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

A.3.2Fair value rankingA.3.2.1 Asset portfolios by fair value ranking30/6/1130/6/10Level 1 Level 2 Level 3 Level 1 Level 2 Level 31. Financial assets¹held for trading 8,029,394 4,333,956 1,353,378 10,389,237 4,778,290 1,207,8522. Financial assetsrecognized at fair value — — — — — —3. AFS securities 5,932,005 717,718 1,100,15924,653,884 1,110,594 1,061,2854. Hedge derivatives — 1,368,115 — — 1,844,351 —¹2Total 13,961,399 6,419,789 2,453,537 15,043,121 7,733,235 2,269,1371. Financial liabilities¹held for trading (3,177,726) (3,061,992) (1,276,878) (1,318,754) (3,711,064) (1,078,579)2. Financial liabilitiesrecognized at fair value — — — — — —¹3. Hedge derivatives — (647,704) — — (556,483) —Total (3,177,726) (3,709,696) (1,276,878) (1,318,754) (4,267,547) (1,078,579)¹ Includes market value of options covering those attached to bond issues by Mediobanca and Mediobanca International (€395m at 30/6/11 and €328mat 30/6/10) as well as options traded (€670m and €319m respectively), the values of which are recorded as both assets and liabilities for the sameamount.² Includes investments in unlisted companies valued on the basis of internal models.Level 2 financial assets held for trading include bonds covered by credit derivatives andspecific funding of the same duration. The difference between the mark-to-market on the variousinstruments (negative basis) is taken through the profit and loss account pro rata for the duration ofthe transaction.88 –