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FINANCIAL AND ACCOUNTING INFORMATION
1. 2016 Consolidated Financial Statements
247
SAINT-GOBAIN
- REGISTRATION DOCUMENT 2016
The following table presents a breakdown of the principal derivatives used by the Group:
(in € millions)
Fair value
Nominal amount by maturity
recorded
in assets
Derivatives
recorded in
liabilities
Derivatives
Dec. 31,
2016
Dec. 31,
2015
Within
1 year
1 to 5
years
Beyond
5 years
2016
Dec. 31,
FAIR VALUE HEDGES
0
0
0
Cash flow hedges
Currency
238
(7)
231
227
2,934
31
0
2,965
Interest rate
0
(70)
(70)
(13)
0
0
387
387
Energy and commodities
5
0
5
(9)
15
2
0
17
Other risks
13
0
13
6
12
69
0
81
CASH FLOW HEDGES – TOTAL
256
(77)
179
211
2,961
102
387
3,450
accounting mainly contracted by
Compagnie de Saint-Gobain
Derivatives not qualifying for hedge
Currency
5
(10)
(5)
3
1,463
12
0
1,475
Interest rate
0
0
0
22
0
0
0
0
Energy and commodities
0
0
0
0
0
0
0
0
DERIVATIVES NOT QUALIFYING
FOR HEDGE ACCOUNTING – TOTAL
5
(10)
(5)
25
1,463
12
0
1,475
TOTAL
261
(87)
174
236
4,424
114
387
4,925
Currency instruments
8.4.1.
Currency swaps
The Group uses currency swaps mainly to convert
euro-denominated funds into foreign currencies for cash
management purposes.
Forward foreign exchange contracts and currency
options
used to hedge foreign currency transactions, particularly
commercial transactions (purchases and sales) and
Forward foreign exchange contracts and currency options are
investments.
Interest rate instruments
8.4.2.
Interest rate swaps
The Group uses interest rate swaps to convert part of its fixed
(variable) rate bank debt and bond debt to variable (fixed)
rates.
Cross-currency swaps
debt).
The Group uses cross-currency swaps to convert foreign
currency debt (euro debt) into euro debt (foreign currency
Energy and commodity instruments
8.4.3.
Energy and commodity swaps
changes in the price of certain purchases used in the Group
subsidiaries’ operating activities, particularly energy (fuel oil,
Energy and commodity swaps are used to hedge the risk of
natural gas and electricity) purchases.
Other risks
8.4.4.
Equity derivatives
performance units long-term incentive plan.
Equity derivatives are used to hedge the risk of changes in
the Saint-Gobain share price in connection with the
Credit value adjustments to derivative
8.4.5.
instruments
calculated in accordance with IFRS 13 based on historical
probabilities of default derived from calculations performed
Credit value adjustments to derivative instruments are
default. At December 31, 2016, credit value adjustments were
not material.
by a leading rating agency and on the estimated loss given
Impact on equity of financial instruments
8.4.6.
qualifying for cash flow hedge accounting
€191 million, consisting mainly of:
At December 31, 2016, the cash flow hedging reserve carried in
equity in accordance with IFRS had a credit balance of
change in the fair value of the currency swaps qualified as
a credit balance of €232 million corresponding to the
cash flow hedges for the acquisition of a controlling
interest in Sika;
a debit balance of €36 million in relation to cross-currency
swaps designated as cash flow hedges that are used to
convert a bond issue into euros.
material.
The ineffective portion of cash flow hedging derivatives is not
At December 31, 2016, the cash flow hedge relating to the
acquisition of a controlling interest in Sika was valued at
€232 million based on a spot exchange rate of €1 for
CHF 1,074. An increase of 10% in this exchange rate would