Consolidated Financial Statements of the Stadtwerke Leipzig Group ...

as per the balance sheet on the basis of market
parameters. In line with the realisation principle,
the positive market value was not posted on the
balance sheet.
The payer swaps are parts of a macro hedge
that has been formed to hedge against interest
rate risks. The designated underlying transactions
were variable-interest leasing agreements,
currently contracted variable-interest loans,
and highly probable future follow-up financing
arrangements that will also include a variable
interest component. The market value of the
underlying transactions, which was calculated
using the hypothetical derivative method,
amounted to €8,180k on the balance sheet date.
The ineffective part of the hedging relationship
(€6,215k), which was calculated by contrasting
the market values of the underlying and hedging
transactions, was taken into account in the form
of a provision as per 31 December 2009. The fair
values of the payer swaps and the underlying
transactions were determined on the basis of a
present-value model using the interest-structure
curve calculated as per the balance sheet date on
the basis of market parameters.
The swaptions posted under interest rate options
are capitalised at the time of acquisition as Other
assets at acquisition cost (= option premium to
be paid) and written off to the positive fair value
on the balance sheet date 31 December 2009.
Because their market value is zero, the caps
are capitalised with a pro memoria item. If the
premiums for the interest rate options are paid
pro rata temporis, the outstanding payments are
shown on the balance sheet separately under
Other liabilities and have not affected the fair
value. The fair values on the balance sheet date
are determined on the basis of a generally recognised
option-price model.
The fair values of the foreign-exchange futures
transactions and the cross-currency swaps were
determined on the basis of the exchange rates on
the balance sheet date, taking into account forward
premiums/discounts using a present-value
model. Each of the cross-currency swaps is part
of micro hedges whose underlying and hedging
transactions match in terms of the value-determining
components, volumes and terms (criticalterm
match). Accordingly, the cross-currency
swaps were not posted on the balance sheet.
The nominal volume of the commodity derivatives
corresponds to the additive value of all
agreed purchase (€2,796 million; 2008: €2,488
million) and selling agreements (€2,800 million;
2008: €2,490 million) for future delivery periods
in the commodities electricity, gas and emission
certificates. In the case of non-contingent
commodity derivatives (forwards and futures)
purchased for the purpose of own-account trading,
balance sheet treatment follows the principles
of portfolio hedging. The purchase and sale
contracts are pooled separately by media and
terms into sub-portfolios and the market values
of the contracts added up. If this calculation
leads to a negative market value, this is posted as
a provision as per the balance sheet date. Positive
market values are ignored on the basis of the realisation
principle. No provisions were carried as
liabilities on 31 December 2009. The fair values
were determined at market prices on the balance
sheet date based on externally recognised sources,
e.g. the official closing prices on the European
Energy Exchange AG, Leipzig (EEX).
52 | Annual Financial Statements of Stadtwerke Leipzig GmbH