Note 33
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Derivative financial instruments
The fair value hedge relates to the interest rate swap that hedges fair value interest rate risk on a fixed rate debt. Interest rate
swaps designated as cash flow hedges are used to hedge cash flow interest rate risk on floating rate debt. Cross-currency
swaps accounted for as cash flow hedges are used to hedge currency and cash flow interest rate risk on fixed and floating
debt denominated in foreign currency. Foreign currency forwards and swaps designated as cash flow hedges are used to
hedge the variability in future cash flows denominated in foreign currencies. The number and maturities of derivative
contracts, the fair values and the qualification of the instruments for accounting purposes are presented in the table below:
December31, 2006
January 1, 2006
Contracts
Assets
Liabilities
Contracts
Assets
Liabilities
Interest rate swap - fair value hedge
from one year to five years
1
47
Total interest rate swap - fair value hedge
1
47
Interest rate swaps - cash flow hedges
from one year to five years
from five years to 10 years
1
1
1
2
2
1
1
Total interest rate swaps - cash flow hedges
2
3
3
1
Cross-currency swaps - cash flow hedges
up to one year
from five years to 10 years
greater than 10 years
1
1
156
(158)
1
1
1
140
(21)
(161)
Total cross-currency swaps - cash flow hedges
2
156
(158)
3
140
(182)
Foreign currency forwards and swaps - cash flow hedges
up to one year
from one year to five years
56
46
(8)
(11)
76
106
1
(5)
(13)
Total foreign currency forwards and swaps - cash flow hedges
102
(19)
182
1
(18)
Derivative contracts - no hedge accounting treatment
up to one year
from one year to five years
greater than 10 years
CM CO CM
CO
1
27
137
(2)
(9)
(5)
29
3
2
97
(5)
(1)
Total derivative contracts - no hedge accounting treatment
47
165
(16)
34
97
(6)
Total derivative financial instruments
153
324
(193)
223
286
(206)
Ahold Annual Report 2006 109
