Loreal 2011 Annual Report Download - page 136
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134 REGISTRATION DOCUMENT − L’ORÉAL 2011
42011 Consolidated Financial Statements
Notes to the consolidated nancial statements
The market values by type of hedging are as follows:
€ millions
2011 2010 2009
Fair value hedges(1) -5.4 -18.7 3.8
Cash flow hedges -31.8 -20.1 -15.8
Net foreign investment hedges - - -
Total -37.2 -38.8 -12.0
(1) Fair value hedges relate to currency risks on operating receivables and payables as well as on foreign currency investments and financing.
The fair value of the derivatives is their market value.
The Group has no significant foreign currency exposures that are not hedged in the balance sheet.
24.2. Hedging of interest rate risk
The Group mainly refinances at floating rates and uses
interest rate derivatives to reduce net exposure to interest
rate risk. Interest rate derivatives are never held for speculative
purposes.
The derivatives are mainly swaps and interest rate options
(purchase of caps) which are traded with specific
counterparties.
The market values of the derivatives set out below should
be compared with the market values of the debt that they
hedge.
Interest rate derivatives are as follows:
€ millions
Interest rate derivatives
Notional Market value
12.31.2011 12.31.2010 12.31.2009 12.31.2011 12.31.2010 12.31.2009
Cash flow hedges
Fixed-rate borrower interest rate swaps
EUR Euribor/fixed rate - 14.3 15.2 - -1.7 -1.8
USD Libor/fixed rate ------
Purchase of caps
USD Libor ------
Fair value hedges
Floating-rate borrower interest rate
swaps
EUR Euribor/fixed rate ------
Total - 14.3 15.2 - -1.7 -1.8
The fair value of interest rate derivatives is their market value. The market value of interest rate derivatives is calculated by discounting
future flows at the interest rate prevailing at the balance sheet date.
Maturities of interest rate derivatives broken down by type of hedge are as follows:
€ millions
Nominal by maturity
12.31.2011 12.31.2010 12.31.2009
< 1
year
1 to 5
years
> 5
years Total
< 1
year
1 to 5
years
> 5
years Total
< 1
year
1 to 5
years
> 5
years Total
Cash flow hedges
Fixed-rate borrower interest
rateswaps - - - - 1.0 4.6 8.7 14.3 0.9 4.3 10.0 15.2
Purchase of caps - - - - - - - - - - - -
Fair value hedges
Floating-rate borrower
interest-rate swaps - - - - - - - - - - - -
Total - - - - 1.0 4.6 8.7 14.3 0.9 4.3 10.0 15.2