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This excerpt taken from the ICI 6-K filed Mar 21, 2007. Market risk – Foreign currency sensitivity The sensitivity analysis in the table which follows assumes an instantaneous 10% change in foreign currency exchange rates against Sterling from their levels at 31 December 2006, with all other variables (including interest rates and currency option volatility) held constant.
The Group’s debt after financial derivatives at the 2006 year end was held 60% in US dollars and related currencies, 51% in Euro and related currencies, 10% in Yen and (21)% in other currencies. Changes from movements in currency rates in loans, currency swaps and forward contracts hedging debt, and similar movements in the values of the investments being hedged, are taken through the Statement of Group recognised income and expense in accordance with IAS 21 The Effects of Changes in Foreign Exchange Rates and IAS 39 Financial Instruments: Recognition and Measurement. Changes due to exchange movements in forward contracts hedging working capital are recognised in trading profit immediately, but are offset by gains/losses on the working capital they are hedging.
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