Annual Report 2010 - Enel.com

addition to direct reimbursement) by assigning them to a
special securitization fund (in the amount of €8,467 million)
established by the Spanish government.
206 Enel Annual Report 2010 Consolidated financial statements
The following table reports the notional amounts and the
fair values of the derivative contracts, grouped by type
and designation.
Millions of euro Notional amount Fair value
at Dec. 31,
2010
at Dec. 31,
2009
at Dec. 31,
2010
at Dec. 31,
2009 2010-2009
Cash flow hedge derivatives:
- interest rates 375 508 1 1 -
- exchange rates 957 1,385 33 47 (14)
- commodities 2,127 649 253 66 187
Total
Fair value hedge derivatives:
3,459 2,542 287 114 173
- interest rates 15 140 - - -
Total
Trading derivatives:
15 140 - - -
- exchange rates 2,157 1,284 50 31 19
- commodities 17,185 13,713 508 625 (117)
Total 19,342 14,997 558 656 (98)
TOTAL 22,816 17,679 845 770 75
The amount of exchange rate derivatives classified as cash
flow hedges is attributable mainly to exchange rate hedges
connected with commodities prices. The rise in the notional
amount and fair value of trading derivatives on exchange
rates is mainly associated with normal operations.
Commodity derivatives regard:
> derivatives held by Endesa with a fair value of €60 million
classified as cash flow hedges;
> “two-way contracts for differences”, classified as cash
flow hedges, with a fair value of €9 million;
> other derivatives on energy, classified as cash flow
hedges, with a fair value of €11 million;
> derivatives on fuels (gas and coal), classified as cash
flow hedges, with a fair value of €173 million;
> commodity derivatives related to fuels classified as
trading derivatives, with a fair value of €455 million;
> “two-way contracts for differences”, with a fair value of
€33 million;
> trading transactions on energy and other commodities,
with a fair value of €17 million;
> embedded derivatives related to energy purchase and
sale contracts in Slovakia, with a fair value of €3 million.
The following table reports the fair value balances of derivatives
broken down by measurement inputs used, as
provided for under the amendments of IFRS 7.
Millions of euro Level 1 Level 2 Level 3
at Dec. 31, 2010
Cash flow hedge derivatives
- interest rates 1 - 1 -
- exchange rates 33 - 33 -
- commodities 253 15 238
Total
Trading derivatives
287 15 272 -
- exchange rates 50 - 50 -
- commodities 508 101 407
Total 558 101 457 -
TOTAL 845 116 729 -