14.1.
The fair value of derivative financial instruments (see Note 12) as of December 31, 2014 and 2013 is as follows:12.31.14 12.31.13
Note Assets Liabilities Assets Liabilities
Exchange rate derivatives – cash flow hedge 14.2.a 6,017 13,163 6,028 13,519 Interest rate derivatives – cash flow hedge 14.3.a 5,271 215,308 43,889 200,483 Interest rate derivatives – non-hedge accounting 14.3.c - 33,163 - 14,765 Commodity derivatives – cash flow hedge 14.4.a 8,806 30,882 8,948 15,650 Embedded derivatives of convertible bonds and shares options 20.3 745 12,519 2,686 66,765 Total 20,839 305,035 61,551 311,182 Non-current part 5,997 225,298 46,347 266,802 Current part 14,842 79,737 15,204 44,380
Information about the valuation techniques of derivative financial instruments is described in Notes 2.11 and 12. Derivatives classified as non-hedge accounting are those derivative financial instruments which, although obtained for the purpose of hedging certain market risks (interest rates, exchange rates, commodity prices and fair value class B share Abengoa), do not meet the specific requirements established by IAS 39 to be designated as hedging instruments from an accounting point of view (since, at the inception of the hedge, there was no
designation or formal documentation relating to the hedge or the risk management strategy that it was intended to implement) or, having complied with all of the requirements to be designated a hedging instrument, the underlying has been sold or the hedging designation has been interrupted.
Fair value of derivative assets decreased during 2014 mainly due to the unfavorable evolution of hedging interest rate derivatives, as well as, the decrease for classifying derivative financial instruments of Abengoa Yield as financial assets held for sale.
Fair value of derivative liabilities decreased during 2014 due to the reclassification to equity of the fair value of the embedded derivative of the convertible note due in 2019 because in 2014, conversion option meets the definition of equity instrument (see Note 20.3). Additionally, there has been a decrease for classifying derivative financial instruments of Abengoa Yield as financial assets held for sale. These decreases have been partially offset by an increase due to the unfavourable evolution of hedging interest rate derivatives, mainly due to a decrease in the fair value of swaps resulting from the decrease in the future interes rates.
The fair value amount recognized in the Consolidated Income Statement of the 2014 fiscal year for the financial instruments derivatives designated as hedging instruments is a loss of €29,720 thousand (loss of €88,924 thousand in 2013).
Included in the following sections are detailed fair value presentations of each of the categories of derivative financial instruments presented in the table above. The net position of assets and liabilities for each line item of the summary table above reconciles with the net amount of the fair values of collections and payments for exchange rate derivatives, the net amount of the fair values of caps and swaps for interest rates hedges and the net amount of the fair values of commodity price derivatives, respectively.
14.2. Exchange rate hedges
The terms ‘Collection hedges’ and ‘Payment hedges’ refer to foreign currency derivatives designated as hedging instruments of future cash inflows and outflows associated to highly probable forecasted sales and purchase, respectively, denominated in a foreign currency.
The following table shows a breakdown of the notional amounts of the financial instruments relating to amounts receivable and payable in foreign currencies as of December 31, 2014 and 2013:
Collection hedges Payment hedges
Exchange Rates 2014 2013 2014 2013 Krona (Sweden) - - 3,737 1,653 Dirhams (UAE) 8,754 13,222 8,161 7,683 Dirhams (Morocco) - 533 - - Dollar (Australia) - - 194 1,939 Dollar (USA) 105,804 328,421 473,218 226,943 Euro - - - 4,978 Shilling (Kenya) 5,944 - 1,963 - Franc (Switzerland) - - 2,495 - Pound Sterling (UK) - - 24 68 Mexican Peso (Mexico) 7 - 15 8
Yen (Japan) 12 - 31 15
Shekel (Israel) - - 5,330 -
Peso (Uruguay) 244 - - -
Zloty (Poland) 83,308 137,363 27,594 65,647 Total 204,073 479,539 522,762 308,934
The following table shows a breakdown of the fair values of exchange rate derivatives relating to amounts receivable and payable in foreign currencies as of December 31, 2014 and 2013:
Collection hedges Payment hedges
Exchange Rates 2014 2013 2014 2013 Krona (Sweden) - - (254) 2 Dirhams (UAE) (677) 430 639 (289) Dirhams (Morocco) - 4 - - Dollar (Australia) - - 1 (102) Dollar (USA) (3,746) 12,499 2,915 (14,378) Euro - - - 1 Shilling (Kenya) (88) - (2) - Franc (Switzerland) - 27 -
Pound Sterling (UK) - - - 2
Peso (Mexico) - - (1) - Yen (Japan) 1 - (2) (1) Shekel (Israel) - - 105 - Peso (Uruguay) (13) - - - Zloty (Poland) (7,176) (8,555) 1,125 2,896 Total (11,699) 4,378 4,553 (11,869)
a) Cash flow hedges
The table below shows a breakdown of the maturities of notional amounts of exchange rate derivatives designated as cash flow hedges at the end of 2014 and 2013:
12.31.14 12.31.13
Notionals Collections Payments Collections Payments
Up to 1 year 162,596 516,763 404,477 290,853 Between 1 and 2 years 41,477 5,999 45,579 17,616 Between 2 and 3 years - - 29,483 465 Total 204,073 522,762 479,539 308,934
The table below shows a breakdown of the maturities of fair value amounts of exchange rate derivatives designated as cash flow hedges at the end of 2014 and 2013 year end:
12.31.14 12.31.13
Fair value Collections Payments Collections Payments
Up to 1 year (9,151) 4,602 8,714 (11,880) Between 1 and 2 years (2,548) (49) (2,988) 36 Between 2 and 3 years - - (1,348) (25) Total (11,699) 4,553 4,378 (11,869)
The net amount of the fair value of exchange rate derivatives designated as cash flow hedges transferred to the Consolidated Income Statement in 2014 and 2013 has been of €10,443 thousand and €-5,211 thousand, respectively (see Note 18.3).
The ineffective amount recognized in the Consolidated Income Statement for the years 2014 and 2013 with respect to exchange rate derivatives designated as cash flow hedges amounts to €801 thousand and €1,040 thousand, respectively.
The after-tax gains/losses accumulated in equity in connection with exchange rate derivatives designated as cash flow hedges at December 31, 2014 amounted to € -14,317 thousand (€-4,362 thousand in 2013), (see note 18.3).
b) Fair value hedges
The group does not have any exchange rate derivatives designated as fair value hedges at the end of 2014 and 2013.
c)
Non-hedge accounting derivatives
At the end of 2014 and 2013 the Group does not hold any exchange rate non-hedge accounting derivatives instruments.
The net amount of the fair value of exchange rate derivatives charged directly to the Consolidated Income Statement as a result of not meeting all the requirements of IAS 39 to be designated as hedges represented an impact of €266 thousand (€283 thousand in 2013) (see Note 30.2).
14.3. Interest rate hedges
As stated in Note 4 to these Consolidated Financial Statements, the general hedging policy for interest rates is to purchase call options in exchange of a premium to fix the maximum interest rate cost. Additionally, under certain circumstances, the company also uses floating to fixed interest rate swaps.
As a result, the notional amounts hedged, strikes contracted and maturities, depending on the characteristics of the debt on which the interest rate risk is being hedged, can be diverse:
› Corporate Financing: we hedge between 75% and 100% of the notional amount, with maturities up to 2022 and average guaranteed interest rates of between 0.50% and 4.75% for loans referenced to the 1-month, 3-months and 6 months Euribor rates.
› Project debt:
› Project debt in Euros: we hedge between 80% and 100% of the notional amount, maturities until 2032
and average guaranteed interest rates of between 0.55% and 4.88%.
› Project debt in US Dollars: we hedge between 70% and 100% of the notional amount, including
maturities until 2032 and average guaranteed interest rates of between 0.59% and 3.54%.
a) Cash flow hedges
The table below shows a breakdown of the maturities of notional amounts of interest rate derivatives designated as cash flow hedges at the 2014 and 2013 year end:
12.31.14 12.31.13
Notionals Cap / Collar Swap Cap / Collar Swap
Up to 1 year 3,028,195 15,699 3,029,715 231,932 Between 1 and 2 years 2,734,645 17,120 3,033,757 37,190 Between 2 and 3 years 2,842,634 18,164 2,756,511 39,962 Subsequent years 3,236,461 321,656 4,764,796 821,217 Total 11,841,935 372,639 13,584,779 1,130,301
The table below shows a breakdown of the maturity of the fair values of interest rate derivatives designated as cash flow hedges at the 2014 and 2013 year end:
12.31.14 12.31.13
Fair value Cap / Collar Swap Cap / Collar Swap
Up to 1 year (24,762) (5,407) (14,910) (13,219) Between 1 and 2 years (11,841) (5,880) (15,705) 87 Between 2 and 3 years (3,568) (6,295) (1,157) 90 Subsequent years 2,734 (155,018) 36,227 (148,007) Total (37,437) (172,600) 4,455 (161,049)
The net amount of the fair value of interest rate derivatives designated as cash flow hedges transferred to the Consolidated Income Statement in 2014 and 2013 has been of €-84,567 thousand and €-94,226 thousand, respectively (see Note 18.3).
The after-tax gains/losses accumulated in equity in connection with derivatives designated as cash flow hedges at the end of 2014 and 2013 amount to €-253,783 thousand and €-151,733 thousand, respectively (see Note 18.3).
The net amount of the time value component of the cash flow derivatives fair value recognized in the Consolidated Income Statement for the years 2014 and 2013 has been €-17,559 thousand and €21,734 thousand, respectively.
b) Fair value hedges
The Group does not have any interest rate derivatives designated as fair value hedges at the end of 2014 and 2013.
c)
Non-hedges accounting derivatives
The table below shows a detail of the maturities of notional amounts of interest rate derivatives that not meet the requirements to be designed as hedging instruments at the end of 2014 and 2013:
12.31.14 12.31.13
Notionals Floor Floor
Up to 1 year 630,000 - Between 1 and 2 years 300,000 630,000 Between 2 and 3 years 1,500,000 300,000 Subsequent years 315,000 1,815,000 Total 2,745,000 2,745,000
The table below shows a detail of the maturities of fair values of non-hedge accounting interest rate derivatives at the end of 2014 and 2013:
12.31.14 12.31.13
Fair value Floor Floor
Up to 1 year (9,082) - Between 1 and 2 years (4,358) (6,497) Between 2 and 3 years (15,484) (1,993) Subsequent years (4,239) (6,275) Total (33,163) (14,765)
At the end of 2014 and 2013, the net amount of the fair value of interest rate derivatives charged directly to the Consolidated Income Statement as a result of not meeting all the requirements of IAS 39 to be designated as hedges represented an impact of €-18,401 thousand and €533 thousand, respectively (see Note 30.1).
14.4. Commodity price hedges
In relation to hedges of commodity prices, as stated in Note 2.10 of the Consolidated Financial Statements of Abengoa for the year ended on December 31, 2014, the different activities carried on by Abengoa through its different segments (Biofuels and Engineering and construction) expose the group to risks derived from the fair value of certain commodity prices (aluminum, grain, ethanol and gas).
To hedge these risks, Abengoa uses derivative contracts and OTC derivatives for commodity prices.
a) Cash flow hedges
The table below shows a breakdown of the maturities of notional amounts for the commodity price derivatives designated as cash flow hedges at the 2014 and 2013 year end:
Ethanol
(Gallons) (MMbtu) Gas (Bushels) Grain Aluminum (Tons) 2014 Up to 1 year 50,610,000 2,015,989 104,750,000 115,522 Total 50,610,000 2,015,989 104,750,000 115,522 Ethanol (Gallons) Gas (MMbtu) Grain (Bushels) Aluminum (Tons) 2013 Up to 1 year 94,752,000 2,814,591 41,735,000 120,642 Total 94,752,000 2,814,591 41,735,000 120,642
The table below shows a breakdown of the maturities of the fair value of commodity price derivatives designated as cash flow hedges at the 2014 and 2013 year end:
Ethanol Gas Grain Aluminum
2014 (€ thousands)
Up to 1 year (2,733) (1,386) 10,364 (29,418) Total (2,733) (1,386) 10,364 (29,418)
Ethanol Gas Grain Aluminum
2013 (€ thousands)
Up to 1 year 4,587 755 2,715 (14,759) Total 4,587 755 2,715 (14,759)
The net amount of the fair value of commodity price derivatives designated as cash flow hedges transferred to the Income statement in 2014 and 2013 has been of €44,404 thousand and €10,513 thousand, respectively (see Note 18.3).
The after-tax gains/losses accumulated in equity in connection with derivatives designated as cash flow hedges at December 31, 2014 amounted to €-21,288 thousand (€-7,674 thousand in 2013), see Note 18.3.
b) Non-hedge accounting derivatives
At the end of 2014 and 2013, the Group does not hold non-hedge accounting derivative financial instruments of commodity prices.
The net amount of the fair value of commodity prices derivatives charged directly to the Consolidated Income Statement as a result of not meeting all the requirements of IAS 39 to be designed as hedges represented losses of €4,808 thousand (losses of €9,837 thousand in 2013) (see Note 30.3).