BMW 2015 Annual Report Download - page 158

158
in € million 31. 12. 2015 31. 12. 2014
Euro 21,785 17,535
US Dollar 10,742 12,087
British Pound 4,220 5,091
Chinese Renminbi 1,006 574
Japanese Yen 536 113
exchange rate fluctuations to operating cash flows on
the basis of probability distributions. Volatilities and
correlations serve as input factors to assess the relevant
probability distributions.
The potential negative impact on earnings is computed
for each currency for the following financial year on
the
basis of current market prices and exposures to a con-
fidence
level of 95 % and a holding period of up to one
year. Correlations between the various currencies are
Currency risk for the BMW Group is concentrated on the
currencies referred to above.
Interest rate risks
The BMW Group’s financial management system involves
the use of standard financial instruments such as short-
term deposits, investments in variable and fixed-income
securities as well as securities funds. The BMW Group is
therefore exposed to risks resulting from changes in in-
terest rates.
Interest rate risks can be managed by the use of interest
rate derivatives. The interest rate contracts used for
hedging purposes comprise mainly swaps which are ac-
counted for on the basis of whether they are designated
as a fair value hedge or as a cash flow hedge. A descrip-
tion of the management of interest rate risks is provided
in the Combined Management Report.
As stated there, the BMW Group applies a group-wide
value-at-risk approach for internal reporting purposes
taken into account when the risks are aggregated, thus
reducing the overall risk.
The following table shows the potential negative impact
for the BMW Group – measured on the basis of the cash-
flow-at-risk approach – attributable to unfavourable
changes in exchange rates. The impact for the principal
currencies, in each case for the following financial year,
is as follows:
These risks arise when funds with differing fixed-rate
periods or differing terms are borrowed and invested.
All items subject to, or bearing, interest are exposed to
interest rate risk. Interest rate risks can affect either
side of the balance sheet.
The fair values of the Group’s interest rate portfolios for
the five main currencies were as follows at the end of
the reporting period:
and to manage interest rate risks. This is based on a state-
of-the-art historical simulation, in which the potential
future fair value losses of the interest rate portfolios are
compared across the Group with expected amounts
measured on the basis of a holding period of 250 days
and a confidence level of 99.98 %. Aggregation of these
results creates a risk reduction effect due to correlations
between the various portfolios.
in € million 31. 12. 2015 31. 12. 2014
Euro / Chinese Renminbi 163 173
Euro / US Dollar 48 73
Euro / British Pound 86 66
Euro / Korean Won 99 37
Euro / Japanese Yen 68 6
90 GROUP FINANCIAL STATEMENTS
90 Income Statements
90 Statement of
Comprehensive Income
92 Balance Sheets
94 Cash Flow Statements
96 Group Statement of Changes in
Equity
98 Notes
98 Accounting Principles and
Policies
113 Notes to the Income Statement
121 Notes to the Statement
of Comprehensive Income
122
Notes to the Balance Sheet
147 Other Disclosures
163 Segment Information