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PBR » Topics » h) Sensitivity analysis

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

h) Sensitivity analysis

The following sensitivity analysis was conducted for the fair value of the foreign currency derivatives. The probable scenario is the fair value at September 30, 2009. The possible and remote scenarios consider the deterioration in the risk variable of 25% and 50%, respectively, with respect to the same date.

        Consolidated 
     
        R$ thousand 
     
   Foreign currency derivatives    Risk    Probable scenario at 09.30.2009   Possible Scenario (of 25%)   Remote Scenario (of 50%)   VAR* 
           
Dollar forward contracts    Appreciation of the dollar against the real    7,343    (37,258)   (85,985)   2,663 
Cross Currency Swap    Depreciation of the yen against the dollar    125,636    (23,114)   (122,281)   62,929 
           

* Value at Risk = maximum expected loss in 1 day with 95% reliability under normal market conditions. Not reviewed by the external audit.

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

h) Sensitivity analysis

The following sensitivity analysis was conducted for the fair value of the foreign currency derivatives. The probable scenario is the fair value at June 30, 2009. The possible and remote scenarios consider the deterioration in the risk variable of 25% and 50%, respectively, with respect to the same date.

            Consolidated     
     
            R$ thousand     
     
Foreign currency derivatives    Risk    Probable scenario    Possible Scenario    Remote Scenario    VAR* 
        at 06.30.2009    (Δ of 25%)   (Δ of 50%)    
           
Dollar forward contracts    Appreciation of the dollar against the real    8.010                   (24.401)   (56.812)   2.927 
SWAP    Appreciation of the real against the dollar    (32.193)                  (88.844)   (145.495)   32.288 
Cross Currency Swap    Depreciation of the yen against the real    89.139                   (63.706)   (165.603)   43.977 
           

*Value at risk = Maximum expected loss in 1 day with 95% reliability under normal market conditions. Not reviewed by the external audit.

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

h) Sensitivity analysis

The following sensitivity analysis was conducted for the fair value of the foreign currency derivatives. The probable scenario is the fair value at March 31, 2009. The possible and remote scenarios consider the deterioration in the risk variable of 25% and 50%, respectively, with respect to the same date.

        Consolidated     
       
        R$ thousand     
       
Foreign currency derivatives    Risk    Probable scenario at 03.31.2009    Possible scenario (∆ de 25%)   Remote scenario (∆ de 50%)   VAR* 
           
 
Dollar forward contracts    Appreciation of the dollar against the real    2.475    (23.478)   (46.956)   2.216 
Cross Currency Swap    Depreciation of the yen against the real    44.309    (136.261)   (256.640)   53.907 
           

* Valor em risco = perda máxima esperada em 1 dia com 95% de confiança em condições normais de mercado

This excerpt taken from the PBR 6-K filed Mar 31, 2009.

h) Sensitivity analysis

The following sensitivity analysis was conducted for the fair value of the foreign currency derivatives. The probable scenario is the fair value at December 31, 2008. The possible and remote scenarios consider the deterioration in the risk variable of 25% and 50%, respectively, with respect to the same date.

     Foreign currency derivatives    Risk    Consolidated 
   
        R$ mil     
   
    Probable scenario at 12.31.2008    Possible scenario (∆ de 25%)   Remote scenario (∆ de 50%)
       
         
Dollar forward contracts    Apreciation of the Dollar against the Real    (3.823)   (43.284)   (82.746)
Cross Currency Swap    Depreciation of the Yen against the Dollar    110.489    (85.165)   (215.600)
         

EXCERPTS ON THIS PAGE:

6-K
Nov 19, 2009
6-K
Aug 18, 2009
6-K
Jun 8, 2009
6-K
Mar 31, 2009

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