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20. Derivatives and hedge accounting
CASH FLOW HEDGES
FAIR VALUE HEDGES
COST OF HEDGING
TOTAL
2020 $M
2019 $M
2020 $M
2019 $M
2020 $M
2019 $M
2020 $M
2019 $M
Derivative assets Cross currency swaps Interest rate swaps Forward exchange contracts
(23.8)
251.5
(7.6)
220.1
– –
116.0
(6.7)
109.3
–
–
–
–
–
–
–
0.3
–
–
0.3
– –
–
–
–
Total
(23.5)
251.5
(7.6)
220.4
116.0
(6.7)
109.3
Derivative liabilities Cross currency swaps Interest rate swaps Forward exchange contracts
–
– –
– –
–
–
(4.9)
0.1
(4.8)
(104.5)
(104.5)
(78.2)
–
–
(78.2)
(0.4)
– –
– –
(0.4)
(0.1)
–
–
(0.1)
Total
(104.9)
(104.9)
(78.3)
(4.9)
0.1
(83.1)
Key observable market data for fair value measurement
2020
2019
Foreign currency exchange (FX) rates as at 30 June NZD–USD FX rate
0.6454
0.6719
Interest rate swap rates NZD
0.21% to 0.74% 0.16% to 0.88%
1.36% to 1.80% 1.74% to 2.40%
USD
Sensitivity to changes in market rates
The graphs below illustrate the impact on derivative valuations of possible changes in interest rates and foreign exchange rates, assuming all other variables are held constant.
Impact on comprehensive income
interest rates (-%/+%)
.
.
interest rates (-%/+%)
.
.
foreign exchange rates (-%/+%)
.
.
foreign exchange rates (-%/+%)
. .
Rate increase
Rate decrease
Impact on prof it or loss
interest rates (-%/+%)
.
.
interest rates (-%/+%)
.
.
foreign exchange rates (- %/+ %)
.
.
foreign exchange rates (- %/+ %)
.
.
Rate increase
Rate decrease
THE INTERPLAY OF TODAY AND TOMORROW
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