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Derivative Financial Instruments
Net
carrying
Present value
as of 31.12.2011
in € 000 Nominal value value Positive Negative
Currency options 20,936 -88 255 -88
Currency futures 39,832 -269 216 -269
Interest rate swaps 321,163 0 1,758 -3,227
Interest rate options 235,000 311 88 -2,871
Currency swaps 4,906 0 0 0
Commodity swaps 4,177 -596 0 -596
Provisions for onerous losses in the amount of EUR 0.95
million have been formed to cover specific currency futures,
commodity swaps and on account of negative market values
for the interest-rate swaps entered into by way of a hedge at the
portfolio level and which are not combined in a valuation unit.
Option premiums to the amount of EUR 0.3 million have been
reported under other assets.
The nominal value of the derivative financial instruments is
determined using the exchange rates on the closing date.
The present values of currency futures and currency swaps
are determined according to the closing rate as of the
balance sheet date, taking forward discounts and premiums
into account. The present values of currency options are
assessed on the basis of option price models pursuant to
Black & Scholes. The present values of interest-rate hedging
instruments (interest-rate swaps and options) as well as
commodity swaps are determined on the basis of discounted,
anticipated future cash flows with the current market
interest-rates or market rates for raw materials for the
remaining term of the financial instruments being applied.
To hedge the interest risks in its banking book from payment
fluctuations in its investment book, the akf group applies
portfolio hedges consisting of interest-rate swaps, caps and
collars with a nominal value of EUR 486.6 million. These are
combined with liabilities in the amount of EUR 540.3 million
into valuation units as defined by § 254 HGB. There was a
negative market value of the derivatives used as of the
balance sheet date of EUR 5.7 million, a sum that is not
considered in the balance sheet on account of the valuation
Consolidated Financial Statements / Explanatory Notes / 59
unit created and the application of the net hedge presentation
method. Likewise, there are positive differences to the
amount of EUR 1.8 million that are not reported either.
Since the liabilities and the derivates are exposed to the
same interest risk, the changes in cash flows are offset from
opposite effects. The effectiveness of the hedging relationships
is determined regularly by prospective regression
analyses.
6. Information on Shares in Investment Funds
Vorwerk & Co. KG holds 100 percent of the units of the VWUC
Fund. The VWUC Fund has mixed fund assets pursuant to
German investment law.
The target of the investment policy is to generate an attractive
increase in value in euro with a longer-term strategy. To
achieve this investment objective, the assets are invested in
fixed-interest securities as well as in money market instruments
and liquid funds. Moreover, the Fund can invest in securities
on the equity markets and in units of open and closed
investment funds (shares, commodities and real estate). To
secure as well as to invest and efficiently manage the assets, the
Fund may, in addition, also deploy derivatives and other techniques
and instruments as well as securities lending.
Value of the Units and Variance to the Book Value
in € 000 Book value Market value Variance
VWUC Fund 325,718 362,752 37,034
Vorwerk & Co. KG received a gross dividend of EUR 5.175 million
(EUR 2.5872 per unit) for the Fund’s business year (1 December
2010–30 November 2011).
The Fund’s units could be redeemed on any stock exchange
trading day in the year. In the year under review special fund
units were sold at a book value of EUR 114.3 million. Vorwerk
achieved a profit of EUR 38.0 million from this transaction.
The Fund’s units were evaluated throughout the entire year in
accordance with the lower of cost or market.