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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
130
Note 12.5. Derivatives used to hedge interest rate risk
The Group has implemented a policy to monitor and manage interest rate risk for the purpose of limiting the volatility of its net financial
income or expense through the use of hedging instruments.
These derivatives aremainly interest rate swaps and sometimes collars. All these instruments are plain vanilla. The interest rate derivatives
are contracted for the purpose of managing interest rate risk and are either eligible to be used as hedges or not in accordance with IAS 39.
Fair value
As of December 31
2014
2015
(in € millions)
Fair value
Of which, recorded
in equity
Fair value
Of which, recorded
in equity
Cash flow hedge
(2)
(2)
(2)
(2)
Fair value hedge
−
–
(3)
–
No hedge accounting applied
1
–
–
–
Total
(1)
(2)
(5)
(2)
Sensitivity of equity and net income to changes
in fair value
A change in the fair value of interest rate derivatives induced by a
change in the yield curve recognized as of the reporting date would
have the following impact on the Group's equity and net income:
•
impacts recognized in equity relate to the effective portion of the
instruments eligible to be used as hedges of future cash flows;
•
impacts recognized in profit or loss relate to the ineffective portion
of the instruments eligible to be used as hedges of future cash
flows, as well as to the impact of the change in fair value of the
instruments not qualifying as hedges.
Sensitivity to a change applied to the entire yield curve
In 2015 as in 2014, a rate change applied to the yield curve would
not have a material impact on consolidated equity or net income.
Gains and losses related to fair value changes
and shown through profit or loss
Gains and losses shown through profit or loss are related to:
•
the ineffective portion, during the year, of the change in fair value
of instruments designated as cash flow hedges;
•
the effective portion deferred in equity the previous year of
instruments designated as cash flow hedges and recycled to
income during the year.
In 2015 as in 2014, the corresponding amounts are not material.