Annual Report 2010 - Enel.com

ight to exchange, at an agreed future date, two principal
amounts denominated in different currencies on specified
terms (the contractual exchange rate represents the
option strike price). Such contracts may call for the actual
exchange of the two amounts (deliverable) or payment of
the difference between the strike exchange rate and the
prevailing exchange rate at maturity (non-deliverable).
In the latter case, the strike rate and/or the spot rate may
be determined as averages of the official fixings of the European
Central Bank.
The following table reports the notional amount of transactions
outstanding at December 31, 2010 and December
31, 2009, broken down by type of hedged item:
Millions of euro Notional amount
2010 2009
Cross currency interest rate swaps (CCIRSs) hedging debt denominated in currencies other than the euro 13,934 12,606
Currency forwards hedging exchange rate risk on commodities 7,055 5,072
Currency forwards hedging future cash flows in currencies other than euro 554 594
Currency forwards hedging commercial paper 334 162
Other forward contracts 230 210
Options hedging exchange rate risk on commodities - 102
Total 22,107 18,746
More specifically, these include:
> CCIRSs with a notional amount of €13,934 million to
hedge the exchange rate risk on debt denominated in
currencies other than the euro (€12,606 million at December
31, 2009);
> currency forwards with a notional amount of €7,609
million used to hedge the exchange rate risk associated
with purchases of fuel, imported electricity and expected
cash flows in currencies other than the euro (€5,666
million at December 31, 2009); and
> currency forwards with a notional amount of €334 million
used to hedge the exchange rate risk associated
with redemptions of commercial paper issued in currencies
other than the euro (€162 million at December
31, 2009).
At the end of 2010, other outstanding positions included
currency forwards with a notional amount of €230 million
(€210 million at December 31, 2009) not directly connected
to individual exposures to exchange rate risk.
The following table reports the notional amount and fair
value of exchange rate derivatives at December 31, 2010
and December 31, 2009, divided by accounting treatment
(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:
- currency forwards 3,014 3,229 (11) (1) 34 59 (45) (60)
- CCIRSs
Fair value hedge derivatives:
13,419 12,084 (886) (1,555) 671 207 (1,557) (1,762)
- CCIRSs
Derivatives hedging net
investment in a foreign
operation:
515 522 (6) (50) 15 2 (21) (52)
- currency forwards
Trading derivatives:
- 319 - (9) - - - (9)
- currency forwards 5,159 2,490 (73) 4 55 35 (128) (31)
- options - 102 - (3) - - - (3)
Total forwards 8,173 6,038 (84) (6) 89 94 (173) (100)
Total options - 102 - (3) - - - (3)
Total CCIRSs 13,934 12,606 (892) (1,605) 686 209 (1,578) (1,814)
TOTAL EXCHANGE RATE
DERIVATIVES 22,107 18,746 (976) (1,614) 775 303 (1,751) (1,917)
175