VINCI - 2005 annual report

26.1 MANAGEMENT OF INTEREST RATE RISK
VINCI manages a fixed/floating/position or floating/capped floating
position in order to reduce the cost of its debt. For this, it uses derivative
instruments such as options or interest rate swaps. The Group’s portfolio
26.1.1 Detail of interest rate derivatives
Derivative financial instruments at 31 December 2005 break down as follows:
Derivative financial instruments not considered as hedges for accounting
purposes generally relate to operations of less than one year. Their fair
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VINCI 2005 ANNUAL REPORT
of derivatives can be divided into those considered as hedges for accounting
purposes and those not so considered, in accordance with IAS 39,
complying with VINCI’s risk management principles.
31/12/2005 31/12/2004
within between 1 after notional fair notional fair
(in € millions) 1 year and 5 years 5 years amount value amount value
Derivative instruments allocated to hedge
long-term debt
Fixed lender / variable borrower interest rate swap 2.3 1,251.7 1,187.6 2,441.6 234.2 4,054.0 257.8
Interest rate options (caps, floors and collars) 0.0
Fair-value hedge (1) 2.3 1,251.7 1,187.6 2,441.6 234.2 4,054.0 257.8
Variable lender / fixed borrower interest rate swap 8.5 35.0 13.1 56.5 (4.1) 20.7 (2.1)
Interest rate options (caps, floors and collars) 0.8 327.4 328.2 1.6 253.4
Cash flow hedge (2) 9.3 362.4 13.1 384.7 (2.5) 274.1 (2.1)
Derivative instruments not considered as hedges
for accounting purposes
Interest rate swaps 1,317.4 466.3 10.8 1,794.6 0.6 1,952.2 (0.9)
Interest rate options (caps, floors and collars) 111.0 425.0 25.0 561.0 4.1 316.5 1.0
Total 1,428.5 891.3 35.8 2,355.6 4.6 2,268.7 0.1
Total interest rate derivatives 1,440.1 2,505.4 1,236.4 5,181.9 236.3 6,596.8 255.8
(1) Offset by the revaluation of corresponding debts (see detail in Note 25.1)
(2) Offset by a decrease of equity.
value at 31 December 2005 was €4.6 million, i.e. 2% of the fair value of
all the derivative financial instruments used by the Group.