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

B.5 OTC credit derivatives: gross positive and negative fair values by counterparty – contractsforming part of netting arrangementsContracts forming part of nettingarrangementsGovernments andcentral banksOther publicagenciesBanksFinancialcompaniesInsurancesNon-financialcompaniesOthercounterpartiesRegulatory trading book1. Hedge buys- notional value — — 73,759,526 1,273,797 — — —- positive fair value — — 607,589 12,355 — — —- negative fair value — — (1,040,611) (15,131) — — —2. Hedge sales- notional value — — 73,608,384 1,257,989 — — —- positive fair value — — 1,001,907 9,415 — — —- negative fair value — — (609,933) (12,676) — — —Banking book *1. Hedge buys- notional value — — — — — — —- positive fair value — — — — — — —- negative fair value — — — — — — —2. Hedge sales- notional value — — — — — — —- positive fair value — — — — — — —- negative fair value — — — — — — —* Does not include implied derivatives of bonds issued.B.6 Credit derivatives: outstanding life – notional valuesUnderlying/residual maturityUp to 1 yearFrom 1 year to 5yearsOver 5 yearsTotalA. Regulatory trading book 14,741,058 115,269,394 20,989,778 151,000,230A.1 Credit derivatives with “qualified” referenceobligation 752,585 2,973,179 284,327 4,010,091A.2 Credit derivatives with “unqualified” referenceobligation 13,988,473 112,296,215 20,705,451 146,990,139B. Banking book 175,600 473,950 589,200 1,238,750B.1 Credit derivatives with “qualified” referenceobligation 175,600 306,450 53,000 535,050B.2 Credit derivatives with “unqualified” referenceobligation — 167,500 536,200 703,700Total at 30/6/11 14,916,658 115,743,344 21,578,978 152,238,980Total at 30/6/10 1,363,862 21,489,955 1,023,655 23,877,472– 411