Volvo 2011 Annual Report Download - page 129

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Below is a presentation of derivative instruments and options of financial and commercial receivables and liabilities.
Outstanding derivative instruments for dealing with
currency and interest-rate risks related to financial
assets and liabilities
Dec 31,2011 Dec 31,2010
SEK M Notional amount Carrying value Notional amount Carrying value
Interest-rate swaps
– receivable position 76,383 4,024 70,067 3,539
– payable position 68,046 (3,450) 65,576 (3,924)
Forwards and futures
– receivable position 7,155 0 900 0
– payable position 6,908 0 400 0
Foreign exchange derivative contracts
– receivable position 18,520 227 13,336 143
– payable position 33,005 (642) 25,192 (381)
Options purchased
– receivable position 991 231 1,126 181
– payable position 104 0 0 0
Options written
– receivable position 89 0 0 0
– payable position 978 (231) 976 (182)
Total 159 (624)
Outstanding forward contracts and
options contracts for hedging of
currency risk and interest risk of
commercial receivables and liabilities
Dec 31, 2011 Dec 31, 2010
SEK M Notional amount Carrying value Notional amount Carrying value
Foreign exchange derivative contracts
– receivable position 2,444 54 6,418 188
– payable position 5,145 (200) 3,381 (75)
Options purchased
– receivable position 3,521 53 558 9
– payable position – – – –
Options written
– receivable position – – – –
– payable position 3,532 (79) 558 (4)
Subtotal (172) 118
Raw materials derivative contracts
– receivable position (227) 68 579 168
– payable position 693 (134) 39 (41)
Total (238) 245
Hedge accounting – supplementary information
Hedging of forecast electricity consumption
In 2011, Volvo recognized 4 (4) related to the ineffectiveness of the hedg-
ing of forecasted electricity.
Hedging of currency and interest rate risks on loans
Fair value of the hedge instruments outstanding amounts to 1,484
(1,168). The carrying amount of the loan related to hedge accounting
amounts to a negative 1,285 (neg: 977). The changes in the fair value of
the hedge instruments outstanding and the changes in the carrying
amount of the loan are reported in profit and loss.
Hedging of net investments in foreign operations
A total of negative 205 (neg: 202) in shareholders’ equity relating to
hedging of net investments in foreign operations was recognized in 2010.
125