7. Derivative Financial Instruments
To mitigate the risks of future increases in interest rates and foreign exchange rates for the servicing of its debt, the Company has entered into interest-rate swap contracts in over-the-counter transactions carried out with financial institutions. No collateral is given as security in connection with these transactions. In 2017 the weighted-average interest rate of the total debt including the impact of interest rate derivatives held by the Company is 4.0% (3.7% and 3.9% in 2016 and 2015, respectively).
An analysis of the derivative financial instruments contracted by the Company at December 31, 2016 and 2017 is as follows:
| At December 31, | ||||||||||||||||
| 2016 | 2017 | |||||||||||||||
|
Instrument |
Notional amount in millions |
Fair value | Notional amount in millions |
Fair value | ||||||||||||
|
Assets: |
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|
Swaps US Dollar-Mexican peso |
US$ | — | — | US$ | 2,800 | Ps. | 4,766,102 | |||||||||
|
Swaps Euro-Mexican peso |
€ | 70 | Ps. | 479,007 | € | — | — | |||||||||
|
Swaps Yen-US Dollar |
¥ | 13,000 | 430,044 | ¥ | 13,000 | 521,270 | ||||||||||
|
Forwards US Dollar-Mexican peso |
US$ | — | — | US$ | 1,744 | 1,600,666 | ||||||||||
|
Forwards US Dollar-Brazilian real |
US$ | — | — | US$ | 100 | 44,280 | ||||||||||
|
Swaps Swiss Franc-US Dollar |
CHF | — | — | CHF | 475 | 178,710 | ||||||||||
|
Swaps Euro-Brazilian real |
€ | — | — | € | 450 | 359,671 | ||||||||||
|
Interest rate swap |
Ps. | — | — | Ps. | 200 | 916 | ||||||||||
|
Forwards Euro-Brazilian real |
€ | — | — | € | 400 | 330,427 | ||||||||||
|
Forwards US Dollar-Swiss franc |
CHF | — | — | CHF | 75 | 121,981 | ||||||||||
|
Forwards Euro-US Dollar |
€ | — | — | € | 204 | 113,361 | ||||||||||
|
|
|
|
|
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|
Total Assets |
Ps. 909,051 | Ps. 8,037,384 | ||||||||||||||
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|
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| At December 31, | ||||||||||||||||
| 2016 | 2017 | |||||||||||||||
|
Instrument |
Notional amount in millions |
Fair value | Notional amount in millions |
Fair value | ||||||||||||
|
Liabilities: |
||||||||||||||||
|
Interest rate swaps in Mexican peso |
Ps. | 15,750 | Ps. | (131,998 | ) | Ps. | — | Ps. | — | |||||||
|
Forwards US Dollar-Mexican peso |
US$ | 80 | (99,228 | ) | US$ | — | — | |||||||||
|
Forwards Euro-US Dollar |
€ | 460 | (1,142,155 | ) | € | — | — | |||||||||
|
Swaps Euro-US Dollar |
€ | 500 | (1,807,332 | ) | € | — | — | |||||||||
|
Swaps US Dollar-Euro |
US$ | 2,192 | (698,917 | ) | US$ | 2,092 | (8,340,970 | ) | ||||||||
|
Swaps Swiss franc-US Dollar |
CHF | 745 | (745,263 | ) | CHF | — | — | |||||||||
|
Swaps Pound sterling-Euro |
£ | 740 | (2,585,890 | ) | £ | 740 | (3,376,091 | ) | ||||||||
|
Swap Pound sterling-US Dollar |
£ | 2,010 | (5,961,324 | ) | £ | 2,010 | (1,676,636 | ) | ||||||||
|
Call spread option |
€ | 750 | (155,950 | ) | € | 750 | (48,422 | ) | ||||||||
|
Put option |
€ | 374 | (2,379,434 | ) | € | 374 | (482,645 | ) | ||||||||
|
Call spread option |
€ | 3,000 | (1,877,256 | ) | € | 3,000 | (434,696 | ) | ||||||||
|
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|
|
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|
Total liability |
Ps. | (17,584,747 | ) | Ps. | (14,359,460 | ) | ||||||||||
|
|
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|
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|
Non-current liability |
Ps. | (3,448,396 | ) | Ps. | (3,756,921 | ) | ||||||||||
|
|
|
|
|
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|
Total current liability |
Ps. | (14,136,351 | ) | Ps. | (10,602,539 | ) | ||||||||||
|
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|
|
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The changes in the fair value of these derivative financial instruments for the years ended December 31, 2015, 2016 and 2017 amounted to a gain (loss) of Ps. 15,128,269, Ps. (9,622,233) and Ps. 8,192,567, respectively, and such amounts are included in the consolidated statements of comprehensive income as part of the caption “Valuation of derivatives interest cost from labor obligations and other financial items, net” and Ps. 37,011, Ps. 48,496 and Ps. 12,292, net of tax, respectively, that are accounted for as “Effect of derivative financial instruments acquired for hedging purposes” in equity.
The maturities of the notional amount of the derivatives are as follows:
|
Instrument |
Notional amount in millions |
2018 | 2019 | 2020 | 2021 | 2022 Thereafter |
||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Swaps US Dollar-Mexican peso |
US$ | 2,800 | — | — | — | — | 2,800 | |||||||||||||||||
|
Swaps Yen-US Dollar |
¥ | 13,000 | — | — | — | — | 13,000 | |||||||||||||||||
|
Forwards US Dollar-Mexican peso |
US$ | 1,744 | 1,744 | — | — | — | — | |||||||||||||||||
|
Forwards US Dollar-Brazilian real |
US$ | 100 | 100 | — | — | — | ||||||||||||||||||
|
Swaps Swiss franc-US Dollar |
CHF | 475 | 475 | — | — | — | — | |||||||||||||||||
|
Swaps Euro-Brazilian real |
€ | 450 | 150 | 300 | — | — | — | |||||||||||||||||
|
Interest rate swap |
Ps. | 200 | — | 200 | — | — | — | |||||||||||||||||
|
Forwards Euro-Brazilian real |
€ | 400 | 400 | — | — | — | — | |||||||||||||||||
|
Forwards US Dollar-Swiss franc |
CHF | 75 | 75 | — | — | — | — | |||||||||||||||||
|
Forwards Euro-US Dollar |
€ | 204 | 204 | — | — | — | — | |||||||||||||||||
|
Liabilities |
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|
Swaps US Dollar-Euro |
US$ | 2,092 | 67 | 25 | — | — | 2,000 | |||||||||||||||||
|
Swaps Pound sterling-Euro |
£ | 740 | — | — | — | — | 740 | |||||||||||||||||
|
Swap Pound sterling-US Dollar |
£ | 2,010 | — | — | 550 | — | 1,460 | |||||||||||||||||
|
Call spread option |
€ | 750 | 750 | — | — | — | — | |||||||||||||||||
|
Put option |
€ | 374 | — | — | — | — | 374 | |||||||||||||||||
|
Call spread option |
€ | 3,000 | — | — | 3,000 | — | — | |||||||||||||||||