Additional disclosures on financial instruments

T 099
 
    2015/2016 2014/2015
                           
      Measurement in the statement of
financial position under IAS 39
      Measurement in the statement of
financial position under IAS 39
   
                           
Carrying amounts, measurement and fair values analyzed by measurement categories
in € thousand
Measurement
category under
IAS 39
Carrying amount
9/30/2016
Amortized
cost
Fair value
recognized in
equity
Fair value
recognized in
profit or loss
Measurement
in the statement
of financial
position under
IAS 17
Fair value
9/30/2016
Carrying amount
9/30/2015
Amortized cost Fair value
recognized
in equity
Fair value
recognized in
profit or loss
Measurement in
the statement of
financial position
under IAS 17
Fair value
9/30/2015
                           
Assets                          
Interests in affiliated companies AfS 1,418 1,418 0 0 0 n/a 1,418 1,418 0 0 0 n/a
Investments AfS 637 637 0 0 0 n/a 744 744 0 0 0 n/a
Fixed asset securities AfS 21,311 0 21,311 0 0 21,311 24,318 0 24,318 0 0 24,318
Other financial fixed assets                          
Other loans LaR 48 48 0 0 0 48 92 92 0 0 0 92
Trade accounts receivable LaR 242,106 242,106 0 0 0 242,106 306,905 306,905 0 0 0 306,905
Other receivables and financial assets                          
Receivables from related parties LaR 14,575 14,575 0 0 0 14,575 12,057 12,057 0 0 0 12,057
Other financial assets LaR 51,147 51,147 0 0 0 51,147 78,926 78,926 0 0 0 78,926
Derivative financial assets                          
Derivatives without a hedging relationship FAHfT 30,356 0 0 30,356 0 30,356 61,629 0 0 61,629 0 61,629
Derivatives with a hedging relationship (hedge accounting) n/a 2,488 0 2,488 0 0 2,488 513 0 513 0 0 513
Cash and cash equivalents LaR 471,874 471,874 0 0 0 471,874 452,971 452,971 0 0 0 452,971
 
Equity and liabilities                          
Bank borrowings FLAC 477,434 477,434 0 0 0 493,376 487,187 487,187 0 0 0 501,927
Liabilities from finance leases n/a 17,809 0 0 0 17,809 17,809 18,912 0 0 0 18,912 18,912
Trade accounts payable FLAC 797,710 797,710 0 0 0 797,710 761,409 761,409 0 0 0 761,409
Payables to related parties FLAC 2.157 2,157 0 0 0 2,157 5,613 5,613 0 0 0 5,613
Other non-derivative financial liabilities FLAC 83,693 83,693 0 0 0 83,693 69,301 69,301 0 0 0 69,301
Derivative financial liabilities                          
Derivatives without a hedging relationship FLHfT 35,232 0 0 35,232 0 35,232 108,835 0 0 108,835 0 108,835
Derivatives with a hedging relationship (hedge accounting) n/a 7,462 0 7,462 0 0 7,462 30,889 0 30,889 0 0 30,889
thereof aggregated by measurement categories in accordance with IAS 39                          
Loans and receivables (LaR)   779,750 779,750 0 0 0 779,750 850,951 850,951 0 0 0 850,951
Available-for-sale (AfS)   23,366 2,055 21,311 0 0 21,311 26,480 2,162 24,318 0 0 24,318
Financial assets held for trading (FAHfT)   30,356 0 0 30,356 0 30,356 61,629 0 0 61,629 0 61,629
Financial liabilities at amortized cost (FLAC)   1,360,994 1,360,994 0 0 0 1,376,936 1,323,510 1,323,510 0 0 0 1,338,250
Financial liabilities held for trading (FLHfT)   35,232 0 0 35,232 0 35,232 108,835 0 0 108,835 0 108,835

The market value of financial instruments to be recognized at fair value is as a general rule determined on the basis of quotations on the metal or other relevant exchanges. If no such quotations are available, measurement is carried out applying a process that is customary for the market (measurement methods), based on instrument-specific market parameters and interest rates drawn from recognized sources.

If observable input parameters are not available or only partially available, the fair value is calculated on the basis of appropriate measurement methods. In the Aurubis Group, this applies in particular to the extrapolation of market data for electricity and coal, with due regard to market information about price determination and liquidity considerations. If insufficient market information is available, management’s best estimate for a certain input parameter is used to determine the value. Thus, if observable input parameters are not available or only partially available on the market, the measurement process is significantly influenced by the use of estimates and assumptions.

Due to the predominantly short-term nature of cash and cash equivalents, trade accounts receivable and payable, other receivables of the category “loans and receivables”, payables to related parties and other non-derivative financial liabilities, an assumption is made that the fair values correspond to the carrying amounts.

An assumption has been made for investments in non-corporate entities and non-quoted corporate entities that the carrying amount corresponds to the market value. It would only be possible to reliably determine the market value in conjunction with specific sales negotiations.

Pursuant to IFRS 13, the following tables show the measurement methods used to determine the fair value for Level 1, Level 2 and Level 3 as well as the main non-observable parameters that were used for measurement.

In this connection, the individual levels were defined in accordance with IFRS 13 as follows:

  • Level 1: quoted prices (unadjusted) in active markets for identical assets or liabilities
  • Level 2: procedures under which all input parameters with a significant effect on the fair value are observable either directly or indirectly in the market
  • Level 3: procedures that use input parameters which have a significant influence on the fair value and are not based on observable market data

Financial instruments from Level 1 measured at fair value

T 100
 
Type Measurement method
Securities classified as fixed assets Exchange prices

Financial instruments from Level 2 measured at fair value

T 101
 
Type Measurement method and applied input parameters
   
Forward foreign exchange contracts Par method, taking into account actively traded forward rates and the currently valid interest rate for discounting purposes as at the balance sheet date
Foreign currency options Black-Scholes model. Calculation based on the exchange rates as at the balance sheet date, taking into account the expected volatility of the respective exchange rate during the term of the option and customary market interest rates
Interest rate swaps Discounted cash flow method. This adds together the present value of the expected future cash flows and discounts them, utilizing a market-conform interest rate
Metal futures contracts Discounted cash flow method, taking into account actively traded metal forward rates and customary market interest rates for discounting purposes as at the balance sheet date
Other transactions Discounted cash flow method. Discounting of the expected future cash flows over the remaining term of the contracts, based on use of current market interest rates

Financial instruments from Level 2 not measured at fair value

T 102
   
Type Measurement method and applied input parameters
   
Financial liabilities Discounted cash flow method. Discounting of expected future cash flows with currently applicable interest rates for financial liabilities with comparable conditions and residual terms

Financial instruments from Level 3 measured at fair value

T 103
       
Type Measurement method Significant non-observable
measurement parameters
Interdependence between significant non-observable measurement parameters and fair value
       
Energy supply contract Discounted cash flow method Extrapolation of market data for electricity and coal The fair value would be higher (lower) if:
 – the price for electricity increased more (less) than expected
 – the price for coal increased less (more) than expected

If the parameters used for measurement fall into different levels of the measurement hierarchy, the fair value measurement is fully classified as belonging to the lowest level to which an input parameter is attributed, where this parameter significantly influences the entire fair value.

If there are any reclassifications to other levels in the measurement hierarchy, the Aurubis Group accounts for these as at the beginning of the relevant fiscal year.

The following overview shows the main measurement parameters that provide the basis for those financial instruments that are accounted for at fair value and presented in the notes to the financial statements.

Hierarchical classification of fair values of financial instruments in accordance with IFRS 7 as at September 30, 2016

T 104
         
Aggregated by classes
in € thousand
Fair value
9/30/2016
Level 1 Level 2 Level 3
         
Securities classified as fixed assets 21,311 21,311 0 0
 
Derivative financial assets        
Derivatives without a hedging relationship 30,356 0 30,356 0
Derivatives with a hedging relationship 2,488 0 2,488 0
 
Assets 54,155 21,311 32,844 0
 
Bank borrowings 493,376 0 493,376 0
 
Derivative financial liabilities        
Derivatives without a hedging relationship 35,232 0 18,456 16,776
Derivatives with a hedging relationship 7,462 0 7,462 0
 
Liabilities 536,070 0 519,294 16,776

Hierarchical classification of fair values of financial instruments in accordance with IFRS 7 as at September 30, 2015

T 105
 
Aggregated by classes
in € thousand
Fair value
9/30/2015
Level 1 Level 2 Level 3
         
Securities classified as fixed assets 24,318 24,318 0 0
 
Derivative financial assets        
Derivatives without a hedging relationship 61,629 0 61,629 0
Derivatives with a hedging relationship 513 0 513 0
 
Assets 86,460 24,318 62,142 0
 
Bank borrowings 501,927 0 501,927 0
 
Derivative financial liabilities        
Derivatives without a hedging relationship 108,835 0 89,531 19,304
Derivatives with a hedging relationship 30,889 0 30,889 0
 
Liabilities 641,651 0 622,347 19,304

There were no reclassifications between the individual levels in fiscal year 2015/16 or in the previous year.

The following overview shows a reconciliation of the financial instruments measured at fair value and classified in Level 3:

Reconciliation of financial instruments in Level 3 as at September 30, 2016

T 106
 
Aggregated by classes
in € thousand
Status at
10/1/2015
Profits (+)/
losses (–)
recorded in
the income
statement
Status at
9/30/2016
Profits (+)/
losses (–) for
derivatives held
at the balance
sheet date
         
Derivative liabilities without a hedging relationship (19,304) 2,528 (16,776) 2,528

Reconciliation of financial instruments in Level 3as at September 30, 2015

T 107
 
Aggregated by classes
in € thousand
Status at
10/1/2014
Profits (+)/
losses (–)
recorded in
the income
statement
Status at
9/30/2015
Profits (+)/
losses (–) for
derivatives held
at the balance
sheet date
         
Derivative liabilities without a hedging relationship (15,613) (3,691) (19,304) (3,691)

Gains and losses deriving from derivative financial instruments classified as Level 3, which concern part of an energy supply contract, are reflected in the income statement reporting line “Cost of materials”.

The value of these financial instruments is partially based on non-observable input parameters, which are largely related to the price of electricity and coal. If the Aurubis Group had taken possible alternative measurement parameters as a basis for measuring the relevant financial instruments on September 30, 2016, the recorded fair value would have been € 7,965 thousand (previous year: € 6,407 thousand) higher in the case of an increase in the electricity price and a decrease in the coal price by 20 % respectively at the end of the term or € 6,337 thousand (previous year: € 4,792 thousand) lower in the case of a decrease in the electricity price and an increase in the coal price by 20 % respectively at the end of the term. In order to calculate the maximum impacts which can arise from the relative uncertainty in the determination of the fair values of financial instruments whose measurement is based on non-observable parameters, the Aurubis Group remeasures such financial instruments by incorporating parameters that are at the outer limits of the range of possible alternatives for non-observable input data. Since it is nevertheless unlikely that a scenario will arise in which all of the non-observable parameters are at the outer limits of the range of possible alternatives at the same time, the estimated values previously mentioned should exceed the actual uncertainty factors when determining the fair value as at the balance sheet date. Thus, the disclosures shown do not represent a prediction or an indication of any future changes in the fair value.

Offsetting options for derivative financial assets and liabilities

The financial instruments that Aurubis enters into are subject to netting agreements with financial institutions that include a mutual right of offset. However, these agreements do not fulfill the criteria for offsetting in the statement of financial position, as the netting right can only be utilized if one of the contracting parties defaults.

The following table shows the financial assets and liabilities in the Aurubis Group that are subject to offsetting options.

Offsetting options for derivative financial assets and liabilities

T 108
 
in € thousand 2015/16 2014/15
     
Financial assets    
Gross amounts of financial assets in the statement of financial position 32,845 62,142
Financial instruments that qualify for offsetting in the statement of financial position 0 0
Net values of financial assets in the statement of financial position 32,845 62,142
Offsettable due to framework agreements (9,994) (28,112)
 
Total net value of financial assets 22,851 34,030
 
Financial liabilities    
Gross amounts of financial liabilities in the statement of financial position (42,694) (139,724)
Financial instruments that qualify for offsetting in the statement of financial position 0 0
Net values of financial liabilities in the statement of financial position (42,694) (139,724)
Offsettable due to framework agreements 9,994 28,112
 
Total net value of financial liabilities (32,700) (111,612)

Net earnings by measurement categories

T 109
     
in € thousand 2015/16 2014/15
     
Loans and receivables (LaR) 16,033 8,566
Available-for-sale (AfS) 183 (3,897)
Financial instruments held for trading (FAHfT and FLHfT) 82,195 (4,641)
Financial liabilities at amortized cost (FLAC) 5,363 3,753
     
  103,774 3,781

The net earnings of the financial instruments held for trading mainly include the gains/losses deriving from metal futures contracts on the exchanges and forward foreign exchange contracts, as well as from price-fixed metal delivery transactions treated as derivatives. Purchase or sales contracts that are not yet fixed, which result in a partial compensation effect since they are measured provisionally at the respective price on the reporting date, are not included. Dividends, but not interest, are included in the calculated earnings. The foreign currency result of the items accounted for at amortized cost, which are included in the net result in fiscal year 2015/16, amounted to € 23,083 thousand (previous year: € 12,155 thousand).

In conjunction with the recognition in equity of the change in value of “available-for-sale” financial assets, net measurement impacts of € 5,092 thousand (previous year: € –1,585 thousand) were recorded in other comprehensive income in fiscal year 2015/16.