NOTES TO THE FINANCIAL STATEMENTS
21. Derivatives and hedge accounting://
CASH FLOW HEDGES
FAIR VALUE HEDGES
COST OF HEDGING
TOTAL
2017 $000
2016 $000
2017 $000
2016 $000
2017 $000
2016 $000
2017 $000
2016 $000
Derivative assets Cross currency swaps Interest rate swaps Forward exchange contracts Derivative liabilities Cross currency swaps Interest rate swaps Forward exchange contracts Total
–
35,812
(3,712)
32,100
– –
84,758
(2,330)
82,428
5,820
–
–
5,820
–
–
–
47
–
–
47
– –
–
–
–
5,867
35,812
(3,712)
37,967
84,758
(2,330)
82,428
(94,679) (57,695)
(11,564)
1,153
(105,090) (57,695)
(87,964) (106,380)
(6,933)
1,781
(93,116) (106,380)
–
–
–
–
(304)
–
–
(304)
(149)
–
–
(149)
Total
(152,678)
(11,564)
1,153
(163,089)
(194,493)
(6,933)
1,781
(199,645)
The fair value of derivative assets has decreased as at 30 June 2017 largely due to the strengthening of the New Zealand dollar against foreign currencies. The fair value of derivative liabilities has increased as at 30 June 2017 largely due to the decrease in New Zealand floating rates, offset by the strengthening of the New Zealand dollar against foreign currencies.
Key observable market data for fair value measurement Foreign currency exchange (FX) rates as at 30 June NZD-GBP FX rate
2017
2016
0.5629 0.7334
0.5360 0.7134
NZD-USD FX rate
Interest rate swap rates NZD
1.85% to 3.36% 1.22% to 2.51% 0.25% to 1.62%
2.24% to 2.67% 0.47% to 1.73% 0.38% to 1.24%
USD GBP
Credit margins Vector Counterparties
1.00% to 2.05% 0.03% to 1.18%
1.59% to 2.69% 0.40% to 2.32%
103
Vector://AR 17
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