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

Section 4Heading 40: Trading liabilities4.1 Trading liabilities: composition30/6/1130/6/10Type of transaction/amountsFair valueFair valueNominal valueFair Value * Nominal valueFair Value *Level 1 Level 2 Level 3 Level 1 Level 2 Level 3A. Cash liabilities1. Due to banks 88,962 85,058 — — 85,058 136,050 130,831 — — 130,8312. Due to customers 1,025,850 1,025,593 1,296 — 1,026,889 610,007 602,065 460 — 602,5253. Debt securities — — — — — — — — — —3.1 Bonds — — — — — — — — — —3.1.1 Structured — — — — X — — — — X3.1.2 Other — — — — X — — — — X3.2 Other securities — — — — X — — — — X3.2.1 Structured — — — — X — — — — X3.2.2 Other — — — — X — — — — XTotal A 1,114,812 1,110,651 1,296 — 1,111,947 746,057 732,896 460 — 733,356B. Derivative products1. Financial derivatives X 527,127 2,878,594 1,276,579 X X 263,973 3,907,649 1,067,173 X1.1 Trading X 527,127 2,814,859 880,818 ¹ X X 263,973 3,783,818 578,019 ¹ X1.2 Linked to fairvalue optionsX — — — X X — — — X1.3 Other X — 63,735 395,761 ² X X — 123,831 489,154 ² X2. Credit derivatives X 1,539,947 753,645 300 X X 321,885 401,389 1,153 X2.1 Trading X 1,539,947 753,645 300 X X 321,885 401,389 1,153 X2.2 Linked to fairvalue optionsX — — — X X — — — X2.3 Other X — — — X X — — — XTotal B X 2,067,074 3,632,239 1,276,879 X X 585,858 4,309,038 1,068,326 XTotal (A+B) X 3,177,725 3,633,535 1,276,879 X X 1,318,754 4,309,498 1,068,326 X* Fair value calculated excluding variations in value due to changes in the issuer’s credit standing.¹ Respectively €670,439,000 and €319,636,000 in respect of options traded, matching the amount recorded as a trading liability.² Market value of options covering options matched with bonds issued by Mediobanca and Mediobanca International, against the same amount recorded as a trading liability.– 333