Chrysler 2009 Annual Report Download - page 186

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Other financial assets and Other financial liabilities21.
These items include the measurement at fair value of derivative financial instruments at the balance sheet date. In particular:
At 31 December 2009 At 31 December 2008
Positive Negative Positive Negative
(€ million) fair value fair value fair value fair value
Fair value hedge
Interest rate risk - Interest rate swaps 244 (51) 198 (34)
Interest rate and currency risk - Combined interest rate and currency swaps 59 - 22 -
Total Fair value hedges 303 (51) 220 (34)
Cash flow hedge
Currency risks - Forward contracts, Currency swaps and Currency options 140 (177) 336 (735)
Interest rate risk - Interest rate swaps 59 (101) 46 (220)
Interest rate and currency risk - Combined interest rate and currency swaps 31 - 10 -
Other derivatives 6 - - (6)
Total Cash flow hedges 236 (278) 392 (961)
Derivatives for trading 97 (135) 152 (207)
Other financial assets/(liabilities) 636 (464) 764 (1,202)
The fair value of derivative financial instruments is determined by taking into consideration market parameters at the balance sheet date and using valuation
techniques widely accepted in the financial business environment. In particular:
the fair value of forward contracts and currency swaps is determined by taking the prevailing exchange rate and interest rates in the two currencies at the
balance sheet date;
the fair value of currency options is determined using valuation techniques based on the Black-Scholes model or binomial models and market parameters
at the balance sheet date (in particular exchange rates, interest rates and volatility rates);
the fair value of interest rate swaps and forward rate agreements is determined by using the discounted cash flow method;
the fair value of derivative financial instruments acquired to hedge interest rate risk and currency risk is determined using the exchange rates prevailing at
the balance sheet date and the discounted cash flow method;
the fair value of equity swaps is determined using market prices at the balance sheet date;
the fair value of derivatives hedging commodity price risk is determined by using the discounted cash flow method, taking the market parameters at the
balance sheet date (and in particular the future price of the underlying and interest rates).
The overall increase in Other financial assets from฀€764 million at 31 December 2008 to฀€636 million at 31 December 2009, and in Other financial liabilities
from฀€1,202 million at 31 December 2008 to฀€464 million at 31 December 2009 is mostly due to changes in exchange rates and interest rates during the
year, and to a positive fair value arising from the equity swaps on Fiat S.p.A. ordinary shares (€117 million euros).
As this item consists principally of hedging instruments, the change in their value is compensated by the change in the value of the hedged item.