Mercedes 2009 Annual Report Download - page 241

Consolidated Financial Statements |Notes to Consolidated Financial Statements |237
The following table provides an insight into how the liquidity
situation of the Group is affected by the cash flows from financial
liabilities and financial guarantees as of December 31, 2009.
Finance market risks
The global nature of its businesses exposes Daimler to signifi-
cant market risks resulting from fluctuations in foreign currency
exchange rates and interest rates. In addition, the Group is
exposed to market risks in terms of commodity price risk associ-
ated with its business operations, which the Group hedges
partially through derivative financial instruments. The Group
is also exposed to equity price risk. If these market risks
materialize, they will adversely affect the Group’s financial
position, cash flows and profitability.
Daimler manages market risks to minimize the impact of fluc-
tuations in foreign exchange rates, interest rates and commodity
prices on the results of the Group and its segments. The Group
calculates its overall exposure to these market risks to provide the
basis for hedging decisions, which include the selection of
hedging instruments and the determination of hedging volumes
and the corresponding periods. Decisions regarding the man-
agement of market risks resulting from fluctuations in foreign
exchange rates, interest rates (asset-/liability management)
and commodity prices are regularly made by the relevant Daimler
risk management committees.
As part of its risk management system, Daimler employs value
at risk analyses as recommended by the Bank for International
Settlements. In performing these analyses, Daimler quantifies
its market risk exposure to changes in foreign currency exchange
rates, interest rates and equity prices on a continuous basis by
predicting the maximum loss over a target time horizon (holding
period) and confidence level.
The value at risk calculations employed:
– express potential losses in fair values, and
– assume a 99% confidence level and a holding period of five
days.
Daimler calculates the value at risk for exchange rate, interest rate
and equity price risk according to the variance-covariance
approach. The value at risk calculation method for commodity
hedging instruments is based on the Monte Carlo simulation.
When calculating the value at risk by using the variance-covariance
approach, Daimler first computes the current fair value of the
Group’s financial instruments portfolio. Then the sensitivity of the
portfolio value to changes in the relevant market risk factors,
such as particular foreign currency exchange rates or interest rates
of specific maturities, is quantified. Based on expected volatilities
and correlations of these market risk factors which are obtained
from the RiskMetrics™ dataset, a statistical distribution of
potential changes in the portfolio value at the end of the holding
period is computed. The loss which is reached or exceeded
with a probability of only 1% can be deduced from this calculation
and represents the value at risk.
The Monte Carlo simulation uses random numbers to generate
possible changes in market risk factors over the holding period.
The changes in market risk factors indicate a possible change in
the portfolio value. Running multiple repetitions of this simulation
leads to a distribution of portfolio value changes.
≥ 201520142013201220112010Total
4,686
2
–
129
–
–
4,817
4,940
26
–
74
–
–
5,040
4,511
36
–
160
–
–
4,707
8,168
130
–
702
166
–
9,166
16,285
363
7
614
686
–
17,955
27,237
729
5,615
7,175
735
1,493
42,984
65,827
1,286
5,622
8,854
1,587
1,493
84,669
Financing liabilities2
Derivative financial instruments3
Trade payables4
Other financial liabilities excluding derivatives
Irrevocable loan commitments of the Daimler Financial
Services segment and of Daimler AG5
Financial guarantees6
Total
1 The values were calculated as follows:
(a) If the counterparty can request payment at different dates, the liability is included on the basis of the earliest date on which Daimler can be required to pay. The customer deposits of
Mercedes-Benz Bank are considered in this analysis to mature within the first year.
(b) The cash flows of floating interest financial instruments are estimated on the basis of forward rates.
2 The stated cash flows of financing liabilities consist of their undiscounted principal and interest payments.
3 The undiscounted sum of the net cash outflows of the derivative financial instruments are shown for the respective year. For single time bands, this may also include negative cash flows from
derivatives with an overall positive fair value.
4 The cash outflows of trade payables are undiscounted.
5 The maximum available amounts are stated.
6 The maximum potential obligations under the issued guarantees is stated. It is assumed that the guarantees are called within the first year.
in millions of €
Liquidity runoff 1