Henkel Annual Report 2011 - Henkel AG & Co. KGaA Annual Report ...

138 Consolidated financial statements
Notes to the consolidated statement of financial position
Henkel Annual Report 2011
Our exposure to interest rate risk at the reporting dates 2010
and 2011 was as follows:
Interest rate exposure
Carrying amounts
in million euros
Fixed-interest financial instruments
2010 2011
Euro – –
US dollar 1,497 1,237
Others – –
1,497 1,237
Floating-interest financial instruments
Euro 337 170
US dollar 202 212
Others –33 –304
506 78
The calculation of the interest rate risk is based on sensitivity
analyses. The analysis of cash flow risk examines all the
main financial instruments which bear interest at a variable
rate at the statement of financial position date. Securities,
time deposits, fixed­interest instruments and interest hedging
instruments are deducted from net borrowings. The interest
rate risk figures shown in the table are based on this calculation
at the relevant reporting date, assuming a parallel shift
in the interest curve of 100 basis points. The analysis of fair
value risk also assumes a parallel shift in the interest curve
of 100 basis points, with the hypothetical loss or gain of the
relevant interest rate derivatives at the reporting date being
calculated accordingly. The fixed­interest financial instruments
exposed to fair value risk are essentially the fixed interest
rate bank liabilities denominated in US dollars.
The risk of interest rate fluctuations with respect to the earnings
of the Henkel Group is shown in the basis point value
(BPV) analysis in the table below.
Interest rate risk
in million euros
Based on an interest rate rise
2010 2011
of 100 basis points
of which:
52 27
Cash flow through profit and loss
Fair value recognized in equity through
10 5
comprehensive income
42
22
Other price risks (commodity price risk)
Uncertainty with respect to raw material price development
impacts Group business. Purchase prices for raw materials
can affect the net assets, financial position and results of
operations of the corporation. The risk management strategy
put in place by the Group management for safeguarding
against the procurement market risk is described in more
detail in the risk report on pages 89 and 90.
As a small part of the risk management strategy, cash­settled
commodity futures are entered into on the basis of forecasted
purchasing requirements in order to hedge future uncertainties
with respect to commodity prices. Cash­settled commodity
derivatives are only used at Henkel where there is a direct
relationship between the hedging derivative and the physical
underlying. Henkel does not practice hedge accounting and
is therefore exposed to temporary price risks when holding
commodity derivatives. Such price risks arise due to the fact
that the commodity derivatives are measured at fair value
whereas the purchasing requirement, as a pending transaction,
is not measured or recognized. This can lead to losses being
recognized in profit or loss and equity. Developments in fair
values and the resultant risks are continuously monitored.
The influence of negative commodity price developments on
the valuation of the derivatives employed is immaterial to the
financial position of the Henkel Group due to the low volume
of derivatives used. In the event of a change in commodity
prices of 10 percent, the resultant loss would be less than
1 million euros.