Vector Annual Report 2023

22. Derivatives and hedge accounting continued 22.1 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: — The NZD floating rate exposure includes $1,190.0 million arising from hedging the USD senior bonds (2022: $1,230.0 million) as allowable under NZ IFRS 9 Financial Instruments ; — The fixed rate interest rate swaps include $50.0 million of forward starting swaps (2022: $200.0 million).

CHANGE IN FAIR VALUE USED FOR MEASURING INEFFECTIVE- NESS – CASHFLOW HEDGE $M

CHANGE IN FAIR VALUE USED FOR MEASURING INEFFECTIVE- NESS – FAIR

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

ACCUMU- LATED FAIR

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

VALUE HEDGE ADJUST- MENTS $M

CARRYING AMOUNT ASSETS/ (LIABILITIES) $M

FACE VALUE $M

WEIGHTED AVERAGE RATE

VALUE HEDGE $M

2023

Cash flow hedge - Interest risk Hedged item: NZD floating rate exposure on borrowings (1,190.0)

–

–

–

84.0

–

–

–

Hedging instrument: Fixed rate interest rate swaps

(1,240.0)

2.1%

–

83.7

83.7

–

(6.0)

–

Cash flow and fair value hedge - Interest and exchange risks Hedged item: USD fixed rate exposure on borrowings (1,212.9) – –

( 1,083.6)

19.4

90.0 –

–

Hedging instrument: Cross currency swaps

(1,212.9)

floating

126.1 (127.9)

24.4

( 89.5)

1.5

(4.1)

Fair value hedge - Interest risk Hedged item: NZD fixed rate exposure on borrowings (50.0)

–

3.8

(46.1)

–

0.8

–

–

Hedging instrument: Interest rate swap

(50.0)

floating

–

(3.7)

–

(0.9)

–

–

Ineffectiveness

5.0

0.4

94

Vector Annual Report 2023

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