Vector AR’19 ― notes to the financial statements (continued)
19. Derivatives and hedge accounting CONTINUED 19.1 Effects of hedge accounting on the financial position and performance CONTINUED
CHANGE IN FAIR VALUE OF THE HEDGED ITEM $M
CHANGE IN FAIR VALUE OF THE HEDGING INSTRUMENT $M
ACCUM ULATED FAIR VALUE HEDGE ADJUSTMENTS $M
CARRYING AMOUNT ASSETS/ (LIABILITIES) $M
CHANGE IN VALUE IN COST OF HEDGING $M
WEIGHTED AVERAGE RATE $M
FACE VALUE $M
Fair value hedges 2019
Interest and exchange risk Hedged item: USD fixed rate exposure on borrowings
(1,112.9)
(109.7)
(1,220.5)
(57.2)
Hedging instrument: Cross currency swaps
(1,112.9)
floating
104.5
54.7 54.7
(5.1)
Total
(57.2)
CHANGE IN FAIR VALUE OF THE HEDGED ITEM $M
CHANGE IN FAIR VALUE OF THE HEDGING INSTRUMENT $M
ACCUM ULATED FAIR VALUE HEDGE ADJUSTMENTS $M
CARRYING AMOUNT ASSETS/ (LIABILITIES) $M
CHANGE IN VALUE IN COST OF HEDGING $M
WEIGHTED AVERAGE RATE $M
FACE VALUE $M
Fair value hedges 2018
Interest and exchange risk Hedged item: USD fixed rate exposure on borrowings Hedging instrument: Cross currency swaps
(1,112.9)
(52.6)
(1,162.9)
(29.1)
(1,112.9)
floating
55.0 Total
32.2 32.2
1.8
(29.1)
Hedging instruments and hedged items are included in the line items “Derivatives” and “Borrowings” respectively in the balance sheet. Ineffectiveness is the sum of the change in fair value of the hedged item and the change in fair value of the hedging instrument. The source of ineffectiveness is largely due to counterparty credit risk on the derivative instruments. Hedge ineffectiveness is included in the “Fair value change on financial instruments” in the profit or loss.
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