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

B.5 OTC credit derivatives: gross positive and negative fair values by counterparty – contractsforming part of netting arrangementsContracts forming part of nettingarrangementsGovernmentsand centralbanksOther publicagenciesBanksFinancialcompaniesInsurancesNon-financialcompaniesOthercounterpartiesRegulatory trading book1. Hedge buys- notional value — — 73,759,526 1,273,797 — — —- positive fair value — — 607,589 12,355 — — —- negative fair value — — (1,040,611) (15,131) — — —2. Hedge sales- notional value — — 73,608,384 1,257,989 — — —- positive fair value — — 1,001,907 9,415 — — —- negative fair value — — (609,933) (12,676) — — —Banking book *1. Hedge buys- notional value — — — — — — —- positive fair value — — — — — — —- negative fair value — — — — — — —2. Hedge sales- notional value — — — — — — —- positive fair value — — — — — — —- negative fair value — — — — — — —* Derivatives embedded in bonds issued not included.B.6 Credit derivatives: outstanding life – notional valuesUnderlying/residual maturity Up to 1 year From 1 year to 5 years Over 5 years TotalA. Regulatory trading book 14,678,839 114,272,546 20,989,778 149,941,163A.1 Credit derivatives with “qualified” referenceobligation 690,366 1,991,331 284,327 2,966,024A.2 Credit derivatives with “unqualified” referenceobligation 13,988,473 112,281,215 20,705,451 146,975,139B. Banking book 272,900 1,768,718 589,200 2,630,818B.1 Credit derivatives with “qualified” referenceobligation 230,900 1,548,164 53,000 1,832,064B.2 Credit derivatives with “unqualified” referenceobligation 42,000 220,554 536,200 798,754Total at 30/6/11 14,951,739 116,041,264 21,578,978 152,571,981Total at 30/6/10 1,310,186 21,779,404 1,023,656 24,113,246210 –