2011 Annual Report - Italcementi Group

22.4.1 Interest-rate risk hedging
The table below sets out the notional value of interest-rate derivatives by maturity:
Maturity Maturity Maturity Maturity Total
less then 1 to 2 2 to 5 more then
(millions of euro)
1 year years years 5 year
Fair value hedges
SWAPs riceive Fixed / pay Floating
165 M€ 4,75% Euribor 3M+ 0,626% - - - 165.0 165.0
650 M€ 5,375% Euribor 3M+2.284% - - - 650.0 650.0
Total - - - 815.0 815.0
Cash flow hedges
SWAPs riceive Floating / pay Fixed
200 M€ Euribor 3M 2,479% 100.0 - 100.0 - 200.0
100,6 M€ Euribor 6M 2,697% 25.2 25.2 50.2 - 100.6
25 MUSD Libor 3M 2,06% 19.3 - - - 19.3
133,5 MUSD Libor 3M 1,25% 100.7 - - - 100.7
Cash flow hedges OPTIONS -
Cap/Floor Euribor 3M 120.0 120.0
Total 365.2 25.2 150.2 - 540.6
Trading
SWAPs riceive Floating / pay Floating
114 M€ Euribor 3M + 0,50% - Euribor 3M+ 0,325% - - - -
SWAPs riceive Floating / pay Fixed -
0,8 M€ Euribor 3M 1,95% 0.2 0.2 0.4 - 0.8
-
Trading OPTIONS -
Cap/Floor Euribor 3M 75.0
Total 75.2 0.2 0.4 - 75.8
Total 440.4 25.4 150.6 815.0 1,431.4
22.4.2 Exposure to interest-rate risk
At December 31, 2011, 56% of Group net debt (not including the fair value of derivatives) was at a fixed rate or
hedged against the risk of rate increases. 42% 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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