Annual Report 2010 - Enel.com

considered too high with respect to Enel’s expectations
for future interest rate developments. In addition, interest
rate options are also considered appropriate in periods
of uncertainty about future interest rate developments, in
order to benefit from any decreases in interest rates.
Swaptions involve the purchase of the right to enter into
an interest rate swap at a future date on specified contractual
terms and conditions (the fixed rate of the underlying
interest rate swap represents the strike price of the
option).
These contracts are normally used before bond issues
(pre-hedge transactions) where the company wants to
fix its borrowing costs ahead of time. They expire or are
exercised in conjunction with the actual bond issue. As
with interest rate collars, zero-cost strategies can be implemented
with swaptions, making it possible to fix the
maximum and minimum interest rate ahead of time and
to benefit from possible declines in interest rates.
The following table reports the notional amount of interest
rate derivatives at December 31, 2010 and December
31, 2009 broken down by type of contract:
Millions of euro Notional amount
2010 2009
Interest rate swaps 12,628 13,632
Interest rate options 4,308 4,375
Total 16,936 18,007
The following table reports the notional amount and fair value of interest rate derivatives at December 31, 2010 and
December 31, 2009, broken down by designation (IAS 39):
Millions of euro Notional amount Fair value Fair value assets Fair value liabilities
at Dec. 31,
2010
at Dec. 31,
2009
at Dec. 31,
2010
at Dec. 31,
2009
at Dec. 31,
2010
at Dec. 31,
2009
at Dec. 31,
2010
at Dec. 31,
2009
Cash flow hedge derivatives:
Interest rate swaps 9,432 9,951 (497) (502) 8 10 (505) (512)
Interest rate options
Fair value hedge derivatives:
3,608 4,337 (64) (119) - 1 (64) (120)
Interest rate swaps
Trading derivatives:
98 598 9 - 9 8 - (8)
Interest rate swaps 3,098 3,083 (163) (172) 8 9 (171) (181)
Interest rate options 700 38 (19) (1) - - (19) (1)
Total interest rate swaps 12,628 13,632 (651) (674) 25 27 (676) (701)
Total interest rate options
TOTAL INTEREST RATE
4,308 4,375 (83) (120) - 1 (83) (121)
DERIVATIVES 16,936 18,007 (734) (794) 25 28 (759) (822)
The following table reports the cash flows expected in coming years from the these financial derivatives:
173