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

A.3 OTC financial derivatives: positive fair value – counterparty riskPositive fair valueType of transactionsOver the counter30/6/11 30/6/10CentralcounterpartiesOver the counterCentralcounterpartiesA. Regulatory trading book 3,341,307 557,639 3,777,654 294,494a) Options 1,312,267 544,815 919,433 288,325b) Interest rate swaps 1,768,448 — 2,453,180 —c) Cross currency swaps 76,720 — 30,053 —d) Equity swaps 91,032 — 315,821 —e) Forwards 92,839 — 59,117 1,122f) Futures — 12,824 — 5,047g) Others 1 — 50 —B. Banking book: hedge derivatives 1,481,246 — 1,961,652 —a) Options — — — —b) Interest rate swaps 1,418,580 — 1,960,333 —c) Cross currency swaps — — 1,319 —d) Equity swaps — — — —e) Forwards — — — —f) Futures — — — —g) Others 62,666 — — —C. Banking book: other derivatives 117,586 — 286,284 —a) Options 113,565 — 286,284 —b) Interest rate swaps 4,021 — — —c) Cross currency swaps — — — —d) Equity swaps — — — —e) Forwards — — — —f) Futures — — — —g) Others — — — —Total 4,940,139 557,639 6,025,590 294,494200 –