Análisis de las rutas marítimas en la Macro Región Sur

The following section on financial risks of investment services was written as part of "Section 4 - Operational Risk” in line with the compulsory framework for preparation of the Notes to the Financial Statements, even though this subject presents specific characteristics and involves organisational levels of authority that are not directly traceable to operational risk management.

Wealth risk management process and methods

The term "investment services" refers to operations with customers in the area of: placement services; order execution, receipt and transmission; proprietary trading; portfolio management; investment advice.

The risks associated with investment services are directly or indirectly reflective of the risks incurred by customers. Therefore, control of these risks is particularly aimed at achieving the twofold objective of protecting customers and preventing any potential repercussions on the Group in terms of operational and reputational risk.

The organisational responsibility for overseeing Group-wide measurement, monitoring and control activities relative to the financial risks inherent in investment products is an integral part of the scope of responsibility of Group integrated Risk Management. This is to ensure efficient, centralised governance of the direct and indirect risks which the Group incurs during the course of its operations. Within the Risk Management Area of Banca MPS' Risk Division, this task is allocated groupwide to the Wealth Risk Management service.

"Wealth risk management" focuses on the overall set of operational and management processes as well as measurement and monitoring tools/methods used to ensure overall consistency between customers' risk profiles and the risk of investment products offered to -or in any case held by- customers.

The strategic choice of Banca MPS is to combine the placement of financial products with advisory so as to ensure the highest level of protection for the investor and, at the same time, enhance the role played by relationship managers.

All investment products (both Group and third-party), included in the catalogue of products offered to Group customers are subject, within a codified product management/development and distribution process, to a specific multivariate quali-quantitative risk assessment, including market, credit and liquidity/complexity risk factors. A consistent quantitative assessment is also made for financial instruments purchased directly by customers and managed in portfolios under custody.

Risk assessments are pegged to specific risk classes identified with explanatory keys, which are available to customers in information brochures regarding securities placed and which therefore represent one of the guiding criteria on the basis of which the verifications of appropriateness and suitability are made. The regulatory framework for investment services and verifications of appropriateness is provided for by European MiFID regulations and Consob Regulation no. 16190/2007, in addition to Consob Communication no. 9019104/2009 ("Level 3 - Illiquid financial products") and subsequent inter-association guidelines on illiquid financial products issued in 2009. Finally, the regulatory framework includes the ESMA guidelines on suitability requirements issued in June 2012 and subsequent Consob communication no. 12084516/2012.

The activities described cover the entire distribution scope of the branch network of Banca MPS and the Financial Advisory network (in addition to MPS Capital Services for the role it plays in the supply-chain process).

A special focus is given by the Bank to the monitoring and prevention of potential reputational risks arising, particularly in a context of financial crisis, from investment services as a result of increased market volatility, which in turn leads to potential fast-changing product risks, potential financial losses incurred and changing customer approaches to financial investments.

For increased protection of customer investments, the Wealth Risk Management function monitors the list of highest- risk issuers/entities (a.k.a. Money Laundering List or MLR) with the objective of identifying companies undergoing a

EXPLANATORY NOTES- Part E – Risks and hedging policies

temporary critical phase, associated primarily with specific macroeconomic, corporate and/or sector-related situations or a lack of sufficient market information. Inclusion in the MLR list makes the financial instruments issued by these issuers/entities inappropriate and impossible to be offered on an advisory basis.

Advisory services on offer, customer risk profile and risk of investment products/portfolios

Banca MPS offers two types of advisory services. Basic 'transactional advisory' is aimed at verifying the suitability of individual investment transactions. Advanced advisory is instead aimed at verifying the suitability of the overall set of transactions, advising on them based on their impact on a suggested investment portfolio of the customer so as to obtain optimum asset allocation and maximised prospective returns over a certain time horizon, given the customer's risk profile.

The results of questionnaires filled out by Group customers confirm a very conservative approach to financial investments. Group customers in the "Consumers" macro-segment, namely retail customers representing almost the entire customer base of the Group, have long shown a substantially risk-averting investment propensity. At the end of September 2013, almost 45% of these MIFID-profiled customers were in fact concentrated in largely conservative (minimum and limited investment) profiles, primarily over medium and long time horizons.

During the quarter, conditions on the international and Euro-area financial markets remained on average largely stable, even if elements of uncertainty and potential volatility endure. Credit risk, although stabilising in terms of incidence during the year, was confirmed to be the most significant component in determining risk as a whole, particularly in the area of bonds, both sovereign and corporate. This situation had obvious repercussions on the risk of products held by customers, with risk level fluctuations registered in investment products that are particularly sensitive to volatility in the main risk factors.

As a consequence of a still-high level of volatility and issuer risk in the financial markets, products included in the Group's catalogue and held by "Consumer/Retail" customers showed, at the end of September 2013, a risk profile

distribution concentrated on

average on intermediate risk classes with respect to the end of 2012.

Retail Clients - Risk Profile

Montepaschi Group - 30/09/2013 High; 5.9% Medium High; 12.9% Medium; 36.7% Medium Low; 32,2% Low; 12.4%

Retail Clients - Preferred Investment Time Horizons

Montepaschi Group - 30/09/2013

Long Term; 34.2% Medium Long Term; 46% Short Medium Term; 18.7% Short Term; 1.2%

Financial Instruments Offered to and Held by Retail Clients Montepaschi Group - 30/09/2013 High; 4.4% Medium High; 12.2% Medium; 32% Medium Low; 27.5% Low; 24%

As at the end of September 2013,

the portfolios held by

Consumer/Retail customers on the basis of formalised advanced advisory proposals were mainly distributed into the recommended

medium-to-long term Asset

Allocation (AA) macro-classes, with a minimum percentage of assets allocated over specific time horizons.

Customers have regularly been informed of changes in the risk of financial instruments held, so as to

ensure timely informational

transparency and facilitate possible decisions aimed at rebalancing the risk profile of their investments.

Retail Clients - Portfolio Management Advisory Preferred Asset Allocations Montepaschi Group - 30/09/2013

Long Term; 43.2% Medium Term; 40.5% Short Term; 12.3% Specific; 4%

Notes to the consolidated financial statements - Part G – Business combinations