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2. Maturities of hedging instruments as of December 31, 2002
(in millions of euros) Total Within 1 year 1 to 5 years Beyond 5 years
Currency risk
Currency swaps 1,488 966 506 16
Forward contracts 1,253 1,253 - -
2,741 2,219 506 16
Interest rate risk
Hedges of financing transactions
- Interest rate swaps 23,120 11,153 11,967 -
- Purchases of caps and collars 192 192 - -
- FRA 340 340 - -
23,652 11,685 11,967 -
3. Currency risk
The net position of the finance companies in the main foreign
currencies is as follows:
(in millions of euros) GBP YEN USD CHF Others
Total assets 1,184 - 12 291 -
Total liabilities - (877) (269) - (107)
Net position
before hedging 1,184 (877) (257) 291 (107)
Off-balance
sheet position (1,184) 877 257 (291) 107
Net position
after hedging - - - - -
4. Interest rate risk
(in millions d’euros)
intraday 1 to More than
to 1 year 5 years 5 years Total
Total assets 14,135 5,047 76 19,258
Total liabilities (14,724) (2,252) (516) (17,492)
Net position
before hedging (589) 2,795 (440) 1,766
Off-balance
sheet position 861 (1,267) 526 120
Net position
after hedging 272 1,528 86 1,886
This table analyzes fixed rate assets and debt by maturity and
adjustable rate assets and debts based on the next rate adjustment date.
In the statement of off-balance sheet items, swaps and other derivative
instruments are reported as positive amounts (lender leg) and negative
amounts (borrower leg).
A 1 point decrease in interest rates would have the effect of reducing
net interest income by €0.7 million.
The net position after hedging for assets and liabilities due in 1 to
5 years corresponds to net assets covered by Banque PSA Finance
Group shareholders’ equity.
➔ Note 48 - Equity risk
Equity risk corresponds to the price rise arising from an unfavorable
change in the price of equities held by the Group.
(in millions of euros)
Equities and units
in equity funds
Own
shares
Net position -
Assets 329 112
Off-balance sheet position - -
Total net position 329 112
Sensitivity (3) (2)
The portfolio of equities and units in equity funds includes €66 million
worth of securities with limited liquidity (note 17), €236 million in
listed equities carried in the balance sheet under short-term
investments (note 27) and €27 million in equities under management.
The portfolio of own shares being held for allocation on exercise of
employee stock options (note 27).
Equities are stated at the lower of cost and market. In substantially all
cases, the market value net of a 10% discount exceeds the securities’
book value. Consequently, sensitivity of earnings to a fall in value is
limited to €3 million.
➔ Note 49 - Fair value of financial
instruments
The fair value of financial instruments held by the Group is estimated
in accordance with SFAS 107. The fair value of financial instruments
not intended to be sold is estimated only in cases where this is
practicable based on market data.
PSA PEUGEOT CITROËN - APPENDICES TO THE MANAGING BOARD REPORT 175