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

2.3 EXCHANGE RATE RISKRisks deriving from movements in exchange rates for all the Bank’s positions aremanaged by the Financial Markets division. The VaR measurements shown on page382 show an increase in the risk deriving from foreign exchange markets: this is dueboth to the increased volatility affecting the main exchange rates, and to the presence ofmore substantial directional positions taken with a view to diversifying the portfolio. Theaverage VaR reading thus rose from €2m to €3.4m including all portfolios, with a highof above €7m, and from €1.6m to €2.5m for the trading book aloneQUANTITATIVE INFORMATION1. Assets, liabilities and derivatives by currencyLine itemsCurrencyUS dollars Pounds sterling Japanese yen Swiss francs OtherA. Financial assets 1,777,012 866,207 101,222 117,237 55,305A.1 Debt securities 806,157 231,933 96,166 7,805 255A.2 Equities 224,928 92,002 — 35,699 9,323A.3 Loans and advances tobanks 320,521 490,048 5,056 73,148 40,636A.4 Loans and advances tocustomers 425,406 52,224 — 585 5,091A.5 Other financial assets — — — — —B. Other assets — — — — —C. Financial liabilities (330,634) (598,365) — (63,500) (19,960)C.1 Due to banks (19,287) (5,622) — (62,904) (1,695)C.2 Due to customers (10,578) (346,266) — (36) —C.3 Debt securities (300,769) (246,477) — (560) (18,265)C.4 Other financial liabiilities— — — — —D. Other liabilities — — — — —E. Financial derivative products (1,191,108) (207,818) (87,742) (57,990) (17,385)- Options — — — — —+ Long positions — — — — —+ Short positions — — — — —- Other derivatives (1,191,108) (207,818) (87,742) (57,990) (17,385)+ Long positions 862,383 430,137 — 167,559 399,816+ Short positions (2,053,491) (637,955) (87,742) (225,549) (417,201)Total assets 2,639,395 1,296,344 101,222 284,796 455,121Total liabilities (2,384,125) (1,236,320) (87,742) (289,049) (437,161)Difference (+/-) 255,270 60,024 13,480 (4,253) 17,960– 397