Report 2010 - Italcementi Group

22.4 Interest-rate risk
Notional value of derivative instruments by maturity
The notional value of interest rate derivatives by maturity is illustrated below:
Maturity Maturity Maturity Maturity Total
less than 1 to 2 2 to 5 more than
(in millions of euro)
1 year years years 5 years
Fair value hedges
SWAPs receive Fixed / pay Floating
165 M€ 4.75% Euribor 3M+ 0.626% - - - 165.0 165.0
650 MUSD 5.375% Euribor 3M+2.284% - - - 650.0 650.0
Total - - - 815.0 815.0
Cash flow hedges
SWAPs receive Floating / pay Fixed
210 M€ Euribor 3M 3.035% 110.0 100.0 - - 210.0
114 M€ Euribor 3M + 0.325% 3.536% 114.0 - - - 114.0
100.9 M€ Euribor 6M 2.697% 0.2 25.5 75.2 - 100.9
0.4 M€ Euribor 6M+0.50% 3.275% 0.4 - - - 0.4
75 MUSD Libor 3M 2.06% 37.4 18.7 - - 56.1
133.5 MUSD Libor 3M 1.25% - 100.7 - - 100.7
Cash flow hedges OPTIONS -
Cap/Floor Euribor 3M 50.0 195.0 245.0
Cap/Floor Libor 3M 56.1 56.1
Total 368.1 439.9 75.2 - 883.2
Trading
SWAPs receive Floating / pay Floating
114 M€ Euribor 3M + 0.50% - Euribor 3M+ 0.325% 114.0 - - - 114.0
SWAPs receive Floating / pay Fixed -
2 M€ Euribor 3M 1.95% 0.4 0.4 1.2 - 2.0
75 M€ Euribor 3M 3.44% 75.0 75.0
Trading Options -
Total 189.4 0.4 1.2 - 191.0
Total 557.5 440.3 76.4 815.0 1,889.2
Exposure to interest-rate risk
At December 31, 2010, 71% of Group net financial liabilities (not including the fair value of derivatives) was at
a fixed rate or hedged against the risk of rate increases. 52% of fixed-rate commitments arose from swapped
contracts initially arranged at floating rates.
Hedges are stated at nominal value for the period in question (consistently with instrument maturity) and do not
include fixed-rate to fixed-rate contracts.
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