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Interest swaps are held to hedge interest risks. These instruments are used to hedge variable
liabilities denominated in euros.
The following interest derivatives had been entered into as of the balance sheet date:
Forward exchange contracts are concluded to hedge fluctuations in the rate of the US dollar,
Swiss franc, pound sterling and Polish zloty against the euro. Hedging covers both recorded
transactions and future transactions considered highly likely to occur.
The following forward exchange contracts had been entered into as of the balance sheet date:
The notional volumes are the reference values of interest swaps and the purchase and selling
amounts of the forward exchange contracts measured with the forward rates as of the balance
sheet date.
Interest derivatives are valued by the contractual partner on the basis of the discounted flow
of funds that result from the difference compared with the development of the market interest
rates (mark to market valuation). The valuation of the forward exchange contracts corresponds
to the losses or gains that would otherwise be realized if the transaction was settled as of the
balance sheet date.
The notional volume and fair value of the derivative financial transactions as of the balance
sheet date were as follows:
96
Dec. 31, 2004 Dec. 31, 2003
Notional Notional
‘000 euros volume volume
Interest swaps 122,710 237,630
Interest caps 0 6,741
Total 122,710 244,371
Dec. 31, 2004 Dec. 31, 2003
Notional Notional
‘000 euros volume volume
Exchange rate hedges of current or recognized transactions 17,742 11,710
Exchange rate hedges of expected cash flows 0 3,442
Total 17,742 15,152
Dec. 31, 2004 Dec. 31, 2004 Dec. 31, 2003 Dec. 31, 2003
Notional Notional
‘000 euros volume Fair value volume Fair value
Interest derivatives 122,710 –9,864 244,371 –13,601
Forward exchange contracts 17,742 110 15,152 293
Total 140,452 –9,754 259,523 –13,308