Financial statements - Notes to the consolidated financial statements
Note 34
Derivative financial instruments
Fair value hedge relates to the interest rate swap that hedges fair value interest rate risk on a fixed rate debt. Interest rate
swaps designated as cash flow hedges are used to hedge cash flow interest rate risk on floating rate debt. Cross-currency swaps
accounted for as cash flow hedges are used to hedge currency and cash flow interest rate risk on fixed and floating debt
denominated in foreign currency. Foreign currency forwards and swaps designated as cash flow hedges are used to hedge the
variability in future cash flows denominated in foreign currencies. The number and maturities of derivative contracts, the fair
values and the qualification of the instruments for accounting purposes are presented in the table below:
January 1, 2006 January 2, 2005
Contracts I Assets I Liabilities I Contracts I Assets I Liabilities
Interest rate swaps - fair value hedges
from 1 year to 5 years
1
47
-
1
61
-
Total interest rate swaps - fair value hedges
1
47
-
1
61
-
Interest rate swaps - cash flow hedges
up to 1 year
-
-
-
1
-
(4)
from 1 year to 5 years
2
1
-
1
-
(1)
from 5 years to 10 years
1
-
-
-
-
-
Total interest rate swaps - cash flow hedges
3
1
-
2
-
(5)
Cross currency swaps - cash flow hedges
up to 1 year
1
-
(21)
6
461
-
from 1 year to 5 years
-
-
-
1
9
-
from 5 years to 10 years
1
140
-
1
255
-
greater than 10 years
1
-
(161)
3
87
(126)
Total cross currency swaps - cash flow hedges
3
140
(182)
11
812
(126)
Foreign currency forwards and swaps
- cash flow hedges
up to 1 year
76
1
(5)
112
1
(8)
from 1 year to 5 years
106
-
(13)
145
-
(10)
Total foreign currency forwards and swaps
- cash flow hedges
182
1
(18)
257
1
(18)
Derivative contracts - no hedge accounting
treatment
up to 1 year
29
-
(5)
-
-
-
from 1 year to 5 years
3
-
(1)
-
-
-
greater than 10 years
2
97
-
2
86
(3)
Total derivative contracts - no hedge accounting
treatment
34
97
(6)
2
86
(3)
1 Total derivative financial instruments
223
286
(206)
273
960
(152)
The notional amounts of the derivative financial instruments outstanding as of January 1, 2006 are summarized below.
The summary is based on the currency of the exposures being hedged and includes the gross amount of all notional values
for outstanding contracts (with all amounts expressed in the respective currencies). The amount of notional value outstanding
is not necessarily a measure or indication of market risk, as the exposure of certain contracts may be offset by that of other
contracts.
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