14) DERIVATIVE FINANCIAL INSTRUMENTS
Details of derivative financial instruments at December 31, 2016 and 2017 are as follow:
| Thousands of U.S. dollars | |||||||
| 2016 | 2017 | ||||||
| Assets | Liabilities | Assets | Liabilities | ||||
| Interest rate swaps | 1,330 | - | - | (1,212) | |||
| Cross-currency swaps - net investment hedges | 76,144 | (184) | 7,429 | (5,140) | |||
| Cross-currency swaps - that do not qualify for hedge accounting | - | - | 748 | - | |||
| Total | 77,474 | (184) | 8,177 | (6,352) | |||
| Non-current portion | 77,474 | (184) | 8,177 | (5,140) | |||
| Current portion | - | - | - | (1,212) | |||
| 2016 | |||||||||||||||||
| Interest Rate Swap | |||||||||||||||||
| Bank | Maturity | Notionalcurrency | Index | Notional in contract currency (thousands) | Fair value assets | Other comprehensive income, net of taxes | Change inOCI | Income statements | |||||||||
| D/(C) | D/(C) | D/(C) | D/(C) | ||||||||||||||
| Itau | 18-Dez | BRL | BRL CDI | 245,000 | 1,330 | (780) | 8,591 | (96) | |||||||||
| 1,330 | (780) | 8,591 | (96) | ||||||||||||||
| Net Investment Hedges | |||||||||||||||||
| Bank | Maturity | Purchase currency | Selling currency | Notional (thousands) | Fair value assets | Other comprehensive income | Change inOCI | Income statement | |||||||||
| D/(C) | D/(C) | D/(C) | D/(C) | ||||||||||||||
| Santander | 20-Jan | USD | EUR | 20,000 | 4,786 | (780) | (865) | (25) | |||||||||
| Santander | 20-Jan | USD | MXN | 11,111 | 7,609 | (4,524) | (2,889) | 48 | |||||||||
| Goldman Sachs | 20-Jan | USD | EUR | 48,000 | 11,483 | (1,864) | (2,071) | (52) | |||||||||
| Goldman Sachs | 20-Jan | USD | MXN | 40,000 | 27,430 | (16,272) | (10,392) | 175 | |||||||||
| Nomura International | 20-Jan | USD | MXN | 23,889 | 16,388 | (9,715) | (6,205) | 105 | |||||||||
| Nomura International | 20-Jan | USD | EUR | 22,000 | 5,223 | (856) | (951) | (21) | |||||||||
| Goldman Sachs | 18-Jan | USD | PEN | 13,800 | 324 | (40) | 103 | (78) | |||||||||
| BBVA | 18-Jan | USD | PEN | 55,200 | 1,301 | (159) | 413 | (312) | |||||||||
| Goldman Sachs | 18-Jan | USD | COP | 7,200 | 283 | (106) | 59 | (69) | |||||||||
| BBVA | 18-Jan | USD | COP | 28,800 | 1,133 | (425) | 236 | (275) | |||||||||
| 75,960 | (34,741) | (22,562) | (504) | ||||||||||||||
| Total | 77,290 | (35,521) | (13,971) | (600) | |||||||||||||
| Derivative financial instrument-asset | 77,474 | ||||||||||||||||
| Derivative financial instrument-liability | (184) | ||||||||||||||||
| 2017 | ||||||||||||||||||
| Interest Rate Swap | ||||||||||||||||||
| Bank | Maturity | Notionalcurrency | Index | Notional in contract currency (thousands) | Fair value liability | Other comprehensive income, net of taxes | Change inOCI, net of taxes | Statements of operations - Finance cost | Statements of operations - Change in fair value | |||||||||
| D/(C) | D/(C) | D/(C) | D/(C) | D/(C) | ||||||||||||||
| Itau | Dec-18 | BRL | BRL CDI | 135,000 | (1,212) | - | (781) | 954 | - | |||||||||
| (1,212) | - | (781) | 954 | - | ||||||||||||||
| Cross Currency Swaps - that do not qualify for hedge accounting | ||||||||||||||||||
| Bank | Maturity | Purchase currency | Selling currency | Notional (thousands) | Fair value asset | Other comprehensive income | Change inOCI, net of taxes | Statements of operations - Finance cost | Statements of operations - Change in fair value | |||||||||
| D/(C) | D/(C) | D/(C) | D/(C) | D/(C) | ||||||||||||||
| ABC Brasil S.A. | Nov-17 | USD | BRL | 12,232 | - | - | - | (1,863) | - | |||||||||
| Goldman Sachs | Aug-22 | BRL | USD | 754,440 | 748 | - | - | - | (748) | |||||||||
| 748 | - | - | (1,863) | (748) | ||||||||||||||
| Net Investment Hedges | ||||||||||||||||||
| Bank | Maturity | Purchase currency | Selling currency | Notional (thousands) | Fair value asset/(liability) | Other comprehensive income | Change inOCI | Income statement - Finance Cost | Income statement - Change in fair value | |||||||||
| D/(C) | D/(C) | D/(C) | D/(C) | D/(C) | ||||||||||||||
| Nomura International | 22-Aug | EUR | USD | 34,109 | (382) | 382 | (382) | - | - | |||||||||
| Goldman Sachs | 22-Aug | MXN | USD | 1,065,060 | 7,256 | (7,256) | 7,256 | - | - | |||||||||
| Goldman Sachs | 22-Aug | PEN | USD | 194,460 | (4,758) | 4,758 | (4,758) | - | - | |||||||||
| Santander | 20-Jan | USD | EUR | 20,000 | - | 1,742 | (2,522) | - | 88 | |||||||||
| Santander | 20-Jan | USD | MXN | 11,111 | - | (2,113) | (2,411) | - | 21 | |||||||||
| Goldman Sachs | 20-Jan | USD | EUR | 48,000 | - | 3,587 | (5,452) | - | 217 | |||||||||
| Goldman Sachs | 20-Jan | USD | MXN | 40,000 | - | (7,600) | (8,671) | - | (47) | |||||||||
| Nomura International | 20-Jan | USD | MXN | 23,889 | - | (4,357) | (5,358) | - | 105 | |||||||||
| Nomura International | 20-Jan | USD | EUR | 22,000 | - | 1,620 | (2,476) | - | 99 | |||||||||
| Goldman Sachs | 18-Jan | USD | PEN | 13,800 | 84 | 19 | (59) | - | 6 | |||||||||
| BBVA | 18-Jan | USD | PEN | 55,200 | - | 71 | (229) | - | 23 | |||||||||
| Goldman Sachs | 18-Jan | USD | COP | 7,200 | 89 | (88) | (19) | - | (1) | |||||||||
| BBVA | 18-Jan | USD | COP | 28,800 | - | (359) | (65) | - | 7 | |||||||||
| 2,289 | (9,594) | (25,146) | - | 518 | ||||||||||||||
| Total | 1,825 | (9,594) | (25,927) | (909) | (230) | |||||||||||||
| Derivative financial instrument-asset | 8,177 | |||||||||||||||||
| Derivative financial instrument-liability | (6,352) | |||||||||||||||||
Gains and losses on net investment hedges accumulated in equity will be taken to the statement of operations when the foreign operation is partially disposed of or sold.
Derivatives held for trading are classified as current assets or current liabilities. The fair value of a hedging derivative is classified as a noncurrent asset or a noncurrent liability, as applicable, if the remaining maturity of the hedged item exceeds twelve months. Otherwise, it is classified as a current asset or liability.
In connection with the Refinancing process and the repayment of the first Brazilian Debentures, the hedge accounting for the interest rate swap was discontinued and the OCI balance was transferred to finance cost. Thereafter, any changes in fair value will be directly recognized in statement of operations.
On May 26, 2017, Atento Brasil S.A. entered into a cross-currency swap to hedge a USD loan of 12,232 thousand U.S. dollars at a fixed rate of 3.25% exchanged to a 40,000 thousand Brazilian Reais with interest rate of the average daily rate of the one day “over extra-group” – DI – Interfinancial Deposits - plus a spread of 3.45% per annum. As of December 31, 2017, the cross-currency swap was settled.
On April 1, 2015, the Company started a hedge accounting for net investment hedge related to exchange risk between the U.S. dollar and foreign operations in Euro (EUR), Mexican Peso (MXN), Colombian Peso (COP) and Peruvian Nuevo Sol (PEN). In connection with the Refinancing process, 8 of the 10 derivatives contracts designated as Net Investment Hedges were terminated between August 1, 2017 and August 4, 2017, generating positive cash of 46,080 thousand U.S. dollars, net of charges. During August 2017, Atento Luxco 1 also entered into new Cross-Currency Swaps related to exchange risk between U.S. dollars and Euro (EUR), Mexican Peso (MXN), Brazilian Reais (BRL) and Peruvian Nuevo Sol (PEN). Except for the Cross-Currency Swap between U.S. dollars and Brazilian Reais, all other Cross-Currency Swaps were designated for hedge accounting as net investment hedge.
At December 31, 2016 and 2017, details of interest rate swap, cross-currency swaps that do not qualify for hedge accounting and net investment hedges were as follows: