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Derivative Financial Instruments | 12 Months Ended
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Jun. 30, 2019
Financial Instruments [Abstract] |
Derivative Financial Instruments | DERIVATIVE FINANCIAL INSTRUMENTS The group has the following derivative financial instruments:
| SA rand
Figures in million | Rand gold hedging contracts |  | US$ commodity contracts (a) |  | Foreign exchange hedging contracts (b) |  | Total |
30 June 2019 |  |  |  |
Derivative financial assets | 45 |  | 5 |  | 456 |  | 506 |
Non-current | 23 |  | 1 |  | 173 |  | 197 |
Current | 22 |  | 4 |  | 283 |  | 309 |
Derivative financial liabilities | (383 | ) | (57 | ) | (2 | ) | (442 | )
Non-current | (158 | ) | (14 | ) | — |  | (172 | )
Current | (225 | ) | (43 | ) | (2 | ) | (270 | )
Net derivative financial instruments | (338 | ) | (52 | ) | 454 |  | 64 |
Unamortised day one net loss included above | 36 |  | 5 |  | — |  | 41 |
Realised gains included in revenue | 453 |  | — |  | — |  | 453 |
Unrealised losses included in other reserves | 165 |  | 49 |  | — |  | 214 |
Gains/(losses) included in gains on derivatives | (51 | ) | 13 |  | 554 |  | 516 |
Day one loss amortisation | (31 | ) | (1 | ) | — |  | (32 | )
Total gains on derivatives | (82 | ) | 12 |  | 554 |  | 484 |
Hedge effectiveness |  |  |  |
Cumulative changes in the fair value of the hedging instrument used as the basis for recognising hedge ineffectiveness | 288 |  | (49 | ) | — |  | 239 |
Cumulative changes in the fair value of the hedged item used as the basis for recognising hedge ineffectiveness. | (288 | ) | 49 |  | — |  | (239 | )
18 | DERIVATIVE FINANCIAL INSTRUMENTS continued
| SA rand
Figures in million | Rand gold hedging contracts |  | US$ commodity contracts (a) |  | Foreign exchange hedging contracts (b) |  | Total |
30 June 2018 |  |  |  |
Derivative financial assets | 482 |  | 74 |  | 67 |  | 623 |
Non-current | 70 |  | 11 |  | 3 |  | 84 |
Current | 412 |  | 63 |  | 64 |  | 539 |
Derivative financial liabilities | (12 | ) | — |  | (203 | ) | (215 | )
Non-current | (10 | ) | — |  | — |  | (10 | )
Current | (2 | ) | — |  | (203 | ) | (205 | )
Net derivative financial instruments | 470 |  | 74 |  | (136 | ) | 408 |
Unamortised day one net loss included above | 11 |  | — |  | — |  | 11 |
Realised gains included in revenue | 1 197 |  | — |  | — |  | 1 197 |
Unrealised gains included in other reserves | 413 |  | — |  | — |  | 413 |
Gains/(losses) included in gains on derivatives | (12 | ) | 35 |  | 113 |  | 136 |
Day one loss amortisation | (37 | ) | — |  | — |  | (37 | )
Total gains on derivatives | (49 | ) | 35 |  | 113 |  | 99 |
| SA rand
Figures in million | Rand gold hedging contracts |  | US$ commodity contracts (a) |  | Foreign exchange hedging contracts (b) |  | Total |
30 June 2017 |  |  |  |
Realised gains included in revenue | 728 |  | — |  | — |  | 728 |
Gains/(losses) included in gains on derivatives | — |  | 20 |  | 1 083 |  | 1 103 |
Hedge ineffectiveness | 16 |  | — |  | — |  | 16 |
Day one loss amortisation | (94 | ) | — |  | — |  | (94 | )
Total gains on derivatives | (78 | ) | 20 |  | 1 083 |  | 1 025 |
Hedge accounting Harmony has entered into gold forward sale derivative contracts to hedge the risk of lower gold prices. Cash flow hedge accounting is applied to the majority of these contracts, resulting in the effective portion of the unrealised gains and losses being recorded in other comprehensive income (other reserves - refer to note 24). Refer to note 4 for a summary of the risk management strategy applied and the balances relating to designated hedging instruments as at reporting date. Hedge effectiveness is determined at the inception of the hedge relationship and through periodic prospective effectiveness assessments. The group enters into gold forward contracts that have similar terms as the hedged item, such as notional amount, maturity date and reference gold spot price thereby ensuring that an economic relationship exists between the hedging instrument and the hedged item and resulting in a hedge ratio of 1:1. Potential sources of hedge ineffectiveness include counterparty credit risk, day one gains and losses, a mismatch in the timing of the derivative and underlying gold sale maturities, location differential and the refining margin. A negligible amount of hedge ineffectiveness was however experienced during 2019 and 2018 as all the critical terms of the hedging instruments and hedged items matched. The loss from derivative contracts to which hedge accounting is not applied is included in gains on derivatives.
18 | DERIVATIVE FINANCIAL INSTRUMENTS continued
(a) | Harmony maintains a hedging programme for Hidden Valley by entering into commodity hedging contracts. The contracts comprise US$ gold forward sale derivative contracts as well as silver zero cost collars which establish a minimum (floor) and maximum (cap) silver sales price. Hedge accounting is applied to all US$ gold forward sale derivative contracts entered into from 1 January 2019. None of these contracts matured during the current financial period. Hedge accounting is not applied to gold contracts entered into before this date as well as the silver collars.
(b) | Harmony maintains a foreign exchange hedging programme in the form of zero cost collars, which sets a floor and cap rand/US$ exchange rate at which to convert US dollars to rands, and foreign exchange forward contracts. Hedge accounting is not applied to these contracts.
The following table shows the open position at the reporting date:
| FY2020 | FY2021 |  | TOTAL
| Q1 |  | Q2 |  | Q3 |  | Q4 |  | Q1 |  | Q2 |  | Q3 |  | Q4 |  |
Foreign exchange contracts |  |  |  |  |  |  |  |  |
Zero cost collars |  |  |  |  |  |  |  |  |
US$m | 71 |  | 69 |  | 64 |  | 62 |  | 49 |  | 48 |  | 37 |  | 14 |  | 414 |
Floor | 14.48 |  | 14.59 |  | 14.80 |  | 14.96 |  | 15.30 |  | 15.28 |  | 15.37 |  | 15.55 |  | 14.92 |
Cap | 15.19 |  | 15.35 |  | 15.57 |  | 15.75 |  | 16.11 |  | 16.27 |  | 16.36 |  | 16.55 |  | 15.74 |
Forward contracts |  |  |  |  |  |  |  |  |
US$m | 69 |  | 69 |  | 66 |  | 60 |  | 61 |  | 35 |  | 24 |  | 6 |  | 390 |
Forward rate | 14.71 |  | 15.00 |  | 15.27 |  | 15.44 |  | 15.89 |  | 15.82 |  | 15.96 |  | 16.23 |  | 15.35 |
R/gold |  |  |  |  |  |  |  |  |
'000 oz | 19 |  | 14 |  | 6 |  | — |  | — |  | — |  | — |  | — |  | 39 |
'000 oz - cash flow hedge | 76 |  | 80 |  | 88 |  | 96 |  | 71 |  | 71 |  | 73 |  | 33 |  | 588 |
R'000/kg | 626 |  | 641 |  | 648 |  | 661 |  | 668 |  | 674 |  | 689 |  | 702 |  | 659 |
US$/gold |  |  |  |  |  |  |  |  |
'000 oz | 6 |  | 4 |  | — |  | — |  | — |  | — |  | — |  | — |  | 10 |
'000 oz - cash flow hedge | 6 |  | 8 |  | 12 |  | 12 |  | 8 |  | 6 |  | 3 |  | 1 |  | 56 |
US$/oz | 1 351 |  | 1 363 |  | 1 357 |  | 1 370 |  | 1 376 |  | 1 387 |  | 1 404 |  | 1 414 |  | 1 368 |
Total gold |  |  |  |  |  |  |  |  |
'000 oz | 107 |  | 106 |  | 106 |  | 108 |  | 79 |  | 77 |  | 76 |  | 34 |  | 693 |
US$/silver |  |  |  |  |  |  |  |  |
'000 oz | 90 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | 90 |
Floor | 17.40 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | 17.40 |
Cap | 18.40 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | 18.40 |
Refer to note 4 for the details on the fair value measurements.

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