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

Section 6Heading 60: Hedging derivatives6.1 Hedging derivatives: by type of product/underlying asset30/6/1130/6/10Items/amountsFair valueNominal valueFair valueNominal valueLevel 1 Level 2 Level 3 Level 1 Level 2 Level 3A. Financial derivatives — 647,704 — 16,701,674 — 556,480 — 15,254,9231) Fair value — 614,981 — 15,371,174 — 450,418 — 11,941,9232) Cash flow — 32,723 — 1,330,500 — 106,062 — 3,313,0003) Non-Italian investments — — — — — — — —B. Financial derivatives — — — — — 3 — 12,5001) Fair value — — — — — 3 — 12,5002) Cash flow — — — — — — — —Total — 647,704 — 16,701,674 — 556,483 — 15,267,4236.2 Hedging derivatives: by portfolio hedged/hedge typeFair value hedgesCash flow hedgesOperations/type of hedgingInterest rateriskExchangerate riskSpecificCredit risk Price riskMore thanone riskGeneral Specific GeneralNon-Italianinvestments1. AFS securities 4,206 — — 123 — X — X X2. Loans and advances — — — X — X — X X3. Financial assetsheld to maturity X — — X — X — X X4. Portfolio — — — — — — — — X5. Other operations X X X X X X X X —Total assets 4,206 — — 123 — — — — —1. Financial liabilities 605,356 5,296 — X — X 32,723 X X2. Portfolio — — — — — — — — XTotal liabilities 605,356 5,296 — — — — 32,723 — X1. Expected transactions X X X X X X — X X2. Portfolio of financialassets and liabilities X X X X X — X — —122 –