Interest Rate Swaps
Currency Swaps
FINANCIAL STATEMENTS
Fair value hedges
In 2014, Delhaize Group repaid at maturity the remaining amount (€215 million) of the €500 million, 5.625% fixed interest rat e
senior notes, see Note 18.1, alongside with settling the matching interest rate swap arrangements, which were part of a fair value
hedging relationship of the underlying debt.
The Group designated and documented the below transactions as fair value hedge as of December, 31 2014:
Maturity Hedging
YearHedged Item Hedged Risk Hedged AmountHedging InstrumentInstrument
2014
$450 million senior notes, 6.50%
fixed interest rate, issued in 2007
Fair value
changes
$100 million
Interest Rate Swaps, LIBOR 3-
month floating rate
2017
$827 million senior notes, 5.70%
fixed interest rate, issued in 2010
Fair value
changes
$50 million
Interest Rate Swaps, LIBOR 3-
month floating rate
2017
2012
$300 million senior notes, 4.125%
fixed interest rate, issued in 2012
Fair value
changes
$300 million
Interest Rate Swaps, LIBOR 3-
month floating rate
2019
€400 million senior notes, 3.125% Fair value emn 'II' Interest Rate Swaps, EURIBOR 3-
fixed interest rate, issued in 2012 changes mi ion month floating rate
Hedge effectiveness for fair value hedges is tested using regression analysis. Credit risks are not part of the hedging
relationships. The testing did not result in any material ineffectiveness. Changes in fair values on the hedging instruments and
hedged items were recognized in the income statement as finance costs as follows (see Note 29.1):
December 31,
(in millions of
Note
2014
2013
2012
Losses (gains) on
Interest rate swaps ("hedging instruments")
29.1
(5)
22
(6)
Related debt instruments ("hedged risks")
29.1
5
(22)
3
Total
(3)
Economic hedges
Following the refinancing transaction in 2012, €285 million of the initial 2014 €500 million fair value hedge no longer qualified for
hedge accounting and were accounted for as freestanding derivatives. The Group entered into offsetting interest rate swaps, on
which the Group paid a fixed interest rate of 1.80% and received a floating interest rate EURIBOR 3-months, in order to offset the
changes in future interest cash flows on a notional amount of €191 million. During 2014, these interest rate swaps matured an d
did not result in any material profit or loss impact.
Discontinued cash flow hedges
In 2001, the Group recorded a deferred loss ($16 million) on the settlement of a hedge agreement related to securing financing
for the Hannaford acquisition by Delhaize America. In 2007, as a result of the debt refinancing and the consequent
discontinuance of the hedge accounting, Delhaize Group recorded a deferred gain (€2 million). Both the deferred gain/loss wer e
recorded in OCI ("discontinued cash flow hedge reserve") and amortized to finance costs over the term of the underlying debt,
which matures in 2031 and 2017, respectively.
The Group uses currency swaps to manage some of its currency exposures.
Discontinued cash flow hedge
In 2009, Delhaize Group issued a $300 million bond with a 5.875% fixed interest rate and a 5-year term ("hedged item"),
exposing Delhaize Group to currency risk on dollar cash flows ("hedged risk"). In order to hedge that risk, Delhaize Group
swapped 100% of the proceeds to a euro fixed rate liability with a 5-year term ("hedging instrument"). In 2012, following the
refinancing and exercise of early redemption option on the $300 million senior notes due 2014 (see Note 18.1), the Group
discontinued hedge accounting prospectively and recycled the outstanding amount from the cash flow hedge reserve related to
those transactions to profit and loss (see Note 29.1).
Economic hedges
Delhaize Group enters from time to time into other currency swap contracts, which are not designated as cash flow, fair value or
net investment hedges. Those contracts are generally entered into for periods consistent with currency transaction exposures
where hedge accounting is not necessary, as the transactions naturally offset the exposure hedged in profit or loss.
Consequently, the Group does not designate and document such transactions as hedge accounting relationships.
In 2012, and simultaneously to entering into interest rate swaps for the 4.125% senior notes due 2019 (see above), the Group
also entered into cross-currency swaps, exchanging the principal amount ($300 million for €225 million) and interest payments
