Subsidiary company
Instrument
Fair value
31.12.2012
Fair value
31.12.2011
Outstanding notionals / Amount
Financial
Financial
31.12.2012 31.12.2013 31.12.2014 31.12.2015
and subsequent
Efficient hedges
NH FINANCE, S.A.
Collar
-
(376)
-
-
-
-
NH FINANCE, S.A.
IRS
(5,690)
-
316,083
284,475
252,866
189,650
Total efficient hedges
(5,690)
(376)
316,083 284,475 252,866
189,650
Inefficient hedges
NH FINANCE, S.A.
Options
-
(1,224)
-
-
-
-
Donnafugata Resort
Cap
(124)
(184)
12,259
11,187
10,634
-
Total inefficient hedges
(124)
(1,408)
12,259
11,187
10,634
-
Total hedges
(5,814)
(1,784)
328,342 295,662 263,500
189,650
In order to determine the fair value of interest rate derivatives (IRS, collars and others), the Group uses discounted cash flow on the basis of the implicit
rates determined by the euro interest rate curve according to market conditions on the date of valuation.
These financial instruments have been classified as level 2 instruments in accordance with the calculation hierarchy established in the IFRS 7.
Efficient hedges
The Group hedges the interest-rate risk of part of the syndicated loan (through NH Finance, S.A.) and other variable interest-rate loans in euros,
through interest rate swaps (IRS). In IRS, interest rates are swapped so that the Group receives a variable interest rate from the bank (3-month Euribor
rate) in exchange for a fixed interest payment for the same nominal amount. The variable interest rate received from the derivative offsets the interest
payment of the financing line being hedged. The end result is a fixed interest payment for the financing line hedged.
In 2012, the Group signed interest-rate swap agreements for €316 million, equivalent to 100% of the A1 tranche of the syndicated loan for NH Finance,
S.A., at an average rate of 1.02%.
The figure booked in Shareholders’ Equity as the effective part of the cash flow hedging relationships of the IRS, net of any taxes, totalled minus
€5,314 thousand at 31 December 2012 (plus €6,201 thousand at 31 December 2011).
Inefficient hedges
The Group hedges the interest-rate risk of part of its euro loans, using a Cap interest-rate option. The Cap hedging agreement sets a maximum
interest-rate limit in exchange for a premium. If the interest rates exceed this limit, the financial institution will pay the Group the differential laid down
in the agreement.
The change in the fair value of this interest-rate derivative contributed €62 million in 2012 (€27 million in 2011) to the consolidated comprehensive
profit and loss statement.
The financial instrument contracted by NH Finance, S.A. in relation to the syndicated loan, whereby the Company was paying the bank an interest rate
varying between 3.2% and 4.2%, provided the Euribor rate touched a specific fixed limit of between 2.65% and 3.50%, matured on 2 February 2012.
The effect of settling this hedge contributed €1,224 thousand to the consolidated comprehensive profit and loss statement for 2012.
19.2
Sensitivity analysis of derivative financial instruments
Interest rate sensitivity analysis
Changes in the fair value of the interest rate derivatives contracted by the Group depend on the long-term change in the euro interest rate curve.
The fair value of these derivatives totalled minus €5,814 thousand at 31 December 2012 (€1,784 thousand at 31 December 2011).
The details of the sensitivity analysis on the fair values of the derivatives contracted by the Group at year-ends 2012 and 2011 in both Shareholders’
Equity (“efficient hedges”) as well as in Profit (Loss) (“inefficient hedges”) are shown below:
Sensitivity
€ Thousand
Shareholders’ Equity
Profit (Loss)
2012
2011
2012
2011
+0.5% (rise in the rate curve)
3,790
-
1
10
-0.5% (
fall in the rate curve)
(3,790)
-
(1)
(5)
92
REPORT ON THE CONSOLIDATED
FINANCIAL STATEMENTS
