30 Financial risk management and financial instruments continued
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Ahold
Annual Report 2010
Group at a glance
Performance
Governance
Financials
Notes to the consolidated financial statements continued
Derivatives
The fair values, notional amounts, the maturities, and the qualification of the derivative financial instruments for accounting purposes are
presented in the table below:
January 2, 2011 January 3, 2010
million
Maturity
i
Assets
=air value
Liabilities
Notional
amount
Assets
Fair value
Liabilities
Notional
amount
Forward foreign currency contracts1
Within 1 year
1
11
Total fair value hedges
1
11
Forward foreign currency contracts2
Within 1 year
2
82
1
58
Cross-currency swaps3
Between 1-5 years
151
407
173
407
Cross-currency swaps3
After 5 years
(69)
304
(124)
248
Total cash flow hedges
153
(69)
793
174
(124)
713
Forward foreign currency contracts4
Within 1 year
(4)
52
(1)
28
Total net investment hedges
(4)
52
(1)
28
Forward foreign currency contracts
Within 1 year
1
2
Interest rate swaps
After 5 years
39
2926
26
2826
Cross-currency swaps5
After 5 years
156
2926
136
2826
Total derivatives - no hedge
accounting treatment
195
2936
162
2846
Total derivative financial
instruments
348
(73)
1,139
336
(125)
1,036
1 Foreign currency forwards designated as fair value hedges are used to hedge the fair value of financial liabilities in foreign currencies.
2 Foreign currency forwards designated as cash flow hedges are used to hedge the future cash flows denominated in foreign currencies.
3 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.
4 Foreign currency forwards accounted for as net investment hedges are used to hedge cash flow currency risk on a dividend flow from ICA.
5 As of January 2, 2011, the valuation of the cross-currency swaps (assets) includes the impact of the mark-to-market valuation of an embedded credit clause in a GBP 250 million
cross-currency swap in the amount of €10 million. The volatility in the financial markets resulted in a €3 million loss related to this credit clause in the year 2010 (€13 million gain in
2009).
6 Interest rate swap and cross-currency interest rate swap relate to the same notional amount of GBP 250 million.
Gains and losses recognized in cash flow hedging reserve in equity as of January 2, 2011 mainly relate to the swap on the JPY 33,000
notes and will be released to the income statement over a period lasting until 2031.
