Vector Annual Report 2018

NOTES TO THE FINANCIAL STATEMENTS continued

19. Derivatives and hedge accounting:// CONTINUED 19.1 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 $M

CHANGE IN FAIR VALUE USED FOR MEASURING INEFFECTIVE­ NESS $M

HEDGE INEFFECTIVE­ NESS RECOGNISED IN PROFIT OR LOSS $M

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

CARRYING AMOUNT ASSETS/ (LIABILITIES) $M

WEIGHTED AVERAGE RATE

Cash flow hedges 2018

FACE VALUE $M

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

(790.0)

(49.0)

(1,100.0)

4.2%

(49.6)

(49.6)

49.6

(285.6)

(66.2)

(285.6)

10.8%

(65.6)

(65.9)

4.8

– –

(0.3)

Total

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

CHANGE IN FAIR VALUE USED FOR MEASURING INEFFECTIVE­ NESS $M

HEDGE INEFFECTIVE­ NESS RECOGNISED IN PROFIT OR LOSS $M

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

CARRYING AMOUNT ASSETS/ (LIABILITIES) $M

WEIGHTED AVERAGE RATE

Cash flow hedges 2017

FACE VALUE $M

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

(1,000.0)

(52.8)

(1,420.0)

5.0%

(51.9)

(51.9)

51.9

(285.6)

(96.3)

(285.6)

10.8%

(94.0)

(94.7)

13.4 Total

– –

(0.7)

The NZD floating rate exposure includes $350.0 million from the floating rate notes (2017: $750.0 million) and $440.0 million arising from hedging the USD senior bonds (2017: $250.0 million), as allowable under NZ IFRS 9. The interest rate swaps include $310.0 million of forward starting swaps (2017: $420.0 million).

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Vector://AR 18

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