Notes to the financial statements
22. Derivatives and hedge accounting
CASH FLOW HEDGES FAIR VALUE HEDGES
COST OF HEDGING
TOTAL
2023 $M
2022 $M
2023 $M
2022 $M
2023 $M
2022 $M
2023 $M
2022 $M
Derivative assets Cross currency swaps Interest rate swaps
–
31.2
(3.0)
28.2 83.8
–
84.8
(2.8)
82.0 78.0
83.8
– –
– –
78.0
– –
– –
0.1
0.1
Forward exchange contracts
4.3
4.3
Total
83.9
31.2
(3.0)
112.1
82.3
84.8
(2.8)
164.3
Derivative liabilities Cross currency swaps Interest rate swaps
24.4
(177.7)
(2.9)
(156.2)
13.2
(141.8)
1.0
(127.6)
–
(3.7)
– –
(3.7) (0.9)
(3.3)
– –
– –
(3.3)
(0.9)
–
Forward exchange contracts
–
–
Total
23.5
(181.4)
(2.9)
(160.8)
9.9
(141.8)
1.0
(130.9
Key observable market data for fair value measurement
2023
2022
Foreign currency exchange (FX) rates as at 30 June NZD-USD FX rate
0.6126
0.6243
Interest rate swap rates NZD
4.51% to 5.82% 3.75% to 5.76%
2.39% to 4.11% 1.79% to 3.30%
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 profit or loss
.
.
interest rates (-%/+%)
.
.
interest rates (-%/+%)
.
.
foreign exchange rates (- %/+ %)
foreign exchange rates (- %/+ %)
.
.
Rate increase
Rate decrease
91
Made with FlippingBook flipbook maker