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

A.1.2.a Exposures to sovereign debt securities by state, counterparty and portfolio*Asset portfolio/qualityGrossexposureImpaired assets ¹SpecificadjustmentsCollectiveadjustmentsNetexposureGrossexposurePerforming assetsCollectiveadjustmentsNet exposureTotal (netexposure) ²1. Financial assets held for trading — — — — — — 1,422,892 1,422,892Italy — — — — — — 352,491 352,491Greece — — — — — — 25,432 25,432Germany — — — — — — 951,983 951,983Hungary — — — — — — 15,820 15,820Brazil — — — — — — 57,857 57,857Others — — — — — — 19,309 19,3092. AFS securities 343,680 (108,903) — 234,777 3,425,998 — 3,425,998 3,660,775Italy — — — — 2,894,876 — 2,894,876 2,894,876Greece 343,680 (108,903) — 234,777 — — — 234,777Germany — — — — 497,801 — 497,801 497,801Ireland — — — — 32,912 — 32,912 32,912Others — — — — 409 — 409 4093. Financial assets held to maturity — — — — 246,847 — 246,847 246,847Italy — — — — 246,153 — 246,153 246,153Others — — — — 694 — 694 694Total at 30/6/11 343,680 (108,903) — 234,777 3,672,845 — 5,095,737 5,330,514* Does not include financial and credit derivatives.¹ The impaired assets only include securities subject to restructuring, namely the bonds issued by Greece held in the AFS portfolio falling due inDecember 2020.2The net exposure includes positions in securities (long and short) recognized at fair value (including the outstanding accrual) except for assets held tomaturity which are stated at amortized cost, the implied fair value of which is €14.2m; financial and credit derivatives are not included.A.1.2.b Exposures to sovereign debt securities by portfolioAsset portfolio/qualityTrading book ¹Banking bookNominal value Book value Duration Nominal value Book value Fair value DurationItaly 383,831 352,491 (1.26) 3,175,814 3,141,029 3,140,125 5.34Greece 50,139 25,432 9.90 350,000 234,777 234,777 3.58Ireland — — — 52,500 32,912 32,912 11.38Germany 919,489 951,983 2.34 468,720 497,801 497,801 4.53Hungary 16,344 15,820 1.04 — — — —Brazil 52,038 57,857 0.87 — — — —Others 30,406 19,309 — 13,798 1,103 16,176 —Total at 30/6/11 1,452,247 1,422,892 4,060,832 3,907,622 3,921,7911This item does not include €1.5bn in purchases of the Bund/Schatz future (Germany) and €0.6bn in sales of the T-note future (U.S.), both of which witha positive fair value of €0.6m and €3m respectively; and net hedge buys of €192.6m with a positive fair value of €1.8 m have not been included either.156 –