Annual Report 2011 (5.07 MB, PDF-File) - Oerlikon

Key Figures Group Notes OC Oerlikon Corporation AG, Pfäffikon
Financial instruments
Notes to the consolidated financial statements
2011 2010
Contract
Fair value Contract
Fair value
in CHF million volume positive negative volume positive negative
Forward exchange contracts 505 3 23 499 29 47
Interest-rate derivatives 600 – – 600 3 –
Interest-rate swaps – – – – – –
Interest caps 1 600 – – 600 3 –
Total 1 105 3 23 1 099 32 47
Based on the Group’s business activities, the following main currencies are hedged: Euro and US dollar. Positive and negative changes
in fair values of currency derivatives are offset by the corresponding gain or loss on the underlying hedged transactions. The maximum
risk of counterparty non-performance is equal to the positive deviation from fair value. In view of the reputation of the counterparties, this
risk is deemed to be minimal.
In principle, the maturities of currency and interest rate hedges correspond to the maturity of the underlying base transaction. If the
maturity of the base transaction shifts, the maturity of the hedge contract will be shifted correspondingly (roll-over/swaps). Thus, the cash
flows deriving from the hedge contracts are synchronised with the impact of the base transaction in the income statement. The hedging
transactions are first recorded in other comprehensive income, then recycled to the income statement when the base transaction is recorded.
For this reason there is no need for a separate presentation of the maturities of hedge contracts and their underlying
transactions.
Maturity structure of open foreign exchange contracts and interest-rate derivatives at December 31:
in CHF million
Carrying
amount
Expected
cash flows
6 months
or less
6–12
months 1–2 years 2–5 years
more than
5 years
Forward exchange contracts
2011 –20 505 417 82 6 – –
2010 –18 499 461 35 3 – –
Interest-rate swaps
2011 – – – – – – –
2010 – – – – – – –
Interest caps
2011 – – – – – – –
2010 3 3 – – – 3 –
1 As a hedge against the interest rate risk inherent in the interest rate of the syndicated loan, two interest caps were taken out in June 2010 for a
nominal amount of CHF 600 million. The interest caps run to 2014 and over that period they compensate for any excess of the 3-month-CHF-
LIBOR over 2 % by paying out the difference.
Every 3 months a comparison is made between current 3-month-CHF-LIBOR and the interest rate upper limit of 2 %. If 3-month-LIBOR exceeds
2 %, Oerlikon receives a payment in compensation.
The total premiums of CHF 6.9 million payable at the inception of this contract were capitalized and were remeasured to fair value in the balance
sheet at December 31, 2011. The interest cap is booked through the income statement.
Note 17
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