IFRS 9 (2014 version), IFRS 7 paras 23A -24F, fair value and cash flow hedge disclosures

Barry Callebaut AG – Annual report – 31 August 2017

 Industry: food and drink

26 Financial risk management (extract)

4 Effect of hedge accounting on the financial position and performance

a) Impact of hedging instruments designated in hedging relationships

The impact of hedging instruments designated in hedging relationships as of August 31, 2017, on the Group’s Consolidated Balance Sheet is as follows:

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barry6b) Impact of hedged items designated in hedging relationships

The impact of hedged items designated in hedging relationships as of August 31, 2017, on the Group’s Consolidated Balance Sheet is as follows:

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barry8c) Impact of the hedging relationships on the Consolidated Income Statement and other comprehensive income

The above hedging relationships affected the Consolidated Income Statement and other comprehensive income, as follows:

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This table includes the changes in the fair value of the hedging instruments recognized in other comprehensive income throughout the entire fiscal year 2016/17 (also including hedge accounting relationships ended before August 31, 2017).

In the fiscal year 2015/16, hedge ineffectiveness of CHF 4.9 million related to hedging of interest rate on EUR 450 million Senior Note has been recorded. The cash flow hedge reserve has been transferred to the Consolidated Income Statement due to the fact that the hedged cash flows are no longer expected to occur.

The table in section “4/a Impact of hedging instruments designated in hedging relationships” (refer to column “Fair value changes of the hedging instrument used as a basis to calculate hedge ineffectiveness”) includes the fair value changes on those hedging instruments that are related to hedge accounting relationships, which were still active at August 31, 2017. 

Fair value hedges

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Certain ineffectiveness can arise during the hedging process. The main sources of hedge ineffectiveness are considered to be timing differences between entering into the hedged items and into the hedging instruments and differences between the maturity profile of the hedged items and the hedging instruments.

The following table provides further information about the effect of cash flow hedges on equity:

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5 Timing, nominal amount and pricing of hedging instruments

As mentioned earlier in this note, the Group’s Risk Management continuously monitors the entities’ exposures to commodity price risk, foreign currency risk and interest rate risk as well as the use of derivative instruments.

The following table provides information about the maturity of the nominal amount and interest rates attached to the swaps held by the Group as of August 31, 2017, to hedge its interest rate risk:

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As of August 31, 2017, the Group held the following cocoa bean futures and other contracts accounted as derivatives to hedge the cocoa price risk exposure on its hedged items:

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As of August 31, 2017, the Group held the following sugar futures to hedge the sugar price risk exposure on its forecasted sugar purchases:

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As of August 31, 2017, the Group held the following fuel oil swaps to hedge the fuel oil price risk exposure on its forecasted freight expenditures:

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Information about the foreign exchange forwards and futures in case of the major foreign currency hedging pairs held by the Group as of August 31, 2017, to hedge its foreign exchange risk:

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