Additional disclosures on financial instruments

                          T 096
                           
    2014/2015 2013/2014
                           
Carrying amounts, measurement and fair values analyzed     Measurement in the statement of
financial position under IAS 39
      Measurement in the statement of
financial position under IAS 39
   
by measurement categories                          
in € thousand Measurement
category under
IAS 39
Carrying
amount
9/30/2015
Amortized
cost
Fair value
recognized
in equity
Fair value
recognized in
profit or loss
Balance sheet
valuation under
IAS 17
Fair value
9/30/2015
Carrying
amount
9/30/2014
Amortized
cost
Fair value
recognized
in equity
Fair value
recognized in
profit or loss
Balance sheet
valuation under
IAS 17
Fair value
9/30/2014
                           
ASSETS                          
Interests in affiliated companies AfS 1,418 1,418 0 0 0 n/a 1,328 1,328 0 0 0 n/a
Investments AfS 744 744 0 0 0 n/a 845 845 0 0 0 n/a
Fixed asset securities AfS 24,318 0 24,318 0 0 24,318 29,920 0 29,920 0 0 29,920
Other financial fixed assets                          
Other loans LaR 92 92 0 0 0 92 107 107 0 0 0 107
Trade accounts receivable LaR 306,905 306,905 0 0 0 306,905 414,235 414,235 0 0 0 414,235
Other receivables and financial assets                          
Receivables from related parties LaR 12,057 12,057 0 0 0 12,057 12,240 12,240 0 0 0 12,240
Other financial assets LaR 78,926 78,926 0 0 0 78,926 34,304 34,304 0 0 0 34,304
Derivative financial assets                          
Derivatives without a hedging relationship FAHfT 61,629 0 0 61,629 0 61,629 58,734 0 0 58,734 0 58,734
Derivatives with a hedging relationship (hedge accounting) n/a 513 0 513 0 0 513 120 0 120 0 0 120
Cash and cash equivalents LaR 452,971 452,971 0 0 0 452,971 187,282 187,282 0 0 0 187,282
                           
EQUITY AND LIABILITIES                          
Bank borrowings FLAC 487,187 487,187 0 0 0 501,927 412,042 412,042 0 0 0 432,450
Liabilities from finance leases n/a 18,912 0 0 0 18,912 18,912 20,853 0 0 0 20,853 20,853
Trade accounts payable FLAC 761,409 761,409 0 0 0 761,409 796,848 796,848 0 0 0 796,848
Payables to related parties FLAC 5,613 5,613 0 0 0 5,613 6,029 6,029 0 0 0 6,029
Other non-derivative financial liabilities FLAC 69,301 69,301 0 0 0 69,301 70,654 70,654 0 0 0 70,654
Derivative financial liabilities                          
Derivatives without a hedging relationship FLHfT 108,835 0 0 108,835 0 108,835 90,403 0 0 90,403 0 90,403
Derivatives with a hedging relationship (hedge accounting) n/a 30,889 0 30,889 0 0 30,889 22,170 0 22,170 0 0 22,170
thereof aggregated by measurement categories in accordance with IAS 39                          
Loans and receivables (LaR) 850,951 850,951 0 0   0 850,951 648,168 648,168 0 0 0 648,168
Available-for-sale (AfS) 26,480 2,162 24,318 0   0 24,318 32,093 2,173 29,920 0 0 29,920
Financial assets held for trading (FAHfT) 61,629 0 0 61,629   0 61,629 58,734 0 0 58,734 0 58,734
Financial liabilities at amortized cost (FLAC) 1,323,510 1,323,510 0 0   0 1,338,250 1,285,573 1,285,573 0 0 0 1,305,981
Financial liabilities held for trading (FLHfT) 108,835 0 0 108,835   0 108,835 90,403 0 0 90,403 0 90,403
                            
Certain prior-year figures have been adjusted.

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-related 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.

Because of 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 limited liability companies 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 are 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 097
   
Type Measurement method
Securities classified as fixed assets Exchange prices

Financial instruments from Level 2 measured at fair value

  T 098
   
Type Measurement method
   
Forward foreign exchange contracts Par method, taking actively traded forward rates into account
Foreign currency options Black-Scholes model
Interest rate swaps Discounted cash flow method. This adds together the present value of the cash flows expected in the future and discounts them, utilizing a market-conform interest rate
Metal futures contracts Discounted cash flow method
Other transactions Discounted cash flow method

Financial instruments from Level 2 not measured at fair value

  T 099
   
Type Measurement method
   
Financial liabilities Discounted cash flow method

Financial instruments from Level 3 measured at fair value

      T 100
       
Type Measurement method Significant
non-observable
measurement parameter
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, 2015

        T 101
         
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

Hierarchical classification of fair values of financial instruments in accordance with IFRS 7 as at September 30, 2014

        T 102
         
Aggregated by classes

in € thousand
Fair value 9/30/2014 Level 1 Level 2 Level 3
         
Securities classified as fixed assets 29,920 29,920 0 0
         
Derivative financial assets        
Derivatives without a hedging relationship 58,734 0 58,734 2,206
Derivatives with a hedging relationship 120 0 120 0
         
Assets 88,774 29,920 58,854 2,206
         
Bank borrowings 432,450 0 432,450 0
         
Derivative financial liabilities        
Derivatives without a hedging relationship 90,403 0 74,790 15,613
Derivatives with a hedging relationship 22,170 0 22,170 0
         
Liabilities 545,023 0 529,410 15,613
          
Certain prior-year figures have been adjusted.

There were no reclassifications between the individual levels in fiscal year 2014/15 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, 2015

          T 103
           
Aggregated by classes

in € thousand
Status at
10/1/2014
Reclassification
to/from Level 3
Profits (+) and
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) 0 (3,691) (19,304) (3,691)

Reconciliation of financial instruments in Level 3 as at September 30, 2014

          T 104
           
Aggregated by classes

in € thousand
Status at
10/1/2013
Reclassification
to/from Level 3
Profits (+) and
losses (–)
recorded in the
income
statement
Status at
9/30/2014
Profits (+)/
losses (–) for
derivatives held
at the balance
sheet date
           
Derivative assets without a hedging relationship 2,206 0 (2,206) 0 (2,206)
Derivative liabilities without a hedging relationship 0 0 (15,613) (15,613) (15,613)

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 position “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, 2015, the recorded fair value would have been € 6,407 thousand (previous year: € 7,422 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 € 4,792 thousand (previous year: € 6,133 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 this financial instrument 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 105
     
in € thousand 2014/15 2013/14
     
Financial assets    
Gross amounts of financial assets in the statement of
financial position
62,142 58,854
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
62,142 58,854
Offsettable due to framework agreements (28,112) (28,474)
     
Total net value of financial assets 34,030 30,380
     
Financial liabilities    
Gross amounts of financial liabilities in the statement of
financial position
(139,724) (112,573)
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
(139,724) (112,573)
Offsettable due to framework agreements 28,112 28,474
     
Total net value of financial liabilities (111,612) (84,099)
      
Certain prior-year figures have been adjusted.

Net earnings by measurement categories

    T 106
     
in € thousand 2014/15 2013/14
     
Loans and receivables (LaR) 8,566 6,159
Available-for-sale (AfS) (3,897) (2,987)
Financial instruments held for trading (FAHfT and FLHfT) (4,641 ) 8,273
Financial liabilities at amortized cost (FLAC) 3,753 (2,995)
     
  3,781 8,450
      
Certain prior-year figures have been adjusted.

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 valued 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 2014/15, amounts to € 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 € – 1,585 thousand (previous year: €– 528 thousand) were recorded in other comprehensive income in 2014/15.