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

Section 8Heading 80: Hedging derivatives8.1 Hedging derivatives by type of contract and underlying asset30/6/1130/6/10Fair valueNotional valueFair valueNotional valueLevel 1 Level 2 Level 3 Level 1 Level 2 Level 3A. Financial derivates — 1,386,423 — 18,608,442 — 1,879,212 — 20,549,8621) Fair value — 1,386,423 — 18,608,442 — 1,879,212 — 20,549,8622) Cash flow — — — — — — — —3) Non-Italian investments — — — — — — — —B. Credit derivatives — — — — — — — —1) Fair value — — — — — — — —2) Cash flow — — — — — — — —Total — 1,386,423 — 18,608,442 — 1,879,212 — 20,549,8628.2 Hedging derivatives: by portfolio hedged and hedge typeOperations/type of hedgingInterest rateriskExchangerate riskFair value hedgesSpecificCredit riskPrice riskMore thanone riskCash flow hedgesGeneral Specific GeneralNon-Italianinvestments1. AFS securities 1,836 — — — — X — X X2. Loans and advances 3,627 — — X — X — X X3. Financial assets held tomaturity X — — X — X — X X4. Portfolio X X X X X — X — X5. Non-Italian investments — — — — — X — X —Total assets 5,463 — — — — X — — —1. Financial liabilities 1,379,439 1,521 — — — X — X X2. Portfolio X X X X X — X — XTotal liabilities 1,379,439 1,521 — — — — — — X1. Estimated transactions X X X X X X — — X2. Portfolio of financial assetsand liabilities X X X X X — X — —– 317