organised systems of exchange or multilateral trading circuits, the geographical breakdown of revenues is not directly correlated to the geographical location of the Group’s branches.

Section 24 - Earnings per share

Earnings per share came to 0.537 euro in 2010 and 0.689 euro in 2009. Said amounts were determined by considering the net income for the year in relation to the number of ordinary shares outstanding at year-end.

24.1 Average number of ordinary shares (fully diluted) The weighted average number of shares for the year came to 962,464,000.

318 Part D – Consolidated comprehensive income

Statement of consolidated comprehensive income

Gross Amount Income tax Net Amount 10. Net Income (Loss) X X 516,883 Other income components 20. Financial assets available for sale: a) fair value changes (88,207) 28,889 (59,318) b) reversals to profits and losses - impairments on non-performing assets - - - - capital gains/losses (22,567) 7,294 (15,273) c) other changes - - - 30. Property, plant and equipment - - - 40. Intangible assets - - - 50. Foreign investments hedge: a) fair value changes - - - b) reversals to profits and losses - - - c) other changes - - - 60. Financial cash flows hedge: a) fair value changes - - - b) reversals to profits and losses - - - c) other changes - - - 70. Exchange rate differentials: a) changes 6,485 - 6,485 b) reversals to profits and losses - - - c) other changes - - - 80. Non recurring activities on disposal: a) fair value changes - - - b) reversals to profits and losses - - - c) other changes - - - 90. Attuarial gains and losses on defined benefit plans - - - 100. Valuation reserve quotas of equity investments carried at shareholders’ equity: a) fair value changes - - - b) reversals to profits and losses - impairments on non-performing assets - - - - capital gains/losses - - - c) other changes - - - 110. Total other income components (104,289) 36,183 (68,106) 120. Comprehensive Income (Captions 10+110) (104,289) 36,183 448,777 130. Third party consolidated comprehensive income - - - 140. Parent company consolidated comprehensive income (104,289) 36,183 448,777

319 Part E – Information on risks and hedging policies

Section 1 - RISKS OF THE BANKING GROUP

1.1 Credit risk

Qualitative information

General aspects

Credit risk management policies Credit risk results from the possibility that a counterparty may not fulfil the obligations it has contracted in the course of the Group’s normal business operations, owing in particular to the disbursement of on-balance sheet loans, the provision of commitments to lend and transactions in financial instruments and derivative products.

The schemes and methods discussed in the notes to the separate financial statements of Banca IMI, to which the reader is referred for further information, are applicable to the (i) organisational aspects, (ii) management, measurement and control systems, (iii) credit risk mitigation techniques and (iv) identification and management of non-performing financial assets.

In further detail: – the credit facilities granted by investees are subject to prior evaluation by the departments of Banca IMI and the ultimate Parent Company Intesa Sanpaolo; – on-balance sheet exposures and endorsements assumed are monitored at a central level; – the credit risk mitigation techniques implicit in the Capital Market transactions by Banca IMI Securities are of the same nature as those adopted by Banca IMI S.p.A.; and – individual and collective adjustments are determined according to the methods and under the supervision of departments charged with the management of non-performing loans and Risk Management.

320 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Quantitative information

CREDIT QUALITY

A.1 Performing and non-performing exposures: amounts, adjustments, changes, and breakdown by business segment and geographical area

A.1.1 Breakdown of financial assets by portfolio classification and credit quality (book value)

Doubtful Substan- Restructu- Past due Other assets Total loans dard loans red expo- exposures sures

1. Financial assets held for trading 2,680 - - 56 54,628,598 54,631,334 2. Financial assets available for sale - - - - 2,856,650 2,856,650 3. Investments held to maturity ------4. Due from banks - - - - 52,888,946 52,888,946 5. Loans to customers 9,483 12,200 226,337 - 13,299,319 13,547,339 6. Financial assets carried at fair value through profit and loss ------7. Financial assets on disposal ------8. Hedging derivatives - - - - 987,356 987,356 Total 2010 12,163 12,200 226,337 56 124,660,869 124,911,625

Total 2009 13,158 - - 634 116,539,773 116,553,565

321 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.1.2 Breakdown of credit exposures by portfolio classification and credit quality (gross and net values)

Non-performing assets Other assets Total (net exposure) Net Net Gross Gross exposure exposure exposure exposure exposure exposure exposure Individual Individual adjustments adjustments 1. Financial assets held for trading 2,736 - 2,736 X X 54,628,598 54,631,334 2. Financial assets available for sale - - - 2,856,650 - 2,856,650 2,856,650 3. Investments held to maturity ------4. Due from banks - - - 52,889,207 (261) 52,888,946 52,888,946 5. Loans to customers 298,469 (50,449) 248,020 13,401,196 (101,877) 13,299,319 13,547,339 6. Financial assets carried at fair value through profit and loss - - - X X - - 7. Financial assets on disposal ------8. Hedging derivatives - - - X X 987,356 987,356 Total 2010 301,205 (50,449) 250,756 69,147,053 (102,138) 124,660,869 124,911,625

Total 2009 42,522 (28,730) 13,792 61,276,805 (86,074) 116,539,773 116,553,565

All past-due exposures, regardless of whether they are subject to collective renegotiation arrangements, pertained to Banca IMI at 31 December 2010. The reader is referred to the separate financial statements.

A.1.3 Banking group: on- and off-balance sheet exposures to banks: gross and net values

Gross Individual Collective Net exposure adjustments adjustments exposure

A. On-balance sheet exposures a) doubtful loans 2,678 - X 2,678 b) substandard loans - - X - c) restructured exposures - - X - d) past due exposures 20 - X 20 e) other assets 57,018,656 X (261) 57,018,395 Total A 57,021,354 - (261) 57,021,093

B. Off-balance sheet exposures a) non-performing - - X - b) other 45,274,197 X - 45,274,197 Total B 45,274,197 - - 45,274,197

Total A+B 102,295,551 - (261) 102,295,290

322 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.1.4 Banking group: on-balance sheet exposures to banks: changes in gross non-performing exposures

Doubtful Sub- Restructu- Past due loans standard red exposu- exposures loans res A. Initial gross exposure 2,674 - - 7 of which exposures sold not derecognised - - - - B. Increases 5 - - 20 B1. inflows from performing exposures - - - 20 B2. transfers from other non-performing exposure categories 5 - - - B3. other increases - - - - C. Decreases (1) - - (7) C1. outflows to performing exposures - - - - C2. write-offs - - - - C3. repayments - - - - C4 credit disposals - - - (2) C5. transfers to other non-performing exposure categories - - - (5) C6. other decreases (1) - - - D. Final gross exposure 2,678 - - 20 of which exposures sold not derecognised - - - -

A.1.5 Banking group: on-balance sheet exposures to banks: changes in total adjustments

Doubtful Sub- Restructu- Past due loans standard red exposu- exposures loans res A. Initial gross exposure - - - (2) of which exposures sold not derecognised - - - - B. Increases - - - - B1. impairment losses - - - - B2. transfers from other non-performing exposure categories - - - - B3. other increases - - - - C. Decreases - - - 2 C1. recovery from valuation - - - - C2. recovery from payment - - - - C3. write-offs - - - - C4. transfers to other non-performing exposure categories - - - - C6. other decreases - - - 2 D. Final gross exposure - - - - of which exposures sold not derecognised - - - -

323 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.1.6 Banking group: on- and off-balance sheet exposures to customers: gross and net values

Gross Individual Collective Net exposure adjustments adjustments exposure A. On-balance sheet exposures a) doubtful loans 37,934 (28,449) X 9,485 b) substandard loans 14,200 (2,000) X 12,200 c) restructured exposures 246,337 (20,000) X 226,337 d) past due exposures 36 - X 36 e) other assets 23,797,838 X (101,877) 23,695,961 Total A 24,096,345 (50,449) (101,877) 23,944,019 B. Off-balance sheet exposures a) non-performing - - X - b) other 21,048,680 X (7,265) 21,041,415 Total B 21,048,680 - (7,265) 21,041,415

Total A+B 45,145,025 (50,449) (109,142) 44,985,434

A.1.7. Banking group: on-balance sheet exposures to customers: changes in gross non-performing exposures

Doubtful Substan- Restructured Past due loans dard loans exposures exposures A. Initial gross exposure 38,933 - - 908 of which exposures sold not derecognised - - - - B. Increases - 14,200 246,337 - B1. impairment losses - 14,200 246,337 - B2. transfers from other non-performing exposure categories - - - - B3. other increases - - - - C. Decreases (999) - - (872) C1. outflows to performing loans - - - - C2. write-offs - - - - C3. repayments - - - - C4. credit disposals (999) - - (872) C5. transfers to other non-performing exposure categories - - - - C6. other decreases - - - - D. Final gross exposure 37,934 14,200 246,337 36 of which exposures sold not derecognised - - - -

324 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.1.8 Banking group: on-balance sheet exposures to customers: changes in total adjustments

Doubtful Substan- Restructured Past due loans dard loans exposures exposures A. Initial gross exposure (28,449) - - (279) of which exposures sold not derecognised - - - - B. Increases - (2,000) (20,000) - B1. impairment losses - (2,000) (20,000) - B2. transfers from other non-performing exposure categories - - - - B3. other increases - - - - C. Decreases - - - 279 C1. recovery from valuation - - - - C2. recovery from payment - - - - C3. write-offs - - - - C4. transfers to other non-performing exposure categories - - - - C6. other decreases - - - 279 D. Final gross exposure (28,449) (2,000) (20,000) - of which exposures sold not derecognised - - - -

A.2 Classification of exposures based on external and internal ratings

A.2.1 Banking group: breakdown of on- and off- balance sheet exposures by external rating classes

External rating classes Unrated Totale AAA/AA- A+/A- BBB+/BBB- BB+/BB- B+/B- Under B- A. On-balance sheet exposures 54,192,488 12,587,745 1,539,154 426,498 356,841 251,437 11,610,949 80,965,112 B. Derivatives B.1 Financial derivatives 3,357,402 1,553,439 28,462 5,831 - - 1,807,436 6,752,570 B.2 Credit derivatives 28,382 23,857 - - - - 231,770 284,009 C. Guarantees given - - - - 45,129 26,666 1,582,574 1,654,369 D. Commitments to lend funds 28,104,250 20,206,892 180,102 35,667 16,470 39 9,081,244 57,624,664 Total 85,682,522 34,371,933 1,747,718 467,996 418,440 278,142 24,313,973 147,280,724

Notes: B.1 - Financial derivatives: positive fair value of OTC derivatives; B.2 - Credit derivatives: notional value of protection sales and positive fair value of protection purchases; D. - Deposits to be made with banks, securities to be received and the notional value of the physical OTC put options sold.

The main ratings used are those assigned by Standard & Poor’s; absent ratings assigned by that agency, those of Fitch and Moody’s have been considered.

Financial derivative exposures have been presented after netting arrangements.

Commitments to lend funds refer primarily to financial contracts with mutual benefits, which are settled according to the delivery versus payment method. In further detail, the unrated segment includes commitments in the form of purchases to be settled.

325 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.3 Breakdown of guaranteed exposures by type of guarantee

A.3.1 Banking group: Guaranteed credit exposures to banks

Collateral (1) Guarantees (2) Totale (1) + (2) Credit derivatives Guarantees given Exposure Other derivatives Securities Other assets Banks Banks Real estate assets Central Banks Central Banks Credit linked notes Credit Governments and Governments and Other public entities Other public entities Other counterparties Other counterparties

1. On- balance sheet guaranteed exposures:

1.1. totally guaranteed 7,413,581 - 7,431,075 ------1,629 7,432,704

- of which non-performing ------

1.2. partially guaranteed 378,253 - 365,835 ------365,835

- of which non-performing ------

2. Off- balance sheet guaranteed exposures:

2.1. totally guaranteed 3,530,603 - - 3,812,431 ------3,812,431

- of which non-performing ------

2.2. partially guaranteed ------

- of which non-performing ------

Exposures guaranteed by securities are represented by repurchase agreements and securities loans. The collateral acquired to secure off-balance sheet exposures refers to net counterparty risk, determined on the basis of netting and CSA agreements, implicit in OTC derivatives contracts.

326 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.3.2 Banking group: Guaranteed credit exposures to customers

Collateral (1) Guarantees (2) Total (1) + (2) Credit derivatives Guarantees given Exposure Other derivatives Securities Other assets Banks Banks Real estate assets Central Banks Central Banks Credit linked notes Credit Governments and Governments and Other public entities Other public entities Other counterparties Other counterparties

1. On- balance sheet guaranteed exposures:

1.1. totally guaranteed 6,540,020 1,665,385 4,655,259 46,146 ------198,065 6,564,855

- of which non-performing ------

1.2. partially guaranteed 1,189,571 25,329 578,760 10,660 - - - - 15,000 - - - - 629,749

- of which non-performing ------

2. Off- balance sheet guaranteed exposures:

2.1. totally guaranteed 1,928,007 53,941 35,821 595,174 ------1,243,071 1,928,007

- of which non-performing ------

2.2. partially guaranteed 241,374 62,210 6,446 538 ------69,194

- of which non-performing ------

327 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

B. Breakdown and concentration of credit exposures

B.1 Banking group – Breakdown of on- and off-balance sheet exposures to customers by sector (book value)

Governments and central banks Other public entities Specific Specific Portfolio Portfolio Net exposure Net exposure Net exposure impairment losses impairment losses impairment losses impairment losses

A. ON-BALANCE SHEET EXPOSURES

A.1 Doubtful loans - - X - - X

A.2 Substandard loans - - X - - X

A.3 Restructured exposures - - X - - X

A.4 Past due exposures 20 - X - - X

A.5 Other exposures 7,487,983 X - 5,597 X -

TOTAL A 7,488,003 - - 5,597 - -

B. OFF-BALANCE SHEET EXPOSURES

B.1 Doubtful loans - - X - - X

B.2 Substandard loans - - X - - X

B.3 Other non-performing assets - - X - - X

B.4 Other exposures 845,582 X - - X -

TOTAL B 845,582 - - - - -

TOTAL (A+B) 31 DECEMBER 2010 8,333,585 - - 5,597 - -

TOTAL (A+B) 31 DECEMBER 2009 13,362,786 (16) - 12,733 - -

Financial institutions Insurance companies Specific Specific Portfolio Portfolio Net exposure Net exposure Net exposure impairment losses impairment losses impairment losses impairment losses

A. ON-BALANCE SHEET EXPOSURES

A.1 Doubtful loans 9,485 (28,449) X - - X

A.2 Substandard loans - - X - - X

A.3 Restructured exposures - - X - - X

A.4 Past due exposures - - X - - X

A.5 Other exposures 10,420,920 X (24,456) 28,299 X -

TOTAL A 10,430,405 (28,449) (24,456) 28,299 - -

B. OFF-BALANCE SHEET EXPOSURES

B.1 Doubtful loans - - X - - X

B.2 Substandard loans - - X - - X

B.3 Other non-performing assets - - X - - X

B.4 Other exposures 17,122,088 X - 173,651 X -

TOTAL B 17,122,088 - - 173,651 - -

TOTAL (A+B) 31 DECEMBER 2010 27,552,493 (28,449) (24,456) 201,950 - -

TOTAL (A+B) 31 DECEMBER 2009 32,663,830 (28,664) (28,848) 1,731,485 - -

328 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Non-financial companies Other counterparties Specific Specific Portfolio Portfolio Net exposure Net exposure Net exposure impairment losses impairment losses impairment losses impairment losses

A. ON-BALANCE SHEET EXPOSURES

A.1 Doubtful loans - - X - - X

A.2 Substandard loans 12,200 (2,000) X - - X

A.3 Restructured exposures 226,337 (20,000) X - - X

A.4 Past due exposures 16 - X - - X

A.5 Other exposures 5,728,261 X (77,421) 24,901 X -

TOTAL A 5,966,814 (22,000) (77,421) 24,901 - -

B. OFF-BALANCE SHEET EXPOSURES

B.1 Doubtful loans - - X - - X

B.2 Substandard loans - - X - - X

B.3 Other non-performing assets - - X - - X

B.4 Other exposures 2,900,094 X (7,265) - X -

TOTAL B 2,900,094 - (7,265) - - -

TOTAL (A+B) 31 DECEMBER 2010 8,866,908 (22,000) (84,686) 24,901 - -

TOTAL (A+B) 31 DECEMBER 2009 36,919,301 (48) (57,070) 2,482,755 - -

329 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

B.2 Banking group – Breakdown of on- and off-balance sheet exposures to customers by geographical area (book value)

Italy Other European countries America

Net Total Net Total Net Total exposure adjustments exposure adjustments exposure adjustments

A. On-balance sheet exposures A.1 Doubtful loans - - 651 (1,952) 8,834 (26,497) A.2 Substandard loans 12,200 (2,000) - - - - A.3 Restructured exposures 226,337 (20,000) - - - - A.4 Past due exposures 1 - 14 - 21 - A.5 Other exposures 18,271,303 (86,337) 3,949,944 (14,885) 1,173,388 (4) TOTAL 18,509,841 (108,337) 3,950,609 (16,837) 1,182,243 (26,501) B. Off-balance sheet exposures B.1 Doubtful loans ------B.2 Substandard loans ------B.3 Other non-performing assets ------B.4 Other exposures 6,900,733 (7,265) 12,101,453 - 1,384,648 - TOTAL 6,900,733 (7,265) 12,101,453 - 1,384,648 -

TOTAL 31 DECEMBER 2010 25,410,574 (115,602) 16,052,062 (16,837) 2,566,891 (26,501)

TOTAL 31 DECEMBER 2009 25,339,524 (72,963) 59,157,910 (15,060) 2,411,073 (26,513)

Asia Rest of the World Total

Net Total Net Total Net Total exposure adjustments exposure adjustments exposure adjustments

A. On-balance sheet exposures A.1 Doubtful loans - - - - 9,485 (28,449) A.2 Substandard loans - - - - 12,200 (2,000) A.3 Restructured exposures - - - - 226,337 (20,000) A.4 Past due exposures - - - - 36 - A.5 Other exposures 93,300 (7) 208,026 (644) 23,695,961 (101,877) TOTALE 93,300 (7) 208,026 (644) 23,944,019 (152,326) B. Off-balance sheet exposures B.1 Doubtful loans ------B.2 Substandard loans ------B.3 Other non-performing assets ------B.4 Other exposures 25,766 - 628,815 - 21,041,415 (7,265) TOTAL 25,766 - 628,815 - 21,041,415 (7,265)

TOTAL 31 DECEMBER 2010 119,066 (7) 836,841 (644) 44,985,434 (159,591)

TOTAL 31 DECEMBER 2009 61,791 - 202,592 (110) 87,172,890 (114,646)

330 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

B.3 Banking group – Breakdown of on- and off-balance sheet exposures to banks by geographical area (book value)

Italy Other European countries America

Net Total Net Total Net Total exposure adjustments exposure adjustments exposure adjustments

A. On-balance sheet exposures A.1 Doubtful loans - - 2,678 - - - A.2 Substandard loans ------A.3 Restructured exposures ------A.4 Past due exposures - - - - 20 - A.5 Other exposures 50,567,681 (261) 5,943,340 - 493,954 - TOTAL 50,567,681 (261) 5,946,018 - 493,974 - B. Off-balance sheet exposures B.1 Doubtful loans ------B.2 Substandard loans ------B.3 Other non-performing assets ------B.4 Other exposures 4,816,351 - 34,610,652 - 5,830,104 - TOTAL 4,816,351 - 34,610,652 - 5,830,104 -

TOTAL 31 DECEMBER 2010 55,384,032 (261) 40,556,670 - 6,324,078 -

TOTAL 31 DECEMBER 2009 64,843,231 (156) 28,265,929 (2) 4,846,155 -

Asia Rest of the World Total

Net Total Net Total Net Total exposure adjustments exposure adjustments exposure adjustments

A. On-balance sheet exposures A.1 Doubtful loans - - - - 2,678 - A.2 Substandard loans ------A.3 Restructured exposures ------A.4 Past due exposures - - - - 20 - A.5 Other exposures 4,243 - 9,177 - 57,018,395 (261) TOTAL 4,243 - 9,177 - 57,021,093 (261) B. Off-balance sheet exposures B.1 Doubtful loans ------B.2 Substandard loans ------B.3 Other non-performing ------assets B.4 Other exposures 17,090 - - - 45,274,197 - TOTAL 17,090 - - - 45,274,197 -

TOTAL 31 DECEMBER 2010 21,333 - 9,177 - 102,295,290 (261)

TOTAL 31 DECEMBER 2009 1,057 - 38,341 - 97,994,713 (158)

B.4 Large risks Banca IMI and its subsidiaries do not form a banking group.

331 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

C. SECURITISATIONS AND THE DISPOSAL OF ASSETS

C.1 SECURITISATIONS

Qualitative information

The reader is referred to the section of the same name in the notes to the separate financial statements.

Quantitative information

The reader is referred to the section of the same name in the notes to the separate financial statements. The Group does not hold equity interests in special-purpose vehicles.

C.2 DISPOSAL TRANSACTIONS The reader is referred to the section of the same name in the notes to the separate financial statements.

D. BANKING GROUP - CREDIT RISK MEASUREMENT MODELS Banca IMI and its subsidiaries do not make use of internal models for the measurement of exposure to credit risk.

STRUCTURED CREDIT PRODUCTS

Banca IMI and its subsidiaries do not make use of internal models for the measurement of exposure to credit risk.

1.2 Banking Group MARKET RISKS

1.2.1 Interest-rate risk and price risk on the regulatory trading book

Qualitative information

The reader is referred to the contents of the separate financial statements.

332 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

1. Regulatory trading book: breakdown of exposures in equities and equity indices by main country of listing

Quoted Unquo- ted Italy Germany USA Japan France Other A. Equities - long position 109,214 14,417 20,119 3,649 79,898 313,386 - - short position 24,213 29,164 16,852 - 5,116 5,078 - B. Non-settled transaction on equities - long position 5,677 4,998 - - 15,914 31,464 - - short position 2,338 76 1 - 34,708 13,320 - C. Other derivatives on equities - long position 30,983 3,042 10,528 - - 515 - - short position 94,022 5,804 1,923 - - 574 - D. Derivatives on equity indices - long position 87,749 777,029 623,706 17,761 - 2,273 - - short position 8,532,748 523,991 591,333 29,587 218 23,283 -

1.2.2 Interest-rate and price risk - banking book

Qualitative information

General aspects, interest rate risk and price risk management processes and measurement methods. The Group’s banking book transactions refer to the issuance of bonds and the portfolio of AFS assets consisting of government bonds. Both cases are attributable to Banca IMI S.p.A. Accordingly, the reader is referred to the contents of the separate financial statements.

333 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Quantitative information

1. Banking book: breakdown by residual maturity (repricing date) of financial assets and liabilities

Currency: EUR

On demand up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermi- ned

1. On-balance sheet assets 5,305,360 51,142,351 8,249,550 1,049,791 970,558 152,547 178,660 -

1.1 Debt securities

- early repayment option ------

- other - 1,261,539 1,183,171 634,511 865,457 92,267 178,660 -

1.2 Due from banks 2,952,512 41,570,275 5,889,622 315,167 105,101 - - -

1.3 Due from customers

- checking accounts 62,644 ------

- other

- early repayment option 1,190,838 4,052,125 905,952 11,839 - - - -

- other 1,099,366 4,258,412 270,805 88,274 - 60,280 - -

2. On-balance sheet liabilities 4,804,116 42,595,771 12,270,018 8,314,916 4,027,932 148,309 - -

2.1 Due to customers

- checking account 66,299 ------

- other

- early repayment option ------

- other 13,116 6,786,024 418,399 222,253 - - - -

2.2 Due to banks

- checking account 210,145 ------

- other 3,835,276 17,576,086 1,432,365 838,657 - - - -

2.3 Debt securities

- early repayment option ------

- other 679,280 18,233,661 10,419,254 7,254,006 4,027,932 148,309 - -

2.4 Other liabilities

- early repayment option ------

- other ------

3. Financial derivatives - 32,722,799 13,529,726 13,430,295 10,047,273 309,451 250,076 -

3.1 With underlying asset

- Option

+ Long position ------

+ Short position ------

- Other derivatives

+ Long position ------

+ Short position ------

3.2 Without underlying asset

- Option

+ Long position - - 1,896,863 - 1,896,863 - - -

+ Short position - - 1,896,863 - 1,896,863 - - -

- Other derivatives

+ Long position - 14,036,827 5,078,037 6,898,173 5,054,596 212,451 71,000 -

+ Short position - 18,685,972 4,657,963 6,532,122 1,198,951 97,000 179,076 -

334 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Currency: USD

On demand up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermi- ned

1. On-balance sheet assets 1,138,145 596,146 152,346 - 37,060 135,607 - -

1.1 Debt securities

- early repayment option ------

- other - 114,717 - - 37,060 135,607 - -

1.2 Due from banks 610,466 266,739 ------

1.3 Due from customers

- checking accounts 127,920 ------

- other

- early repayment option 2,572 160,379 152,346 - - - - -

- other 397,187 54,311 ------

2. On-balance sheet liabilities 1,091,208 394,923 160,524 - - - - -

2.1 Due to customers

- checking account 20,041 ------

- other

- early repayment option ------

- other 754,756 142,170 ------

2.2 Due to banks

- checking account 309,307 ------

- other 7,104 252,753 160,524 - - - - -

2.3 Debt securities

- early repayment option ------

- other ------

2.4 Other liabilities

- early repayment option ------

- other ------

3. Financial derivatives - 168,388 - - 86,842 143,324 - -

3.1 With underlying asset

- Option

+ Long position ------

+ Short position ------

- Other derivatives

+ Long position ------

+ Short position ------

3.2 Without underlying asset

- Option

+ Long position - - - - 24,711 6,178 - -

+ Short position - - - - 24,711 6,178 - -

- Other derivatives

+ Long position - 168,388 ------

+ Short position - - - - 37,420 130,968 - -

335 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Currency: GBP

On demand up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermi- ned

1. On-balance sheet assets 67,568 55,246 ------

1.1 Debt securities

- early repayment option ------

- other ------

1.2 Due from banks 56,779 16,549 ------

1.3 Due from customers

- checking accounts 10,259 ------

- other

- early repayment option 202 32,838 ------

- other 328 5,859 ------

2. On-balance sheet liabilities 44,716 180,500 198,611 - - - - -

2.1 Due to customers

- checking account 42,451 ------

- other

- early repayment option ------

- other ------

2.2 Due to banks

- checking account 2,178 ------

- other 87 180,500 198,611 - - - - -

2.3 Debt securities

- early repayment option ------

- other ------

2.4 Other liabilities

- early repayment option ------

- other ------

3. Financial derivatives ------

3.1 With underlying asset

- Option

+ Long position ------

+ Short position ------

- Other derivatives

+ Long position ------

+ Short position ------

3.2 Without underlying asset

- Option

+ Long position ------

+ Short position ------

- Other derivatives

+ Long position ------

+ Short position ------

336 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Currency: JPY

On demand up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermi- ned

1. On-balance sheet assets 63,686 ------

1.1 Debt securities

- early repayment option ------

- other ------

1.2 Due from banks 57,544 ------

1.3 Due from customers

- checking accounts 5,332 ------

- other

- early repayment option ------

- other 810 ------

2. On-balance sheet liabilities 1,146 20,249 ------

2.1 Due to customers

- checking account 994 ------

- other

- early repayment option ------

- other ------

2.2 Due to banks

- checking account 152 ------

- other - 20,249 ------

2.3 Debt securities

- early repayment option ------

- other ------

2.4 Other liabilities

- early repayment option ------

- other ------

3. Financial derivatives ------

3.1 With underlying asset

- Option

+ Long position ------

+ Short position ------

- Other derivatives

+ Long position ------

+ Short position ------

3.2 Without underlying asset

- Option

+ Long position ------

+ Short position ------

- Other derivatives

+ Long position ------

+ Short position ------

337 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Currency: Other

On demand up to 3M 3M to 6M 6M to 1Y 1Y to 5Y 5Y to 10Y over 10Y undetermi- ned

1. On-balance sheet assets 146,100 19,048 ------

1.1 Debt securities

- early repayment option ------

- other ------

1.2 Due from banks 134,979 7,629 ------

1.3 Due from customers

- checking accounts 10,538 ------

- other

- early repayment option 250 11,419 ------

- other 333 ------

2. On-balance sheet liabilities 10,824 198,963 ------

2.1 Due to customers

- checking account 5,775 ------

- other

- early repayment option ------

- other ------

2.2 Due to banks

- checking account 4,805 ------

- other 244 198,963 ------

2.3 Debt securities

- early repayment option ------

- other ------

2.4 Other liabilities

- early repayment option ------

- other ------

3. Financial derivatives ------

3.1 With underlying asset

- Option

+ Long position ------

+ Short position ------

- Other derivatives

+ Long position ------

+ Short position ------

3.2 Without underlying asset

- Option

+ Long position ------

+ Short position ------

- Other derivatives

+ Long position ------

+ Short position ------

338 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

1.2.3 Exchange rate risk

Qualitative information

General issues, management processes and assessment methods for exchange-rate risk “Exchange-rate risk” is defined as the possibility that fluctuations in market exchange rates may result in significant increases or decreases in the value of the Group’s assets, understood as the fair value of the risk positions managed.

Foreign exchange risk hedging activities The exchange-rate risk arising from the brokerage of securities and derivatives is measured at the level of each individual legal entity and operational unit through the use of cash and derivatives securities. Any “open” positions are transferred by the individual units to the Treasury desk in order to optimise exchange-rate risk management at the overall level.

The primary risk mitigation strategy is securing funding in the same currency as assets or, alternatively, the synthetic transformation of funding into euro.

Quantitative information

1. Breakdown of assets, liabilities and derivatives by currency of denomination

Currencies US dollar Pound Yen Canadian Swiss franc Other sterling dollar currencies A. Financial assets A.1 - Debt securities 926,613 33,093 - 201 396 55,161 A.2 - Equities 56,055 8,663 3,757 - 19,966 776 A.3 - Due from banks 738,776 32,669 12,626 1,762 5,145 49,695 A.4 - Loans to customers 947,164 382,770 6,142 5,420 2,239 25,530 A.5 - Other financial assets ------B. Other assets 210,627 368,131 - - 17,070 13,666 C. Financial liabilities C.1 - Due to banks 816,983 383,861 20,545 5,163 49,907 152,572 C.2 - Due to customers 916,935 42,451 994 149 4,054 1,573 C.3 - Debt securities ------C.4 - Other financial liabilities ------D. Other liabilities 66,314 367,769 - - 17,062 14,537 E. Financial derivatives - Options + long positions 1,077,915 123,170 115,892 17,172 138,468 47,872 + short positions 1,871,625 79,056 121,545 78 93,499 44,835 - Other derivatives + long positions 8,029,484 2,571,022 153,922 2,679 845,668 9,117 + short positions 7,567,691 2,573,210 206,802 20,998 829,544 12,143 Total assets 11,986,634 3,519,518 292,339 27,234 1,028,952 201,817

Total liabilities 11,239,548 3,446,347 349,886 26,388 994,066 225,660

Imbalance (+/-) 747,086 73,171 (57,547) 846 34,886 (23,843)

339 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

1.2.4 Derivatives

A. FINANCIAL DERIVATIVES

A.1 Regulatory trading book: period-end and average notional values

Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house 1. Debt securities and interest rates a) Options 389,467,043 126,555,188 450,286,079 204,509,267 b) Swaps 1,652,652,176 - 2,152,114,728 - c) Forwards 627,994,880 - - - d) Futures - 79,025,450 - 143,807,980 e) Other - - - - 2. Equities and indices a) Options 36,360,075 15,975,252 48,480,054 11,930,572 b) Swaps 108,529 - 311,499 - c) Forwards 238,150 - 91,183 - d) Futures - 1,643,763 - 673,319 e) Other - - - - 3. Currencies and gold a) Options 11,495,457 - 5,913,642 - b) Swaps 17,189,336 - 12,180,368 - c) Forwards 3,659,917 - 1,853,126 - d) Futures - 4,880 - 11,080 e) Other - - - - 4. Commodities 2,636,268 1,512,683 1,091,143 821,039 5. Other underlying assets - - - - Total 2,741,801,831 224,717,216 2,672,321,822 361,753,257 Average 2,707,061,827 293,235,237 2,446,141,557 537,115,223

340 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.2 Banking book: period-end and average notional values

A.2.1 Hedging

Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house 1. Debt securities and interest rates a) Options 3,793,726 - 3,400,000 - b) Swaps 31,519,472 - 25,606,118 - c) Forwards - - - - d) Futures - - - - e) Other - - - - 2. Equities and indices a) Options - - - - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - - 3. Currencies and gold a) Options - - - - b) Swaps - - - - c) Forwards - - 21,193 - d) Futures - - - - e) Other - - - - 4. Commodities - - - - 5. Other underlying assets - - - - Total 35,313,198 - 29,027,311 -

Average 32,170,255 - 19,210,521 -

341 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.2.2 Other derivatives

Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house 1. Debt securities and interest rates a) Options - - - - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - - 2. Equities and indices a) Options 2,711,717 - 2,731,853 - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - - 3. Currencies and gold a) Options 30,889 - - - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - - 4. Commodities - - - - 5. Other underlying assets - - - - Total 2,742,606 - 2,731,853 -

Average 2,737,230 - 2,611,705 -

342 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.3 Financial derivatives: gross positive fair value - breakdown by product

Positive fair value Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house A. Regulatory trading book a) Options 5,780,778 675,583 5,481,706 738,572 b) Swaps 32,874,817 - 38,902,071 - c) Cross currency swaps 1,513,370 - 1,582,755 - d) Equity swaps 3,725 - 39,004 - e) Forwards 109,162 - 58,027 - f) Futures - 105,107 - 160,627 e) Other 32,362 - 25,476 - B. Banking book portfolio - hedging a) Options 188,110 - 203,434 - b) Swaps 799,246 - 682,711 - c) Cross currency swaps - - - - d) Equity swaps - - - - e) Forwards - - 520 - f) Futures - - - - e) Other - - - - C. Banking book portfolio - other a) Options 12,157 - 720 - b) Swaps - - - - c) Cross currency swaps - - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - - Total 41,313,727 780,690 46,976,424 899,199

343 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.4 Financial derivatives: gross negative fair value - breakdown by product

Positive fair value Total 2010 Total 2009 Over the Clearing Over the Clearing counter house counter house A. Regulatory trading book a) Options 6,820,431 580,389 6,142,827 605,275 b) Swaps 34,145,234 - 39,596,120 - c) Cross currency swaps 1,560,972 - 1,576,531 - d) Equity swaps 12,234 - 38,406 - e) Forwards 59,457 - 17,815 - f) Futures - 93,858 - 47,804 e) Other 101,726 - 63,031 - B. Banking book portfolio - hedging a) Options 172,677 - 197,363 - b) Swaps 414,245 - 471,338 - c) Cross currency swaps - - - - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - - C. Banking book portfolio - other a) Options 314,660 - 306,193 - b) Swaps - - - - c) Cross currency swaps - - - - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - - Total 43,601,636 674,247 48,409,624 653,079

The two foregoing tables contemplate the fair value of all outstanding contracts, whether on margin or not on margin.

344 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.5 OTC financial derivatives - regulatory trading book: notional values, gross positive and negative fair values by counterparty - contracts not based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies 1) Debt securities and interest rates - notional amount 200,000 - 13,031,837 6,652,539 4,069,247 1,880,333 - - positive fair value 5,831 - 524,253 181,308 27,830 39,396 - - negative fair value - - (229,340) (450,298) (69,097) (9,960) - - future exposure - - 68,352 73,022 17,686 13,953 - 2) Equity and indices - notional amount - - 2,740,386 191,280 5,276,576 - - - positive fair value - - 19,102 6,577 1,909 - - - negative fair value - - (1,600,293) (1,362) (37,146) - - - future exposure - - 18,016 2,073 5,131 - - 3) Currencies and gold - notional amount - - 124,856 210,807 1,310 44,903 - - positive fair value - - 4,753 78 9,647 130 - - negative fair value - - (101,150) (4,129) (31) (1,711) - - future exposure - - 806 15,083 1 1,048 - 4) Other - notional amount - - 14,060 - - 353,111 - - positive fair value - - 1,475 - - - - - negative fair value - - (4,070) - - (22,301) - - future exposure - - 1,466 - - 35,311 -

345 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.6 OTC financial derivatives - regulatory trading book: notional values, gross positive and negative fair values by counterparty - contracts based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies 1) Debt securities and interest rates - notional amount 2,150,000 - 1,892,148,492 748,047,123 12,500 1,018,250 - - positive fair value 465,892 - 34,246,073 2,099,238 - 31,891 - - negative fair value (7,540) - (35,160,736) (2,218,386) (886) (14,423) - 2) Equity and indices - notional amount - - 19,676,533 8,821,980 - - - - positive fair value - - 548,399 195,520 - - - - negative fair value - - (703,408) (206,581) - - - 3) Currencies and gold - notional amount 748,391 - 25,269,221 4,163,115 400,813 140,625 - - positive fair value 381,399 - 1,183,790 172,401 133,532 2,811 - - negative fair value - - (1,374,055) (401,654) - (2,438) - 4) Other - notional amount - - 2,123,846 105,134 - 40,117 - - positive fair value - - 23,610 824 - 6,545 - - negative fair value - - (73,518) (5,541) - - -

346 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.7 OTC financial derivatives - banking book: notional values, gross positive and negative fair values by counterparty - contracts not based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies 1) Debt securities and interest rates - notional amount ------positive fair value ------negative fair value ------future exposure ------2) Equity and indices - notional amount - - 2,711,717 - - - - - positive fair value - - 1,928 - - - - - negative fair value - - (301,975) - - - - - future exposure ------3) Currencies and gold - notional amount - - 30,889 - - - - - positive fair value - - 10,229 - - - - - negative fair value - - (12,685) - - - - - future exposure ------4) Other - notional amount ------positive fair value ------negative fair value ------future exposure ------

347 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

A.8 OTC financial derivatives - banking book: notional values, gross positive and negative fair values by counterparty - contracts based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies 1) Debt securities and interest rates - notional amount - - 34,326,230 986,968 - - - - positive fair value - - 987,287 69 - - - - negative fair value - - (513,439) (73,483) - - -

2) Equity and indices

- notional amount ------positive fair value ------negative fair value ------3) Currencies and gold - notional amount ------positive fair value ------negative fair value ------4) Other - notional amount ------positive fair value ------negative fair value ------

A.9 Residual maturity of OTC financial derivatives: notional values

Up to Between Over 5 years Total 1 year 1 and 5 years

A. Regulatory trading book A.1 Financial derivatives on debt securities and interest rates 1,026,938,985 984,997,259 658,177,855 2,670,114,099 A.2 Financial derivatives on equities and stock indices 6,147,932 26,306,855 4,251,967 36,706,754 A.3 Financial derivatives on foreign exchange 16,904,093 4,212,436 11,228,181 32,344,710 rates and gold A.4 Financial derivatives - other 1,416,738 1,219,530 - 2,636,268 B. Banking book B.1 Financial derivatives on debt securities and interest rates 8,492,610 22,048,799 4,771,789 35,313,198 B.2 Financial derivatives on equities and stock indices 1,079 2,560,055 150,583 2,711,717 B.3 Financial derivatives on foreign - 24,711 6,178 30,889 exchange rates and gold B.4 Financial derivatives - other - - - - Total 31 December 2010 1,059,901,437 1,041,369,645 678,586,553 2,779,857,635

Total 31 December 2009 1,027,773,474 1,036,640,072 639,667,440 2,704,080,986

A.10 OTC financial derivatives: counterparty/financial risk - Internal models

At the date of approval of these financial statements, plans were being laid to implement an internal model for counterparty risk at the level of Banca IMI. These activities are expected to be concluded in 2011.

348 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

B. CREDIT DERIVATIVES

B.1 Credit derivatives: period-end and average notional values

Regulatory trading book Other operations single counter- various counter- single counter- various counter- party parties (basket) party parties (basket) 1. Protection purchases a) Credit default products 25,225,396 24,722,004 - - b) Credit spread products - - - - c) Total rate of return swap 1,079,176 - - - d) Other - 168,404 - - TOTAL 31 DECEMBER 2010 26,304,572 24,890,408 - -

AVERAGE VALUES 23,036,640 36,427,078 - -

TOTAL 31 DECEMBER 2009 19,768,708 47,963,748 - - 2. Protection sales a) Credit default products 23,513,966 24,432,331 - - b) Credit spread products - - - - c) Total rate of return swap 354,047 - - - d) Other - 148,237 - - TOTAL 31 DECEMBER 2010 23,868,013 24,580,568 - -

AVERAGE VALUES 20,919,670 36,124,913 - -

TOTAL 31 DECEMBER 2009 17,971,326 47,669,258 - -

B.2 OTC credit derivatives: gross positive fair value - breakdown by product

Positive fair value Total 2010 Total 2009 A. Regulatory trading book a) Credit default products 1,543,664 1,612,830 b) Credit spread products - - c) Total rate of return swap 409,069 302,163 d) Other 3,953 - B. Banking book a) Credit default products - - b) Credit spread products - - c) Total rate of return swap - - d) Other - - Totale 1,956,686 1,914,993

349 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

B.3 OTC credit derivatives: gross negative fair value - breakdown by product

Negative Fair value Total 2010 Total 2009 A. Regulatory trading book a) Credit default products 1,537,098 1,629,650 b) Credit spread products - - c) Total rate of return swap 235,578 295,698 d) Other 5,337 - B. Banking book a) Credit default products - - b) Credit spread products - - c) Total rate of return swap - - d) Other - - Total 1,778,013 1,925,348

B.4 OTC credit derivatives: gross (positive and negative) fair values by counterparty - contracts not based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies

Regulatory trading book 1) Protection purchases - notional amount - - 2,038,243 78,925 - - - - positive fair value - - 28,154 2,528 - - - - negative fair value - - (1,281) (3) - - - - future exposure - - 92,548 4,508 - - - 2) Protection sales - notional amount - - - 356,047 - - - - positive fair value - - - 232,706 - - - - negative fair value - - - (214,423) - - - - future exposure - - - 19,758 - - - Banking book 1) Protection purchases - notional amount ------positive fair value ------negative fair value ------2) Protection sales - notional amount ------positive fair value ------negative fair value ------

350 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

B.5 OTC credit derivatives: gross (positive and negative) fair values by counterparty - contracts based on netting arrangements

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies

Regulatory trading book 1) Protection purchases - notional amount - - 37,344,306 11,733,506 - - - - positive fair value - - 874,186 372,290 - - - - negative fair value - - (254,531) (76,153) - - - 2) Protection sales - notional amount - - 36,996,802 11,095,732 - - - - positive fair value - - 247,373 199,450 - - - - negative fair value - - (757,647) (473,974) - - - Banking book 1) Protection purchases - notional amount ------positive fair value ------negative fair value ------2) Protection sales - notional amount ------positive fair value ------negative fair value ------

B.6 Residual maturity of credit derivatives: notional values

Up to Between Over 5 Total 1 year 1 and 5 years years A. Regulatory trading book A.1 Credit derivatives with "qualified reference obligation" 4,073,891 78,075,236 6,532,746 88,681,873 A.2 Credit derivatives with "unqualified reference obligation" 964,431 9,864,449 132,808 10,961,688 B. Banking book B.1 Credit derivatives with "qualified reference obligation" - - - - B.2 Credit derivatives with "unqualified reference obligation" - - - - TOTAL 31 DECEMBER 2010 5,038,322 87,939,685 6,665,554 99,643,561

TOTAL 31 DECEMBER 2009 7,824,323 117,650,117 7,898,600 133,373,040

351 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

C. CREDIT AND FINANCIAL DERIVATIVES

C.1 OTC credit and financial derivatives: net fair values and future exposure by counterparty

Governments Other Banks Financial Insurance Non Other and Central public companies companies financial Banks entities companies

1) Bilateral agreements on financial derivatives - positive fair value 839,751 - 1,613,751 208,312 133,532 34,435 - - negative fair value - - (1,401,160) (453,207) (886) (10,049) - - future exposure 37,284 - 956,384 1,877,613 30,136 8,348 - - net counterparty risk 877,035 - 1,156,970 259,561 163,668 42,783 - 2) Bilateral agreements on credit derivatives - positive fair value - - - 500 - - - - negative fair value - - - (25) - - - - future exposure - - - 750 - - - - net counterparty risk - - - 1,250 - - - 3) "Cross product" agreements - positive fair value - - 2,363,707 205,930 - - - - negative fair value - - (3,302,915) (377,490) - - - - future exposure - - 3,996,550 621,286 - - - - net counterparty risk - - 3,708,690 577,695 - - -

1.3 Banking Group - LIQUIDITY RISK

Qualitative information

General issues, management processes and assessment methods for liquidity risk “Liquidity risk” is defined as the chance that the Group may not be able to meet its commitments to make payments due to its inability to procure new funds (funding liquidity risk) or sell assets on the market to make up for the shortfall (market liquidity risk), or otherwise be forced to incur very high costs to meet its commitments.

352 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Quantitative information

1. Breakdown of financial assets and liabilities by residual contractual maturity

Currency: EUR

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 days 1 and 3 and 6 months 1 and years cified 7 days 15 days and 3 months 6 months and 5 years maturity 1 month 1 year On-balance-sheet assets 4,658,600 2,776,720 1,796,773 7,376,558 12,670,265 3,088,172 5,029,471 30,684,427 10,063,740 2,703 A.1 Government bonds 50,034 1,868 1,303 13,544 485,056 1,031,033 2,311,418 2,184,512 1,089,520 -

A.2 Quoted debt securities 97,059 9,540 21,819 136,658 255,328 1,133,638 628,879 2,746,789 2,909,721 2,703

A.3 Quotas of UCITS 380,383 ------

A.4 Loans

- Banks 2,708,518 1,972,326 1,293,894 5,526,122 10,449,750 362,348 1,676,640 22,907,274 4,150,719 -

- Customers 1,422,606 792,986 479,757 1,700,234 1,480,131 561,153 412,534 2,845,852 1,913,780 - On-balance-sheet liabilities 4,787,564 7,205,755 1,462,270 5,996,073 18,378,577 1,598,488 2,701,981 25,344,892 7,189,692 - B.1 Deposits

- Banks 4,096,664 200,304 300,417 74,900 5,126,084 70,999 7,233 1,783,998 2,571,947 -

- Customers 663,803 - - 95,000 ------

B.2 Debt securities - - - 3,529,190 9,637,727 18,763 1,543,379 22,118,698 3,914,684 -

B.3 Other liabilities 27,097 7,005,451 1,161,853 2,296,983 3,614,766 1,508,726 1,151,369 1,442,196 703,061 - Off-balance sheet transactions 83,399,998 11,936,692 180,864 660,807 6,528,201 4,860,183 4,513,319 47,683,013 19,734,091 - C.1 Financial derivatives with exchange of capital - Long positions 103,754 2,177,440 91,618 144,379 3,233,224 1,590,074 1,201,785 2,278,548 6,972,653 -

- Short positions 300,340 2,768,534 89,246 265,882 2,577,131 1,740,191 1,645,762 1,768,043 6,600,976 - C.2 Financial derivatives without exchange of capital - Long positions 38,087,250 ------

- Short positions 40,219,920 ------C.3 Deposits and loans to be settled - Long positions 3,419,563 ------

- Short positions - 3,219,170 - 100,546 99,846 - - - - - C.4 Irrevocable commitments to lend funds - Long positions - 1,021,161 - - 309,000 621,500 814,500 13,818,700 2,762,000 -

- Short positions 1,269,171 2,750,387 - 150,000 309,000 908,418 851,272 29,817,722 3,398,462 - C.5 Financial guarantees given ------

353 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Currency: USD

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 days 1 and 3 and 6 months 1 and years cified 7 days 15 days and 3 months 6 months and 5 years maturity 1 month 1 year On-balance-sheet assets 1,047,519 105,432 31,036 14,048 253,835 67,218 45,136 597,098 538,109 38 A.1 Government bonds 2,081 - 10 - 12,825 9,324 4,848 130,591 160,015 -

A.2 Quoted debt securities 9,093 - 2,994 12,759 48,542 19,449 15,307 327,591 218,808 38

A.3 Quotas of UCITS 35,460 ------

A.4 Loans

- Banks 470,239 50,421 28,032 - 188,286 - - - - -

- Customers 530,646 55,011 - 1,289 4,182 38,445 24,981 138,916 159,286 - On-balance-sheet liabilities 1,093,564 256,035 - 7,877 8 - 15 75,630 282,204 - B.1 Deposits

- Banks 318,638 93,550 - - - - - 60,036 231,893 -

- Customers 774,762 ------

B.2 Debt securities ------

B.3 Other liabilities 164 162,485 - 7,877 8 - 15 15,594 50,311 - Off-balance sheet transactions 2,142,283 110,277 228,820 531,031 3,221,968 1,877,743 2,462,868 27,484,322 7,096,873 - C.1 Financial derivatives with exchange of capital - Long positions 177,049 62,754 93,866 269,722 1,416,959 948,012 1,159,873 1,099,683 3,012,581 -

- Short positions 73,370 42,524 134,954 252,329 1,805,009 914,763 1,066,503 1,286,821 3,244,288 - C.2 Financial derivatives without exchange of capital - Long positions 882,777 ------

- Short positions 971,528 ------C.3 Deposits and loans to be settled - Long positions ------

- Short positions ------C.4 Irrevocable commitments to lend funds - Long positions - 4,999 - 4,490 - 7,484 114,504 11,721,972 432,131 -

- Short positions 37,559 - - 4,490 - 7,484 121,988 13,375,846 407,873 - C.5 Financial guarantees given ------

354 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Valuta di denominazione: GBP

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 days 1 and 3 and 6 months 1 and years cified 7 days 15 days and 3 months 6 months and 5 years maturity 1 month 1 year On-balance-sheet assets 27,837 631 - 3,572 35,599 1,143 12,373 266,791 104,597 - A.1 Government bonds ------

A.2 Quoted debt securities 1,095 - - - 12,516 - 9,665 2,003 11,962 -

A.3 Quotas of UCITS 596 ------

A.4 Loans

- Banks 15,349 631 - - 15,917 - - - - -

- Customers 10,797 - - 3,572 7,166 1,143 2,708 264,788 92,635 - On-balance-sheet liabilities 45,287 18,589 - - 16 47 78,412 267,610 15,680 - B.1 Deposits

- Banks 3,113 18,589 - - - - 78,412 266,943 15,254 -

- Customers 42,174 ------

B.2 Debt securities ------

B.3 Other liabilities - - - - 16 47 - 667 426 - Off-balance sheet transactions 140,081 8,107 52 17,519 35,377 106,443 250,659 617,159 4,263,242 - C.1 Financial derivatives with exchange of capital - Long positions - 5,466 52 10,685 11,230 49,093 123,382 314,232 2,136,906 -

- Short positions - 2,641 - 6,834 24,147 57,350 127,277 302,927 2,126,336 - C.2 Financial derivatives without exchange of capital - Long positions 57,969 ------

- Short positions 82,112 ------C.3 Deposits and loans to be settled - Long positions ------

- Short positions ------C.4 Irrevocable commitments to lend funds - Long positions ------

- Short positions ------C.5 Financial guarantees given ------

355 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Currency: JPY

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 days 1 and 3 and 6 months 1 and years cified 7 days 15 days and 3 months 6 months and 5 years maturity 1 month 1 year On-balance-sheet assets 18,858 ------A.1 Government bonds ------

A.2 Quoted debt securities ------

A.3 Quotas of UCITS 108 ------

A.4 Loans

- Banks 12,608 ------

- Customers 6,142 ------On-balance-sheet liabilities 1,280 20,249 - - - - 9 - - - B.1 Deposits

- Banks 287 20,249 ------

- Customers 993 ------

B.2 Debt securities ------

B.3 Other liabilities ------9 - - - Off-balance sheet transactions 266,682 21,683 110,119 13,638 76,110 16,892 113,642 166,853 68,108 - C.1 Financial derivatives with exchange of capital - Long positions - 16,637 69,984 13,638 37,355 8,785 57,779 90,245 34,054 -

- Short positions - 5,046 40,135 - 38,755 8,107 55,863 76,608 34,054 - C.2 Financial derivatives without exchange of capital - Long positions 96,703 ------

- Short positions 169,979 ------C.3 Deposits and loans to be settled - Long positions ------

- Short positions ------C.4 Irrevocable commitments to lend funds - Long positions ------

- Short positions ------C.5 Financial guarantees given ------

356 Notes to the consolidated financial statements - Part E – Information on risks and hedging policies

Currency: Other currencies

On Between Between Between Between Between Between Between Over 5 Unspe- demand 1 and 7 and 15 days 1 and 3 and 6 months 1 and years cified 7 days 15 days and 3 months 6 months and 5 years maturity 1 month 1 year On-balance-sheet assets 63,820 7,370 711 7,894 10,313 10,949 21,301 18,033 26,145 - A.1 Government bonds ------1 -

A.2 Quoted debt securities 2,891 451 - 7,894 10,188 10,949 7,241 14,607 1,537 -

A.3 Quotas of UCITS 1,018 ------

A.4 Loans

- Banks 48,807 6,919 711 ------

- Customers 11,104 - - - 125 - 14,060 3,426 24,607 - On-balance-sheet liabilities 10,901 173,669 - - - - 13,788 364 11,791 - B.1 Deposits

- Banks 5,338 173,669 - - - - 13,736 - 11,766 -

- Customers 5,555 ------

B.2 Debt securities ------

B.3 Other liabilities 8 - - - - - 52 364 25 - Off-balance sheet transactions 130,081 6,291 - 8,740 1,034,452 96,710 628,298 225,437 7,772 - C.1 Financial derivatives with exchange of capital - Long positions 17 2,967 - 8,437 516,214 54,199 323,803 95,816 513 -

- Short positions - 3,324 - 303 518,238 42,511 304,495 129,621 7,259 - C.2 Financial derivatives without exchange of capital - Long positions 68,197 ------

- Short positions 61,867 ------C.3 Deposits and loans to be settled - Long positions ------

- Short positions ------C.4 Irrevocable commitments to lend funds - Long positions ------

- Short positions ------C.5 Financial guarantees given ------

1.4 Banking Group - OPERATIONAL RISKS

Qualitative information

General aspects, management processes and methods of measuring operational risk The reader is referred to the contents of the notes to the separate financial statements.

357 Part F – Information on consolidated capital

Section 1 - CONSOLIDATED SHAREHOLDERS’ EQUITY

A. Qualitative information

The objectives pursued in the management of the Group’s equity are inspired by prudential supervisory provisions and aim to maintain adequate levels of capitalisation for the assumption of the risks typical of investment banking, which may include temporary absorptions of regulatory capital due to placements on primary markets or concentration requirements for given issuers or groups.

The earnings allocation policy has aimed to reinforce the capitalisation of individual entities and ensure that their financial positions are properly balanced.

B. Quantitative information

B.1 Consolidated shareholders’ equity: breakdown by type of company

Group Insurance Other Adjustments Total Company from consolidation

Share Capital 962,464 962,464 Share premium reserve 581,260 581,260 Reserves 1,016,520 1,016,520 Equity Instruments - (Treasury shares) - Valuation reserves: - - Financial assets available for sale (37,571) (37,571) - Property and equipment - - Hedges of foreign investments - - Cash flow hedges - - Foreign exchange differences - - Non-current assets on disposal - - Actuarial gains and losses on defined-benefits - post-retirement plans

- Quotas of valuation reserves on investments - carried at shareholders’ equity - Legally-required revaluation 4 4 Net Income (Loss) 516,883 516,883 Total 3,039,560 - - - 3,039,560

358 Notes to the consolidated financial statements - Part F – Information on consolidated capital

B.2 Valuation reserves on available-for-sale financial assets: breakdown

Group Insurance Other Adjustments from Total Companies consolidation 31 December 2010

Positive Negative Positive Negative Positive Negative Positive Negative Positive Negative

1. Debt securities 1,612 (48,900) 1,612 (48,900)

2. Equity securities 8,424 - 8,424 -

3. UCITS quotas 1,293 ------1,293 -

4. Loans ------

Total 11,329 (48,900) ------11,329 (48,900)

Total 31 December 2009 38,302 (1,282) ------38,302 (1,282)

B.3 Valuation reserves on available-for-sale financial assets: annual changes

Debt securities Equity UCITS Loans securities quotas 1. Initial amount 29,684 7,336 - - 2. Positive changes 2.1 Fair value increase 222 104 1,293 - 2.2 Reversal of negative reserves to the income statement: - impairment - - - - - disposal 60 1,611 - - 2.3. Other changes - 23 - - 3. Negative changes 3.1 Fair value decrease (61,921) (650) - - 3.2 Impairment losses - - - - 3.3 Reversal of positive reserves to the income statement: - disposal (15,333) - - - 3.4. Other changes - - - - 4. Final amount (47,288) 8,424 1,293 -

Section 2 - REGULATORY CAPITAL AND CAPITAL RATIOS

Banca IMI is not the parent company of a banking group. Accordingly, the presentation of capital and risk figures inspired by supervisory regulations has been omitted.

359 Part H – Transactions with related parties

1. Information on the compensation of key management personnel

In accordance with IAS 24, the scope of “key management personnel” (hereinafter “officers”) includes the directors and statutory auditors, where existing, of the individual companies. It also extends to the general manager, the heads of business units and the executive in charge of the preparing Banca IMI’s accounting documents. These persons have functional competency over foreign subsidiaries.

The following table shows the main benefits paid by the Group to its officers in 2010.

Short-term benefits 3,187 Post-retirement benefits 169 Other long-term benefits Employee termination indemnity Stock option plans Total 3,356

2. Information on related-party transactions

On 15 May 2007, as part of the process of consolidating corporate governance mechanisms, Intesa Sanpaolo’s Board of Directors approved the rules and procedures for the management of related-party transactions. Said rules and procedures were published by the Parent Company in Service Order 18/2007 and were subsequently implemented by Banca IMI and its subsidiaries.

These rules and procedures establish specific guidelines, and, in further detail: – the verification by units of the Parent Company and its subsidiaries that recently undertaken dealings involve a “related party of the Parent Company” identified according to a list updated on a monthly basis; – a specific preliminary inquiry by the proposing entity to ensure that the contents required by the rules and procedures are present and acquire full documentation of the obligations discharged for its records; and – determination that the authority to approve transactions with related parties has been established, considering the characteristics of the individual transactions proposed, according to the thresholds of significance set out in the rules and procedures.

Financial dealings undertaken with those defined as “related” parties according to the indications provided by Consob in its Recommendation 97001574 of 20 February 1997 and Recommendation 98015375 of 27 February 1998 are essentially related to normal financial brokerage or investment service operations.

Such dealings, where present, are also assessed from the standpoint of potential conflicts of interest and are settled at normal arm’s-length conditions.

360 Notes to the consolidated financial statements - Part H – Transactions with related parties

Assets and liabilities with Group Companies (in millions of euro) Parent Intesa Sanpaolo subsidiaries Due from banks and customers 42,772.3 104.2 Due to banks and customers 12,465.2 1,938.9 Financial assets - debt securities 1,448.9 400.3 Financial liabilities - securities 10,443.4 37.9 Financial derivatives (notional amount) 149,954.0 79,084.0 Credit derivatives (notional amount) 3,859.0 102.0

Dealings with Intesa Sanpaolo refer primarily to financing transactions, as shown by the following table:

Relations with Intesa Sanpaolo as at 31 December 2010 (in millions of euro) Assets Amount Liabilities Amount Checking accounts 613.1 Checking accounts 350.8 Deposits 41,387.8 Deposits 11,100.4 Repurchase agreements 756.5 Repurchase agreements 1,003.1 Invoices and other receivables 14.9 Invoices and other payables 10.9 Fixed income securities 1,448.9 Subordinate liabilities 10,443.4 and securities issued Total assets 44,221.2 Total liabilities 22,908.6

It should also be noted that no losses were reported on on-balance sheet exposures and lending commitments to related parties during the current and previous years.

The income statement relations with the Intesa Sanpaolo Group are set out below.

Costs and incomes with “Intesa Sanpaolo” Group Companies (in millions of euro) Parent Intesa Sanpaolo subsidiaries Interest income 899.5 6.5 Fee and commission income 47.1 12.9 Interest expenses (139.2) (5.1) Commission expenses (73.1) (53.9) Administrative expenses and recovered amount (13.3) (99.3)

361 Part L – Segment reporting

The Banca IMI Group’s segment reporting is based on the elements that its management uses on a daily and periodic basis to monitor profit margins, allocate resources and make its operational decisions (known as the “management approach”). It is thus compliant with the disclosure requirements set forth in IFRS 8. The organisational model is divided into three business segments with specific operational responsibilities: Capital Markets, Investment Banking and Structured Finance.

Principal consolidated aggregates by Business Area (in millions of euro) Capital Investment Structured Total Markets Banking Finance Held for trading 55,172.0 55,172.0 Available for sale 2,867.1 55.5 2,922.6 Due from banks and customers 59,909.1 6,527.3 66,436.4 Goodwill 194.1 194.1 Bond Issues (40,762.5) (40,762.5) Due to banks and customers (27,037.6) (6,660.0) (33,697.6) Guarantees given and commitments to lend (*) 7,769.3 3,069.0 10,838.3 Net interest and other banking income 759.8 89.0 236.7 1,085.5 Operating costs (218.6) (39.0) (40.8) (298.4) Adjustments and provisions (8.0) (29.8) (37.8) Income tax (183.5) (17.2) (37.7) (238.4) Net income 352.3 34.5 130.1 516.9 Cost income 28.8% 43.8% 17.2% 27.5% Number of employees 476 93 169 738

(*) Excluding commitments underlying credit derivatives (protection selling )

Consolidated aggregates are allocated to business areas on the basis of management figures, for net interest and other banking income and operating costs, appropriately reconciled with accounting records, and according to the specific allocation and distribution of financial statement aggregates, for the remaining captions.

For the measurement of revenues and costs deriving from inter-segment transactions (both within and between individual legal entities), the application of a contribution model at multiple Internal Transfer Rates for the various maturities and arm’s-length conditions permits the correct attribution of net interest income to the individual areas.

For the Structured Finance segment, to which goodwill of approximately 194 million has been allocated, the impairment test yielded a positive outcome inasmuch as the value in use according to the dividend discount model exceeded the carrying amount. In particular, value in use has been determined on the basis of updated cash flow projections as documented in the Intesa Sanpaolo Group’s most recent business plan for 2010-2012, the strategies and underlying assumptions of which have been reflected in Banca IMI’s 2010 budget.

For the forecasting period, the Bank has used separate estimates formulated by the management of the Bank and Group, prepared on the basis of macroeconomic scenarios and the operating trends illustrated in the directors’ report on operations included in this annual report. The plan is inspired by principles of prudence considering the uncertainties that continue to characterise the current economic scenario and tends to project net income results in a conservative manner. In detail, the forecast result for 2010 was met and exceeded by the actual figure.

362 Notes to the consolidated financial statements - Part L – Segment reporting

The guidelines for these projections confirm the goal of sustainable profitability for the Structured Finance segment in the medium term, summarised as a gradual improvement in the cost-income ratio, the profitability of ordinary operations and net income, through: (i) the full extraction of value from the extensive growth potential and revenue synergy; (ii) investments in growth and innovation with adequate monitoring of costs; and (iii) monitoring of credit quality, while aiming for a recovery of disbursements.

The segment’s value in use has been determined by assuming a cost of capital (Ke) of 10.68%, a growth rate (g) of 1.79% and an implicit inflation rate of 1.79%. Since value in use is determined by using estimates and assumptions that may contain some level of uncertainty, sensitivity analyses were carried out to verify the sensitivity of the results obtained to changes in said parameters and in the underlying hypotheses, as required by applicable accounting standards. In particular, the Bank verified the impact of value in use of a hypothetical deterioration of (i) the projected cash flows for 2011-2012 and (ii) the parameters employed, including increases in discounting rates of up to 100 BPs and decreases in the growth rate used to calculate terminal value of up to 50 BPs. The sensitivity of value in use to changes in the growth rate (g) or discounting rate (Ke) of +/-10 BPs in percentage terms amounted to 1.05% and 1.2%, respectively.

363

Independent auditor’s report on the consolidated financial statements

365 366 367 368 Attachments

Consolidated auditors’ fees

List of international accounting standards (IASs/IFRSs)

Statement of significant equity interests in unlisted companies pursuant to art. 126 of Consob Regulation 11971 of 14 May 1999

369 Attachments Fees for auditing and services other than auditing pursuant to Article 149-duodecies of Consob Regulation 11971

The reform of the Consolidated Finance Act enacted through Law 262 of 28 December 2005, supplemented by Legislative Decree 3032 of 29 December 2006, resulted in the amendment of provisions governing the incompatibility of independent auditors and the introduction of new obligations concerning the disclosure of auditing fees pursuant to Article 160, paragraph 1-bis.

Article 149-duodecies of the Consob Issuer Regulations gave effect to the authority delegated under the above Article. In particular, the implementation measure established that companies that have engaged independent auditors must disclose auditing fees in their financial statements for years beginning after 30 June 2006.

The following table summarises the auditing fees paid by the Banca IMI Group for 2010. (in thousands of euro) Type of service Reconta Reconta Ernst & Young Ernst & Young Network Independent audit 620 85 Release of certificates 15 Tax consulting services - - Other: audit procedures - - social report audit - - other 320 - Total 955 85

370 Attachments List of the IAS/IFRS endorsed by the European Commission as at 31 December 2010

ACCOUNTING STANDARDS Regulation endorsement IFRS 1 First-time Adoption of International Financial Reporting 1126/2008 mod. 1260/2008 - 1274/2008 - 69/2009 - Standards 70/2009 - 254/2009 - 494/2009 - 495/2009 - 1136/2009 - 1164/2009 - 550/2010 - 574/2010(*) - 662/2010(*) IFRS 2 Share-based Payment 1126/2008 mod. 1261/2008 - 495/2009 - 243/2010 - 244/2010 IFRS 3 Business Combinations 1126/2008 mod. 495/2009 IFRS 4 Insurance Contracts 1126/2008 mod. 1274/2008 - 494/2009 - 1165/2009 IFRS 5 Non-current Asset Held for Sale and Discontinued Operations 1126/2008 mod. 1274/2008 - 70/2009 - 494/2009 - 1142/2009 - 243/2010 IFRS 6 Exploration for and Evaluation of Mineral Resources 1126/2008 IFRS 7 Financial Instruments: Disclosures 1126/2008 mod. 1274/2008 - 53/2009 - 70/2009 - 495/2009 - 824/2009 - 1165/2009 - 574/2010 IFRS 8 Operating Segments 1126/2008 mod. 1274/2008 - 243/2010 - 632/2010(**) IAS 1 Presentation of Financial Statements 1274/2008 mod. 53/2009 - 70/2009 - 494/2009 - 243/2010 IAS 2 Inventories 1126/2008 - 70/2009 IAS 7 Statement of Cash Flows 1126/2008 mod. 1260/2008 - 1274/2008 - 70/2009 - 494/2009 - 243/2010 IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors 1126/2008 mod. 1274/2008 - 70/2009 IAS 10 Events after the Reporting Period 1126/2008 mod. 1274/2008 - 70/2009 - 1142/2009 IAS 11 Construction Contracts 1126/2008 mod. 1260/2008 - 1274/2008 IAS 12 Income Taxes 1126/2008 mod. 1274/2008 - 495/2009 IAS 16 Property, Plant and Equipment 1126/2008 mod. 1260/2008 - 1274/2008 - 70/2009 - 495/2009 IAS 17 Leases 1126/2008 mod. 243/2010 IAS 18 Revenue 1126/2008 mod. 69/2009 IAS 19 Employee Benefits 1126/2008 mod. 1274/2008 - 70/2009 IAS 20 Accounting for Government Grants and Disclosure of Government Assistance 1126/2008 mod. 1274/2008 - 70/2009 IAS 21 The Effects of Changes in Foreign Exchange Rates 1126/2008 mod. 1274/2008 - 69/2009 - 494/2009 IAS 23 Borrowing costs 1260/2008 mod. 70/2009 IAS 24 Related Party Disclosures 1126/2008 mod. 1274/2008 - 632/2010(**) IAS 26 Accounting and Reporting by Retirement Benefit Plans 1260/2008 IAS 27 Consolidated and Separate Financial Statements 1126/2008 mod. 1274/2008 - 69/2009 - 70/2009 - 494/2009 IAS 28 Investments in Associates 1126/2008 mod. 1274/2008 - 70/2009 - 494/2009 - 495/2009 IAS 29 Financial Reporting in Hyperinflationary Economies 1126/2008 mod. 1274/2008 - 70/2009 IAS 31 Interests in Joint Ventures 1126/2008 mod. 70/2009 - 494/2009 IAS 32 Financial Instruments: Presentation 1126/2008 mod. 1274/2008 - 53/2009 - 70/2009 - 494/2009 - 495/2009 - 1293/2009(***) IAS 33 Earnings per Share 1126/2008 mod. 1274/2008 - 495/2009 - 494/2009 IAS 34 Interim Financial Reporting 1126/2008 mod. 1274/2008 - 70/2009 - 495/2009 IAS 36 Impairment of Assets 1126/2008 mod. 1274/2008 - 69/2009 - 70/2009 - 495/2009 - 243/2010 IAS 37 Provisions, Contingent Liabilities and Contingent Assets 1126/2008 mod. 1274/2008 - 495/2009 IAS 38 Intangible Assets 1126/2008 mod. 1260/2008 - 1274/2008 - 70/2009 - 495/2009 - 243/2010 IAS 39 Financial Instruments: Recognition and Measurement 1126/2008 mod. 1274/2008 - 53/2009 - 70/2009 (except for certain rules on hedge accounting) - 494/2009 - 495/2009 - 824/2009 - 839/2009 - 1171/2009 - 243/2010 IAS 40 Investment Property 1126/2008 mod. 1274/2008 - 70/2009 IAS 41 Agriculture 1126/2008 mod. 1274/2008 - 70/2009

371 Attachments

interpretations Regulation endorsement IFRIC 1 Changes in Existing Decommissioning, Restoration and Similar Liabilities 1126/2008 mod. 1260/2008 - 1274/2008 IFRIC 2 Members' Shares in Cooperative Entities and Similar Instruments 1126/2008 mod. 53/2009 IFRIC 4 Determining whether an Arrangement contains a Lease 1126/2008 mod. 254/2009 IFRIC 5 Rights to Interests arising from Decommissioning, Restoration and Environmental Rehabilitation Funds 1126/2008 IFRIC 6 Liabilities arising from Participating in a Specific Market - Waste Electrical and Electronic Equipment 1126/2008 IFRIC 7 Applying the Restatement Approach under IAS 29 - Financial Reporting in Hyperinflationary Economies 1126/2008 mod. 1274/2008 IFRIC 9 Reassessment of Embedded Dervatives 1126/2008 mod. 495/2009 - 1171/2009 - 243/2010 IFRIC 10 Interim Financial Reporting and Impairment 1126/2008 mod. 1274/2008 IFRIC 12 Service Concession Arrangements 254/2009 IFRIC 13 Customer Loyalty Programmes 1262/2008 IFRIC 14 The Limit on a Defined Benefit Asset, Minimum Funding Requirements and their Interaction 1263/2008 mod. 1274/2008 - 633/2010(**) IFRIC 15 Agreements for the Construction of Real Estate 636/2009 IFRIC 16 Hedges of a Net Investment in a Foreign Operation 460/2009 mod. 243/2010 IFRIC 17 Distributions of Non-cash Assets to Owners 1142/2009 IFRIC 18 Tranfers of Assets from Customers 1164/2009 IFRIC 19 Extinguishing Financial Liabilities with Equity Instruments 662/2010(*) SIC 7 Introduction of the Euro 1126/2008 mod. 1274/2008 - 494/2009 SIC 10 Government Assistance - No Specific Relation to Operating Activities 1126/2008 mod. 1274/2008 SIC 12 Consolidation - Special Purpose Entities 1126/2008 SIC 13 Jointly Controlled Entities - Non-Monetary Contributions by Venturers 1126/2008 mod. 1274/2008 SIC 15 Operating Leases - Incentives 1126/2008 mod. 1274/2008 SIC 21 Income Taxes - Recovery of Revalued non-Depreciable Assets 1126/2008 SIC 25 Income Taxes - Changes in the Tax Status of an Entity or its Shareholders 1126/2008 mod. 1274/2008 SIC 27 Evaluating the Substance of Transactions Involving the Legal Form of a Lease 1126/2008 SIC 29 Service Concession Arrangements: Disclosures 1126/2008 mod. 1274/2008 - 254/2009 SIC 31 Revenue - Barter Transactions Involving Advertising Services 1126/2008 SIC 32 Intangible Assets - Web Site Costs 1126/2008 mod. 1274/2008

(*) Companies apply this regulation at the latest as of the first financial year starting after 30 June 2010. (**) Companies apply this regulation at the latest as of the first financial year starting after 31 December 2010. (***) Companies apply this regulation at the latest as of the first financial year starting after 31 January 2011.

372 Attachments Disclosure of significant equity interests in unlisted companies pursuant to art. 126 of Consob Regulation 11971 of 14 May 1999

(List of equity interests in excess of 10% of capital in the form of shares/quotas with voting rights in unlisted companies, held directly or indirect in any capacity)

Company Percentage or quotas held Direct ownership Type of right Direct Indirect Epsilon Associati SGR S.p.A. 49% Banca IMI S.p.A. Holding EuroTLX SIM S.p.A. (formerly TLX S.p.A.) 50% Banca IMI S.p.A. Holding IMI Investments SA 100% Banca IMI S.p.A. Holding Nicotra Gebhardt SpA (formerly Naga 008 S.p.A.) 100% Banca IMI S.p.A. Pledge Sirti S.p.A. 100% Banca IMI S.p.A. Pledge IMI Finance Luxembourg S.A. 100% IMI Investments S.A. Holding IMI Capital Markets Usa Corp. 100% IMI Investments S.A. Holding Banca IMI Securities Corp. 100% IMI Capital Markets Usa Corp. Holding

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