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PBR » Topics » Foreign currency derivatives

This excerpt taken from the PBR 6-K filed Nov 19, 2009.

Foreign currency derivatives

    Consolidated 
   
    Notional value in $ thousand    Fair value R$ thousand**   Due date   Value at Risk R$ thousand*
         
 
    09.30.2009    06.30.2009    09.30.2009     06.30.2009        
               
 
Dollar forward contracts                         
 
Sale position    109,501    73,187    7,343    8,010    2009 / 2010    2,663 
             
    109,501    73,187    7,343    8,010         
 
 
Swaps                         
 
SWAP                         
Asset position            -    (32,193)        
             
Foreign currency (US dollar)   USD 0    USD 116.040        226,604         
Liability position                         
CDI reais    BRL 0    USD 254.050        (258,797)        
 
Cross Currency Swap            125,636    89,139    2016    62,929 
             
Asset position                         
Average rate of receipt (JPY) = 2.15% p.a.    JPY 35.000.000    JPY 35.000.000    743,750    764,225         
Liability position                         
Average rate of payment (USD) = 5.69% p.a.    USD 297.619    USD 297.619    (618,114)   (675,086)        
             
 
Total recorded in other current assets and liabilities            132,979    64,956         
             

* Value at Risk = maximum expected loss in 1 day with 95% reliability under normal market conditions. Not reviewed by the external audit.
**Negative fair values were recorded in liabilities and positive fair values in assets.

This excerpt taken from the PBR 6-K filed Aug 18, 2009.

Foreign currency derivatives

  Consolidated 
   
  Notional Value 
in $ thousand 		   Fair value
R$ thousand** 		   Maturity   Value at Risk 
R$ thousand* 
       
           
  06.30.2009    03.31.2009    06.30.2009    03.31.2009         
             
 
Dollar forward contracts                       
 
Sale position  66.215    40.498    8.010    2.475    2009    2.927 
             
  66.215    40.498    8.010    2.475         
 
Contracts of swaps                       
 
Swaps                       
Asset position          (32.193)   (5.195)    2009    32.288 
             
Foreing currency dollar  116.040    181.400    226.604    421.773         
Liability position                       
CDI Reais  254.050    426.968    (258.797)   (426.968)        
 
Cross Currency Swap          89.139    44.309    2016    43.977 
             
Asset position                       
Average rate of receipt (JPY) = 2.15%  35.000.000    35.000.000    764.225    902.847         
Liability position                       
Average rate of payment (USD) = 5.69%  297.619    297.619    (675.086)   (858.538)        
             
 
Total recorded in other current assets and liabilities          64.956    41.589         

* Value at Risk = maximum expected loss in 1 day with 95% reliability under normal market conditions. Not reviewed by the external audit.
**Negative fair values were recorded in liabilities and positive fair values in assets.

This excerpt taken from the PBR 6-K filed Jun 8, 2009.

Foreign currency derivatives

    Consolidated 
   
    Notional value in $ thousand    Fair value R$ thousand**    Maturity    Value at Risk R$ thousand* 
         
    03.31.2009    12.31.2008    03.31.2009    12.31.2008         
             
 
Dollar forward contracts                         
 
Short position    40.498    67.506    2.475    (3.823)            2009    2.216 
             
    40.498    67.506    2.475    (3.823)        
 
 
Swaps contracts                         
 
Cross Currency Swap            44.309    110.489             2016    53.907 
             
Asset position                         
Average rate of receipt (JPY) = 2.15%    35.000.000    35.000.000    902.847    978.268         
Liability position                         
Average rate of payment (USD) = 5.69%    297.619    297.619    (858.538)   (867.779)        
             
 
* Value at Risk = maximum expected loss in 1 day with 95% reliability under normal market conditions. 
**Negative fair values were recorded in liabilities and positive fair values in assets. 

This excerpt taken from the PBR 6-K filed Nov 12, 2008.

Foreign currency derivatives

    Consolidated 
   
    Notional value 
in thousand 		   Fair value 
in thousand 		   Maturity    Value at Risk 
in R$ thousand* 		   Realized in 
2008 in R$ thousand 
           
    09.30.2008    06.30.2008    09.30.2008    06.30.2008             
               
 
Dollar forward contracts                             
 
Short position    140.370    152.376    (31.295)   12.862        15.054    23.421 
               
    135.801    152.376    (30.841)   12.862    2008         
    4.570        (454)       2009         
 
Swaps                             
 
Cross Currency Swap            36.788    25.192    2016    32.948    (18.370)
               
Asset position                             
Average receipt rate (JPY):    35.000.000    35.000.000    658.444    543.762             
Liability position                             
Average payment rate (USD):    297.619    297.619    (621.655)   (518.570)            
               

*Value at Risk: Represents the maximum expected loss in one day with 95% reliability under normal market conditions.

EXCERPTS ON THIS PAGE:

6-K
Nov 19, 2009
6-K
Aug 18, 2009
6-K
Jun 8, 2009
6-K
Nov 12, 2008

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Veolia Environnement (VE)
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