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4.1 CONSOLIDATED FINANCIAL STATEMENTS AND NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
Note 12. Organization of financial risks and derivatives management
DANONE
REGISTRATION DOCUMENT 2015
128
Net notional amount of derivative instruments on principal hedged currencies
As of December 31
2014
2015
(in € millions)
Forward
contracts,
net
(a)
Currency
options,
net
(b)
Total
Forward
contracts,
net
(a)
Currency
options,
net
(b)
Total
(Sales)/Purchases of currencies
GBP
(505)
(131)
(636)
(485)
(167)
(652)
USD
(c)
341
(27)
314
408
(39)
369
MXN
(c)
(138)
–
(138)
(137)
–
(137)
BRL
(c)
(143)
–
(143)
(117)
–
(117)
AUD
(c)
(66)
–
(66)
(115)
–
(115)
RUB
(c)
(36)
–
(36)
(88)
–
(88)
Other
(c)
(819)
(8)
(827)
(620)
(17)
(636)
Total
(1,366)
(166)
(1,532)
(1,153)
(223)
(1,376)
(a) Spot portion of notional amount, based on closing rates.
(b) Spot portion of notional amount, includes in- and out-of-the-money options.
(c) Transactions denominated with the EUR or other currencies as counterpart.
Sensitivity of equity and net income to changes in fair value
A change in the fair value of the derivative financial instruments hedging the operating currency risk, induced by a change in foreign
exchange rates, could impact the Group's equity and net income. The impact recognized in profit or loss relates to:
•
the time value and swap point variations, when they are excluded from the hedging relationship;
•
transactions to which hedge accounting is not applied.
Sensitivity to a change in the euro against currencies with exchange rate exposure
As of December 31
2014
2015
Equity
Gain (loss)
Equity
Gain (loss)
10% increase in EUR
(a)
GBP
54
(1)
59
(2)
USD
(b)
11
(6)
(2)
−
MXN
(b)
–
–
1
−
BRL
(b)
3
1
2
1
AUD
(b)
6
–
10
−
RUB
(b)
–
–
6
−
10% decrease in EUR
(a)
GBP
(56)
(2)
(60)
(4)
USD
(b)
(14)
8
4
(1)
MXN
(b)
–
–
(1)
−
BRL
(b)
(4)
(1)
(3)
(1)
AUD
(b)
(7)
–
(12)
−
RUB
(b)
–
–
(8)
−
(a) Increase/decrease in EUR applied to transactions that are outstanding and at constant interest rate volatility.
(b) Transactions denominated with the EUR or other currencies as counterpart. In the case of transactions denominated in currencies other than the EUR, the
increase or decrease in the EUR is applied to the base currency and the secondary currency.
These instruments and the hedged items typically have maturities of less than one year. Consequently the cash flows related to these
instruments will, for the most part, be recognized in the consolidated income statement in 2016.