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

A.1.2. b Exposures to sovereign debt securities by portfolioAsset portfolio/qualityNominalvalueTrading book ¹Book valueDurationNominalvalueBanking bookBook value Fair value DurationItaly 381,031 349,679 (1.27) 2,360,671 2,353,836 2,352,933 5.59Greece 50,139 25,432 9.90 350,000 234,777 234,777 3.58Ireland — — — 52,500 32,912 32,912 11.38Germany 734,877 759,481 2.91 453,720 482,769 482,769 4.65Hungary 16,344 15,820 1.04 — — — —Brazil 52,038 57,857 0.87 — — — —Others 3,466 (4,451) — — — — —Total at 30/6/11 1,237,895 1,203,818 3,216,891 3,104,294 3,103,391¹ This item does not include €1.5bn in purchases of the Bund/Schatz future (Germany) and €0.6bn in sales of the T-note future (U.S.), both of which with apositive fair value of €0.6m and €3m respectively; and net hedge buys of €192.6m with a positive fair value of €1.8 m have not been included.A.1.3 Cash and off-balance-sheet exposures: gross/net valuesType of exposure/amountsGross exposureSpecific valueadjustmentsPortfolio valueadjustmentsNet exposureA. CASH EXPOSURESa) Non-performing 127 — X 127b) Potential problem — — X —c) Restructured — — X —d) Overdue — — X —ef) Other assets 12,047,153 X (3,587) 12,043,566Total A 12,047,280 — (3,587) 12,043,693B. OFF-BALANCE-SHEET EXPOSURESa) Impaired 91,817 — X 91,817b) Other assets 1 107,381,180 X — 107,381,180Total B 107,472,997 — — 107,472,997Total (A + B) 119,520,277 — (3,587) 119,516,6901The balance as at 30/6/11 includes €63,884,898 in deals matched 100% by hedge buys.364 –