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Introduction sectionDerivatives Portfolio

Derivatives Portfolio

On this page, some quantitative information about the MEF's outstanding derivatives portfolio is made available and quarterly updated.
The tables feature both notional amount and market values of all the tiers in which the portfolio can be classified. These are as follows:

  • 1. With respect to debt-related derivatives:
    • a. cross currency swaps, linked to foreign-currency-denominated securities;
    • b. "Hedging interest rate swaps", linked to euro-denominated securities, issued under the MTN program;
    • c. "IRSs of duration", including all transactions arising from the hedging strategy against rising interest rates and which, in some cases, associate IRSs with the sale of receiver swaptions;
    • d. "IRS ex-ISPA", which includes all derivatives associated with the liabilities of the Infrastrutture S.p.A. Company which were transferred to the Treasury by the 2007 Financial Law;
    • e. "Swaptions", in which stand-alone (i.e. not related to pre-existing IRSs) receiver swaptions are represented.
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  • 2. With regard to asset-related derivatives, these are transactions entered into under the 2005 Financial Law provisions and linked to loans granted to public entities, which were transferred to the Treasury from the Cassa Depositi e Prestiti following its transformation into a stock Company.

 

Finally, the total portfolio notional amount and market values are reported.

 

More detailed information about the MEF's derivatives portfolio and its evolution over time is featured in the annual Public Debt Report.


Introduction sectionDerivatives Portfolio