Porsche 2010 Annual Report Download - page 202
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Financials
200
4 Market risk
4.1 Hedging policy and financial derivatives
In the reporting period, the Porsche SE group was exposed to interest rate and stock price
risks as well as risks from put and call options for the remaining shares held by Porsche SE in
Porsche Zwischenholding GmbH. The risks arise from financing activities, the cash-settled options
relating to Volkswagen AG shares which were still held in the reporting year but had been disposed
of in full by the reporting date, changes in the enterprise value of Porsche Zwischenholding GmbH
and to a small extent from cash investments. It is company policy to exclude or limit these risks by
entering into hedge transactions in some cases. All necessary hedging activities are coordinated by
Porsche SE’s finance department.
The nature and volume of hedging transactions is generally chosen with regard to the
hedged item. Hedging transactions may only be concluded to hedge existing underlyings or fore-
cast transactions. Only financial instruments approved by type and volume may be entered into.
There are no significant concentrations of risk that are not evident from the notes to the fi-
nancial statements and management report.
The market price risk from interest hedging and from the put and call option relating to the
shares in Porsche Zwischenholding GmbH remaining with Porsche SE was calculated using a sensi-
tivity analysis. In the comparative period, the market price risk was also presented using a value-at-
risk model for stock price risks.
The sensitivity analysis calculates the effect on equity and profit or loss by modifying risk
variables within the respective market risk. In the value-at-risk calculation, a historical simulation
was used to determine the potential change in market price. The value at risk shows the potential
future loss of a certain portfolio over a predefined period of time (retention period) with certain
probabilities which are not likely to be exceeded. The degree of risk does not, however, give any
information about the distribution and anticipated loss, if it is actually exceeded.