75 ―
20. Derivatives and hedge accounting continued 20.1 Effects of hedge accounting on the financial position and performance CONTINUED
HEDGING (GAIN) OR LOSS RECOGNISED IN CASH FLOW HEDGE RESERVE $M
HEDGE INEFFECTIVE NESS RECOGNISED IN PROFIT OR LOSS $M
CHANGE IN FAIR VALUE USED FOR MEASURING INEFFECTIVE NESS $M
(GAIN) OR LOSS RECOGNISED IN COST OF HEDGING $M
CARRYING AMOUNT ASSETS/ (LIABILITIES) $M
WEIGHTED AVERAGE RATE $M
FACE VALUE $M
Cash flow hedges 2019
Interest risk Hedged item: NZD floating rate exposure on borrowings
(1,070.0)
(80.1)
Hedging instrument: Interest rate swaps
(1,450.0)
3.8%
(78.2)
(78.2)
78.2 Total
– –
–
The NZD floating rate exposure includes $350.0 million from the floating rate notes (2019: $350.0 million) and $930.0 million arising from hedging the USD senior bonds (2019: $720.0 million), as allowable under NZ IFRS 9 Financial Instruments . The interest rate swaps include $500.0 million of forward starting swaps (2019: $380.0 million).
CHANGE IN FAIR VALUE OF THE HEDGING INSTRUMENT $M
CHANGE IN FAIR VALUE OF THE HEDGED ITEM $M
CHANGE IN VALUE IN COST OF HEDGING $M
CARRYING AMOUNT ASSETS/ (LIABILITIES) $M
ACCUM ULATED FAIR VALUE HEDGE ADJUSTMENTS $M
WEIGHTED AVERAGE RATE $M
FACE VALUE $M
Fair value hedges 2020
Interest and exchange risk Hedged item: USD f ixed rate exposure on borrowings
(1,613.4)
(231.1)
(1,839.9)
(143.7)
Hedging instrument: Cross currency swaps
(1,613.4)
floating
246.2
140.3 140.3
1.4
Total
(143.7)
CHANGE IN FAIR VALUE OF THE HEDGING INSTRUMENT $M
CHANGE IN FAIR VALUE OF THE HEDGED ITEM $M
CHANGE IN VALUE IN COST OF HEDGING $M
CARRYING AMOUNT ASSETS/ (LIABILITIES) $M
ACCUM ULATED FAIR VALUE HEDGE ADJUSTMENTS $M
WEIGHTED AVERAGE RATE $M
FACE VALUE $M
Fair value hedges 2019
Interest and exchange risk Hedged item: USD f ixed rate exposure on borrowings Hedging instrument: Cross currency swaps
(1,112.9)
(109.7)
(1,220.5)
(57.2)
(1,112.9)
floating
104.5 Total
54.7 54.7
(5.1)
(57.2)
Hedging instruments and hedged items are included in the line items “Derivatives” and “Borrowings” respectively in the balance sheet. Ineffectiveness is the sum of the change in fair value of the hedged item and the change in fair value of the hedging instrument. The source of ineffectiveness is largely due to counterparty credit risk on the derivative instruments. Hedge ineffectiveness is included in the “Fair value change on f inancial instruments” in the prof it or loss. In 2020, the total face value of the cross-currency swaps of $1.6 billion per the table above includes $797.1 million notional value that are designated under cash flow hedges.
Notes to the Financial Statements
Made with FlippingBook Learn more on our blog