registration document France Telecom 2009 - Orange.com

financial information concerning the issuer’s assets and liabilities, financial position and profits and losses
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NOTES TO THE ANNUAL FINANCIAL STATEMENTS OF FRANCE TELECOM S.A.
since their credit ratings are monitored and fi nancial exposure
to any one fi nancial institution is limited. Limits are set based
on each fi nancial institution’s rating and equity, as well as on
periodic analyses carried out by the Finance and Treasury
Division. The maximum commitment is then determined based
on the notional amounts of interest rate and foreign exchange
contracts outstanding, to which coeffi cients are applied that
take into account the remaining duration of the operation and
the type of transaction involved. These ratios are adjusted
regularly to refl ect risk. Limits are monitored and reported daily
to the Group treasurer and head of dealing room.
6.5.6 Notional Amount of Derivative Financial
Instruments
The notional contracts or amounts do not represent the amounts
to be paid or received and consequently do not represent the
risk incurred by France Telecom S.A. associated with the use of
derivative fi nancial instruments.
The fair value of the currency swaps and interest-rate swaps
is estimated by discounting future expected cash fl ows using
the year-end market exchange rates and interest rates for the
remaining term of the contracts.
The fair value of over-the-counter options is estimated using
generally accepted market measurement models.
(in millions of euros)
Period ended December 31, 2009 Period ended December 31, 2008
Notional
amount Book value Fair value
Notional
amount Book value Fair value
Off-balance sheet financial
instruments
Interest rate caps 500 - - 500 1 1
Interest rate swaps (1) 9,225 (140) (24) 13,024 (187) 1
Currency swaps (2) 17,595 (464) (1,285) 11,379 (819) (1,013)
Forward currency contracts
and forex swaps 802 (3) 75 2,894 (13) (7)
Currency options 125 - 1 144 2 11
Swaptions 191 (11) (11) 262 (41) (41)
TOTAL 28,438 (618) (1,244) 28,203 (1,057) (1,048)
(1) Including 400 million euros notional with a forward inception date of December 31, 2009 (1,777 million euros at December 31, 2008).
(2) Including 199 million euros notional with a forward inception date of December 31, 2009.
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The book value of off-balance-sheet derivative instruments
includes accrued interest, equalization payments, premiums
paid or received, provisions for interest-rate risks relating to
instruments that do not qualify for hedge accounting and
provisions for currency risk relating to derivatives. The difference
between book value and market value mostly comprises the
unrealized deferred gains or losses on off-balance-sheet
fi nancial instruments.
6.6 Trade payables
This item includes 2,332 million euros of invoices not yet
received at December 31, 2009 versus 2,804 million euros at
December 31, 2008.
2009 REGISTRATION DOCUMENT / FRANCE TELECOM
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