Chrysler 2009 Annual Report Download - page 187

186 FIAT GROUP
CONSOLIDATED
FINANCIAL
STATEMENTS
AT 31 DECEMBER
2009
NOTES
Derivates for trading consist principally of the following types:
derivatives (mostly currency based derivatives) acquired to hedge receivables and payables subject to currency risk and/or interest rate risk which are not
formally designated as hedges at Group level;
derivatives relating to Fiat shares (Equity Swap) which are described further below;
embedded derivatives in certain bond issues in which the yield is determined as a function of trends in various equity indices and the inflation rate and
related hedging derivatives, which convert the exposure to floating rate. The total value of the embedded derivatives is offset by the value of the hedging
derivatives.
At 31 December 2009, the notional amount of outstanding derivative financial instruments is as follows:
(€ million) At 31 December 2009 At 31 December 2008
Currency risk management 9,189 11,791
Interest rate risk management 13,368 11,382
Interest rate and currency risk management 933 965
Other derivative financial instruments 244 334
Total notional amount 23,734 24,472
At 31 December 2009, the notional amount of Other derivative instruments consists of:
For฀€204 million (€204 million at 31 December 2008) the notional amount of the two equity swaps, renewed in 2009 and expiring in 2010, arranged to
hedge the risk of an increase in the Fiat share price above the exercise price of the stock options granted to the Chief Executive Officer in 2004 and 2006
(see Note 24). At 31 December 2009, the Equity Swaps have a total positive fair value of฀€8 million (a negative fair value of฀€109 million at 31 December
2008). Although these equity swaps were entered into for hedging purposes, they do not qualify for hedge accounting under IFRS and accordingly are
defined as trading derivative financial instruments.
For฀€14 million (€104 million at 31 December 2008), the notional amount of derivatives embedded in certain bonds with a return linked to stock market
indices or inflation rates, as well as the notional amount of the related hedging derivatives, which convert this exposure to floating market rate. The
decrease in the notional value is due to the redemption at due date during the year of a portion of the bonds outstanding at the end of the previous
year.
For฀€26 million (€26 million at 31 December 2008), the notional amount of derivatives linked to commodity prices hedging specific exposures arising from
supply agreements. Under these agreements there is a regular updating of the prices on the basis of trends in the quoted prices of the raw material.
The following table provides an analysis by due date of outstanding derivatives financial instruments at 31 December 2009 based on their notional
amounts:
At 31 December 2009
within within within
(€ million) one year one year one year Total
Currency risk management 8,652 537 - 9,189
Interest rate risk management 2,776 9,163 1,429 13,368
Interest rate and currency risk management - - 933 933
Other derivative financial instruments 230 - 14 244
Total notional amount 11,658 9,700 2,376 23,734