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

Section 6Heading 60: Hedging derivatives6.1 Hedging derivatives: by type of product/underlying asset30/6/1130/6/10Items/amountsFair valueNominal valueFair valueNominal valueLevel 1 Level 2 Level 3 Level 1 Level 2 Level 3A. Financial derivatives — 725,390 — 16,537,602 — 601,746 — 12,475,0411) Fair value — 711,041 — 16,307,602 — 577,256 — 12,245,0412) Cash flow — 14,349 — 230,000 — 24,490 — 230,0003) Non-Italian investments — — — — — — — —B. Financial derivatives — — — — — 3 — 12,5001) Fair value — — — — — 3 — 12,5002) Cash flow — — — — — — — —Total — 725,390 — 16,537,602 — 601,749 — 12,487,5416.2 Hedging derivatives: by portfolio hedged/hedge typeFair value hedgesCash flow hedgesOperations/type of hedgingInterest rateriskExchangerate riskSpecificCreditriskPrice riskMore thanone riskGeneral Specific GeneralNon-Italianinvestments1. AFS securities 4,206 — — 123 — X — X X2. Loans and advances — — — X — X — X X3. Financial assetsheld to maturityX — — X — X — X X4. Portfolio — — — — — — — — X5. Other operations X X X X X X X X —Total assets 4,206 — — 123 — — — — —1. Financial liabilities 701,416 5,296 — X — X 14,349 X X2. Portfolio — — — — — — — — XTotal liabilities 701,416 5,296 — — — — 14,349 — X1. Expected transactions X X X X X X — X X2. Portfolio of financialassets and liabilities X X X X X — X — —334 –