Porsche 2008 Annual Report Download - page 222

To our shareholders The Company
220
As of 31 July 2009, the value at risk for interest rate risk was €46 million and €99 million for
foreign currency risk.
The entire value at risk for interest rate and foreign currency risk in the financial services division
was €108 million.
5. Methods for monitoring hedge effectiveness
At the inception of a hedge relationship, the group formally designates and documents the hedge
relationship to which the group wishes to apply hedge accounting and the risk management objec-
tive and strategy for undertaking the hedge. The documentation includes identification of the
hedging instrument, the hedged item or transaction, the nature of the risk being hedged and how
the entity will assess the hedging instrument’s effectiveness in offsetting the exposure to changes
in the hedged item’s fair value or cash flows. At the Porsche group, the effectiveness of hedges is
permanently monitored both prospectively and retrospectively. Both the critical terms match method
and statistical methods in the form of regression analysis are used to prospectively measure
effectiveness. Retrospective analysis of effectiveness uses effectiveness tests in the form of the
dollar offset method or a regression analysis.
Under the dollar offset method, the changes in value of the hedged item expressed in monetary
units are compared with the changes in value of the hedging instrument expressed in monetary units.
Where regression analysis is used, the change in value of the hedged item is presented as an
independent variable, and that of the hedging instrument as a dependent variable. Currency trans-
actions are classified as effective hedge relationships if they have sufficient coefficients of deter-
mination and slope factors.
Notional amount of derivative financial instruments:
As a result of the sale of stock options shortly after the balance sheet date, the notional amounts
of the stock price derivatives both on the assets and liabilities side decrease to €1,579 million.
Notional amount
€ million
Due within
one year
Due in
one to
five years
Due in more
than five
years
Total
notional
amount
31 July 2009
Total
notional
amount
31 July 2008
Currency derivatives 25,441 29,832 50 55,323 15,816
Interest derivatives 17,166 39,134 2,114 58,414 6,203
Commodity futures contract 463 867 33 1,363 0
Stock price derivatives with
positive carrying amount 8,575 0 0 8,575 26,019
Stock price derivatives with
negative carrying amount 8,575 0 0 8,575 31,009
60,220 69,833 2,197 132,250 79,047