DHL 2011 Annual Report Download - page 210

In total, currency forwards and currency swaps with a
notion al amount of  , million (previous year:  , million)
were outstanding at the balance sheet date.  e corresponding fair
value was – million (previous year: – million).  ere were
no currency options at the end of  (previous year:   mil-
lion).  e Group also held cross-currency swaps with a notional
amount of   million (previous year:   million) and a fair
value of – million (previous year – million) to hedge long-
term foreign currency  nancing.
Currency risks resulting from translating assets and liabilities
of foreign operations into the Group’s currency (translation risk)
were not hedged as at  December .
Of the unrealised gains or losses from currency derivatives
recognised in equity as at  December  in accordance with
 , – million (previous year: – million) is expected to be
recognised in income in the course of .
  requires the disclosure of quantitative risk data, show-
ing how pro t or loss and equity are a ected by changes in exchange
rates at the reporting date.  e impact of these changes in exchange
rates on the portfolio of foreign currency  nancial instruments is
assessed by means of a value at risk calculation (  con dence /
one-month holding period). It is assumed that the portfolio as at
the reporting date is representative for the full year.
E ects of hypothetical changes in exchange rates on trans-
lation risk do not fall within the scope of  .  e following as-
sumptions are used as a basis for the sensitivity analysis:
Primary  nancial instruments in foreign currencies used by
Group companies were hedged by Deutsche Post ’s in-house
bank, with Deutsche Post  setting and guaranteeing monthly
exchange rates. Exchange rate-related changes therefore have no
e ect on the pro t or loss and equity of the Group companies.
Where, in individual cases, Group companies are not permitted to
participate in in-house banking for legal reasons, their currency
risks from primary  nancial instruments are fully hedged locally
through the use of derivatives.  ey therefore have no impact on
the Group’s risk position.
    
 e international business activities of Deutsche Post DHL
expose it to currency risks that are split internally for risk manage-
ment purposes into balance sheet risks and currency risks from
planned future transactions.
Balance sheet currency risks arise from the measurement and
settlement of items in foreign currencies that have been recognised
if the exchange rate on the measurement or settlement date di ers
from the rate on recognition.  e resulting foreign exchange dif-
ferences directly impact pro t or loss. In order to mitigate this im-
pact as far as possible, all signi cant balance sheet currency risks
within the Group are centralised at Deutsche Post  through the
in-house bank function.  e centralised risks are aggregated by
Corporate Treasury to calculate a net position per currency and
hedged externally based on value at risk limits.  e currency-
related value at risk (  / one-month holding period) for the port-
folio concerned totalled   million (previous year:   million) at
the reporting date; the limit was a maximum of   million.
 e notional amount of the currency forwards and currency
swaps used to manage balance sheet currency risks amounted to
 , million at the reporting date (previous year:  , mil-
lion); the fair value was – million (previous year: – million).
For simpli cation purposes, fair value hedge accounting was not
applied to the derivatives used, which are reported as trading
derivatives instead.
Planned currency risks arise from the settlement of future
foreign currency transactions at exchange rates that may di er
from the rates originally planned or calculated.  ese currency
risks are also captured and managed centrally in Corporate Treas-
ury.  e goal is to hedge   to   of the net risk per foreign cur-
rency and thereby to hedge the originally planned exchange rates.
At the reporting date, around   of the foreign currency risk for
current transactions in  was hedged.  e relevant hedging
transactions are recognised using cash  ow hedge accounting; see
Note . (Cash  ow hedges).
Deutsche Post DHL Annual Report 
204