Corporate Report for the year ended 30 June 2022
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Section D: Notes to the THT and TIL financial statements for the year ended 30 June 2022
Section D: Notes to the THT and TIL financial statements for the year ended 30 June 2022
D11 Derivatives and financial risk management The instruments used by the Group are described in Note B15.
2022
2021
$M
$M
Current
Non-current
Current
Non-current
THT
TIL
THT
TIL
THT
TIL
THT
TIL
Assets Interest rate swap contracts
— 22 22
— — —
262 426 688
— — — — — —
— — —
— — — — — —
28 16 44
— — —
Cross currency interest rate swap contracts Total derivative financial instrument assets
Liabilities Interest rate swap contracts
— — —
49 — 49
— — —
2
77
113
Cross currency interest rate swap contracts Total derivative financial instrument liabilities
—
131 208
—
2
113
Market risk Foreign exchange risk The effects of the foreign currency related hedging instruments on THT’s financial position and performance are as follows: THT
2022
2021
$M
$M
Cross-currency interest rate swaps Carrying amount
448
(115)
Notional amount
3,909
3,909
Hedge ratio
1:1
1:1
Increase/(decrease) in discounted value of outstanding hedging instruments since inception (Decrease)/increase in value of hedged item used to determine hedge effectiveness
615
(256)
(636)
275
Maturity profile—notional value of cross-currency interest rate swaps are as follows: THT
Total nominal amount
Less than 12 months
2022
1–5 years Over 5 years
$M Cross-currency interest rate swaps (AUD:USD) 3
— — —
285 0.76 5.2% 375 0.74 4.5%
1,858 0.75 4.9% 190 0.71 3.3%
2,143
Average AUD-USD exchange rate
NA¹ NA¹
Average fixed interest rate 2
Cross-currency interest rate swaps (AUD:CHF) 4
200 0.72 4.6%
765
Average AUD-CHF exchange rate Average fixed interest rate 2
NA¹ NA¹
Total nominal amount
Less than 12 months
2021
1–5 years Over 5 years
$M Cross-currency interest rate swaps (AUD:USD) 3
— — — — — —
155
1,988
2,143
Average AUD-USD exchange rate
—
—
NA¹ NA¹ 765 NA¹ NA¹
Average fixed interest rate 2
5.5%
4.9%
Cross-currency interest rate swaps (AUD:CHF) 4
400
365
Average AUD-CHF exchange rate Average fixed interest rate 2
—
—
4.5%
3.9%
1. NA—Not applicable. 2. Based on average fixed rate of cross currency swap contracts, which does not include any margins that may be applicable on the hedged debt instrument.
3. Balances are presented in USD currency. 4. Balances are presented in CHF currency.
205 205
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