Olympus 2010 Annual Report Download - page 59

OLYMPUS 2010 57
The counterparties to the derivative financial instruments of the Company and its consolidated subsidiaries are substantial and
creditworthy multi-national commercial banks or other financial institutions that are recognized market makers. Neither the risks of
counterparty non-performance nor the economic consequences of counterparty non-performance associated with these contracts are
considered by the Company to be material.
The following table summarizes the underlying notional transaction amounts, book values and fair values for outstanding derivative
financial instruments by risk category and instrument type as of March 31, 2010 and 2009:
(As of March 31, 2010)
Derivatives for which the hedge accounting is not applied
Millions of yen Thousands of U.S. dollars
Notional amount Book value Fair value Notional amount Book value Fair value
Foreign exchange forward contracts
To buy other currencies ........................... ¥10 ¥ — ¥ — $ 111 $ — $ —
To sell U.S. dollars ................................... 1,281 —(110) 14,233 —(1,222)
To sell other currencies ........................... 30,014 —(485) 333,489 —(5,389)
Foreign exchange option contracts
Put option ................................................ 4,665 138 31 51,833 1,533 344
Foreign currency swap contracts
Receive U.S. dollars/ pay British pounds . . 2,106 —(5) 23,400 —(56)
Receive other currencies/ pay other
currencies ............................................... 6,034 — 1 67,044 —11
Interest rate swap contracts
Receive floating/ pay fixed ....................... 12,918 —(254) 143,533 —(2,822)
The fair value of currency option contracts, currency swap contracts and interest rate swap contracts are estimated by obtaining quotes
from financial institutions. The fair value of foreign exchange forward contracts is estimated based on market prices for contracts with
similar terms.
Derivatives for which the hedge accounting is applied
Millions of yen Thousands of U.S. dollars
Notional amount Book value Fair value Notional amount Book value Fair value
Foreign exchange forward contracts,
accounted for by deferral hedge accounting
To buy U.S. dollars ................................... ¥1,499 ¥ — ¥ (10) $16,656 $ — $ (111)
To buy other currencies ........................... 5,084 —57 56,489 —633
To sell U.S. dollars ................................... 27,860 —(521) 309,556 —(5,789)
To sell other currencies ........................... 19,383 —400 215,367 —4,444
Foreign exchange forward contracts,
accounted for as part of accounts
receivable or accounts payable
To buy U.S. dollars ................................... 40,719 — * 452,433 — *
To buy other currencies ........................... 1 — * 11 — *
To sell U.S. dollars ................................... 8,871 — * 98,567 — *
To sell other currencies ........................... 2,127 — * 23,633 — *
Interest rate swap contracts, accounted for
by deferral hedge accounting
Receive floating/ pay fixed ....................... 40,735 —(484) 452,611 —(5,378)
Interest rate swap contracts, accounted for
by short-cut method
Receive floating/ pay fixed ....................... 363,056 —** 4,033,956 —**
The fair value of currency option contracts, currency swap contracts and interest rate swap contracts are estimated by obtaining quotes
from financial institutions. The fair value of foreign exchange forward contracts is estimated based on market prices for contracts with
similar terms.
*Foreign exchange forward contracts are accounted as part of accounts receivable and payable. Therefore, the fair value of the contracts are included in the fair value of
underlying accounts receivable and accounts payable.
**Interest rate swap contracts are accounted for as part of long-term debt. Therefore, the fair value of the contracts are included in the fair value of underlying long-term
debt.