Page 141 - ENAV eng_Relazione_Finanziaria_Annuale_2014

Notes to the Consolidated Financial Statements of the Enav Group 139

The following table sets out fair values at 31 December 2014 adjusted for
the Credit Value Adjustment:

Counterparty Type of Notional (USD) Forward amount Bank MtM Credit Value Bank MtM
transaction (euros) Adjustment with CVA
BNL 1,496
BNL Buy USD Flex 16,837 12,398 400 (CVA) 1,480
Total Buy USD Flex 6,122 4,492 1,896 384
16,890 (16)
22,959 1,864
(16)
(32)

It was not possible to identify an active market for these instruments. Fair
value was therefore determined using a method consistent with Level 2 of
the fair value hierarchy defined in IFRS 7 and IFRS 13, meaning that although
quoted prices in active markets were not available for the instruments
(Level 1) it was possible to obtain inputs other than quoted prices that are
observable either directly or indirectly on the market on which valuations
could be based.

The derivatives in question have the essential features that enable them to
qualify as hedging instruments. The following information is provided for
these instruments as required by IFRSs:

Maturity Analysis

Maturity date Foreign exchange derivatives
(in euro/000)
Within 1 month
Between 1 and 3 months 1,482
Between 3 and 6 months 386
Between 6 and 12 months
Between 1 and 2 years 1,868
Between 2 and 3 years
Between 3 and 5 years
Between 5 and 10 years
Over 10 years
Total