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288 Notes to Consolidated Financial Statements

(in millions of €, except where otherwise stated and per share amounts)

Financial assets and liabilities measured at fair value are presented in the

following table:

Fair values for available-for-sale ﬁ nancial assets are derived from quoted mar-

ket prices in active markets, if available. In certain cases, fair values are estimated

using a valuation technique.

The Company enters into derivative ﬁ nancial instruments with various coun-

terparties, principally ﬁ nancial institutions with investment grade credit ratings.

The calculation of fair values for derivative ﬁ nancial instruments depends on the

type of instruments:

Derivative interest rate contracts – The fair values of derivative interest rate

contracts (e.g. interest rate swap agreements) are estimated by discounting

expected future cash ﬂ ows using current market interest rates and yield curve

over the remaining term of the instrument. Interest rate options are valued on the

basis of quoted market prices or on estimates based on option pricing models.

Derivative currency contracts – The fair value of forward foreign exchange

contracts is based on forward exchange rates. Currency options are valued on the

basis of quoted market prices or on estimates based on option pricing models.

Credit default swaps – The fair value of credit default swaps is calculated by

comparing discounted expected future cash ﬂ ows using current bank conditions

with discounted expected future cash ﬂ ows using contracted conditions.

In determining the fair values of the derivative ﬁ nancial instruments, certain

compensating effects from underlying transactions (e.g. ﬁ rm commitments and

anticipated transactions) are not taken into consideration.

September 30,

2007 2006

Financial assets measured at fair value

Available-for-sale ﬁ nancial assets 280 740

Derivative ﬁ nancial instruments 943 646

Without hedging relationship 469 232

In connection with fair value hedges 176 236

In connection with cash ﬂ ow hedges 191 72

Embedded derivatives 107 106

Financial liabilities measured at fair value

Derivative ﬁ nancial instruments 917 483

Without hedging relationship 403 181

In connection with fair value hedges 103 5

In connection with cash ﬂ ow hedges 157 118

Embedded derivatives 254 179