Vector Annual Report 2017

NOTES TO THE FINANCIAL STATEMENTS

21. Derivatives and hedge accounting:// CONTINUED 21.1 Effects of hedge accounting on the financial position and performance The tables below demonstrate the impact of hedged items and the hedging instruments designated in hedging relationships:

HEDGING (GAIN) OR LOSS RECOGNISED IN CASH FLOW HEDGE RESERVE $000

(GAIN) OR LOSS RECOGNISED IN COST OF HEDGING $000

CARRYING AMOUNT ASSETS/ (LIABILITIES) $000

CHANGE IN FAIR VALUE USED FOR MEASURING INEFFECTIVENESS $000

HEDGE INEFFECTIVENESS RECOGNISED IN PROFIT OR LOSS $000

WEIGHTED AVERAGE RATE

Cash flow hedges 2017

FACE VALUE $000

Interest risk Hedged item: NZD floating rate exposure on borrowings Hedging instrument: Interest rate swaps Interest and exchange risk Hedged item: GBP fixed rate exposure on borrowings Hedging instrument: Cross currency swaps

(1,000,000)

(52,842)

(1,420,000)

5.0% (51,875)

(51,875)

51,875

(285,614)

(96,315)

(285,614)

10.8% (93,954)

(94,679)

13,364

– –

(725)

Total

HEDGING (GAIN) OR LOSS RECOGNISED IN CASH FLOW HEDGE RESERVE $000

(GAIN) OR LOSS RECOGNISED IN COST OF HEDGING $000

CARRYING AMOUNT ASSETS/ (LIABILITIES) $000

CHANGE IN FAIR VALUE USED FOR MEASURING INEFFECTIVENESS $000

HEDGE INEFFECTIVENESS RECOGNISED IN PROFIT OR LOSS $000

WEIGHTED AVERAGE RATE

Cash flow hedges 2016

FACE VALUE $000

Interest risk Hedged item: NZD floating rate exposure on borrowings Hedging instrument: Interest rate swaps Interest and exchange risk Hedged item: GBP fixed rate exposure on borrowings Hedging instrument: Cross currency swaps

(1,160,000)

(110,817)

(1,430,000)

5.5% (106,380)

(106,380)

106,380

(285,614)

(92,161)

(285,614)

10.8% (86,198)

(87,964)

16,923

– –

(1,766)

Total

The NZD floating rate exposure includes $750.0 million from the floating rate notes (2016: $910.0 million) and $250.0 million arising from hedging the USD senior bonds (2016: $250.0 million), as allowable under NZ IFRS 9. The interest rate swaps include $420.0 million of forward starting swaps (2016: $270.0 million).

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