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ENAV Group Consolidated Financial Statements

In fact, according to IFRS 13, the fair value of a derivative must include the risk of
one, or both counterparties, not meeting their obligations (Credit Risk Adjustment).
Specifically, from a financial perspective, the Credit Value Adjustment (CVA) is the
expected loss due the counterparty’s bankruptcy, should the fair value be positive.
On the other hand if the fair value is negative the Debt Value Adjustment (DVA) is
the expected loss due to the default of the Company.
The contractual features and the relative fair values at 31 December 2015, as
communicated by the bank, are as follows:

End market

Forward value

Type of Contract Start End Notional exchange (thousands of Bank
Counterparty transaction date date
date (USD) rate euro) MtM
20.12.2013 14.02.2014
BNL Buy USD 27.12.2017 6,122 1,3630 4,492 975
Flex

Total 6,122 4,492 975

The fair value data for the end 2015 is shown below, duly adjusted to take the Credit
Value Adjustment into consideration:

Type of Forward amount Bank Credit Value Bank MtM with
Counterparty transaction (euros) MtM
Notional (USD) Adjustment (CVA) CVA
BNL Buy USD Flex 6,122 4,492 975
6,122 (7) 968
Total 4,492 975
(7) 968

It was not possible to identify an active market for this instrument. The fair value was
therefore calculated using a method in line with level 2 of the fair value hierarchy
stipulated under IFRS 7 and IFRS 13. While quotations on an active market were
not available for the instruments (level 1), it was possible to find data that could
be directly and indirectly observed on the market, which served for the relevant
valuations.

ENAV - Annual financial report 2015 143