2011 Annual Report - Italcementi Group

19.3.1 Fair value of derivatives
The table shows the fair value of financial instruments reflected in the statement of financial position,
subdivided by type of hedge:
December 31, 2011 December 31, 2010
(in thousands of euro) Assets Liabilities Assets Liabilities
Interest-rate derivatives hedging cash flows - 1,989 - 2,596
Trading interest-rate derivatives - - - -
Exchange-rate derivatives hedging cash flows 1,520 - 678 571
Exchange-rate derivatives hedging fair value 17 - - -
Trading exchange-rate derivatives - - - 172
Total short-term 1,537 1,989 678 3,339
Interest-rate derivatives hedging cash flows 10,604 83 7,837
Total medium/long-term - 10,604 83 7,837
Italcementi S.p.A. does not set up hedges on sales and purchases of shares.
Derivatives on trading exchange rates and interest rates refer to assets that do not qualify for recognition with
hedge accounting criteria.
The fair value of derivatives relating to EUA and CER transactions was 1,910 thousand euro at December 31,
2011, of which -28,364 thousand euro reflected under “Other current liabilities”, 31,412 thousand euro under
“Other current assets”, -16,541 thousand euro under “Other non-current liabilities” and 15,403 thousand euro
under “Other non-current assets”.
2011 derivative transactions on emission rights had an impact of –2,095 thousand euro on the income
statement and 4,251 thousand euro on equity (OCI reserve).
The fair value of derivatives relating to transactions on electricity at December 31, 2011, was -509 thousand
euro, reflected under “Other current liabilities” for -814 thousand euro and “Other current assets” for 305
thousand euro.
2011 derivative transactions on electricity had an impact of–46 thousand euro on the income statement and -
463 thousand euro on equity (OCI reserve).
The fair value of derivatives relating to transactions on tin(II) sulfate at December 31, 2011, was -18 thousand
euro, reflected entirely under “Other current liabilities”.
2011 derivative transactions on tin(II) sulfate had an impact of -18 thousand euro on equity (OCI reserve).
19.3.2 Fair value – hierarchy
In determining and documenting the fair value of financial instruments, the company uses the following
hierarchy based on different measurement methods:
level 1: financial instruments with prices quoted on active markets;
level 2: prices quoted on active markets for similar financial instruments, or fair value determined with other
measurement methods where all significant inputs are based on observable market data;
level 3: fair value determined with measurement methods where no significant input is based on observable
market data.
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