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

A.3.2A.3.2.1Fair value rankingAsset portfolios by fair value ranking30/6/1130/6/10Level 1 Level 2 Level 3 Level 1 Level 2 Level 31. Financial assets heldfor trading 7,907,377 3,465,553 1,352,878 ¹ 10,133,408 4,374,014 1,197,599 ¹2. Financial assets recognizedat fair value — — — — — —3. AFS securities 5,149,361 462,333 1,072,980 ² 3,539,713 648,813 1,048,655 ²4. Hedge derivatives — 1,386,423 — — 1,879,212 —Total 13,056,738 5,314,309 2,425,858 13,673,121 6,902,039 2,246,2541. Financial liabilities heldfor trading (3,177,725) (3,633,535) (1,276,879) ¹ (1,318,754) (4,309,498) (1,068,326) ¹2. Financial liabilitiesrecognized at fair value — — — — — —3. Hedge derivatives — (725,390) — — (601,749) —Total (3,177,725) (4,358,925) (1,276,879) (1,318,754) (4,911,247) (1,068,326)¹ Includes market value of options covering those attached to bond issues by Mediobanca (€395m at 30/6/11 and €333m at30/6/10) as well as options traded (€670m and €319m respectively), the values of which are recorded as both assets andliabilities for the same amount.² Includes investments in unlisted companies valued on the basis of internal models.Level 2 financial assets held for trading include bonds covered by creditderivatives and specific funding of the same duration. The difference between themark-to-market on the various instruments (negative basis) is taken through theprofit and loss account pro rata for the duration of the transaction.304 –