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

Section 3Heading 30: Debt securities in issue3.1 Debt securities in issue: compositionType of transaction/amountsBook valueFair valueLevel 130/6/11 30/6/10Fair valueLevel 2Fair valueLevel 3Book valueFair valueLevel 1Fair valueLevel 2Fair valueLevel 3A. Listed securities1. bonds 37,478,000 4,354,935 33,746,592 — 37,461,152 5,994,030 31,685,337 —1.1 structured 13,563,590 1,096,874 12,506,693 — 10,936,835 259,042 10,645,655 —1.2 others 23,914,410 3,258,061 21,239,899 — 26,524,317 5,734,988 21,039,682 —2. other securities 36,330 — — 36,330 57,012 — — 57,0122.1 structured — — — — — — — —2.2 others 36,330 — — 36,330 57,012 — — 57,012Total 37,514,330 4,354,935 33,746,592 36,330 37,518,164 5,994,030 31,685,337 57,012Subordinated liabilities included under the heading Debt securities in issuetotal €1,861,235,000.3.3 Debt securities: items subject to specific hedging30/6/11 30/6/101. Securities subject to specific fair value hedges 28,698,205 27,385,044a) interest rate risk 28,698,205 27,385,044b) exchange rate risk — —c) other — —2. Securities subject to specific cash flow hedges 637,513 675,735a) interest rate risk 637,513 675,735b) exchange rate risk — —c) other — —332 –