NOTES TO THE FINANCIAL STATEMENTS
23. DERIVATIVE FINANCIAL INSTRUMENTS
Group |
Company |
|||
2010 £m |
2009 £m |
2010 £m |
2009 £m |
|
Derivatives used for hedging |
||||
Non-current assets |
- |
0.2 |
- |
- |
Current assets |
3.4 |
- |
3.4 |
- |
Current liabilities |
(3.5) |
(1.4) |
- |
(1.4) |
Non-current liabilities |
(14.1) |
(16.5) |
- |
- |
Derivatives deemed held for trading |
||||
Current liabilities |
(0.1) |
(2.2) |
- |
- |
The fair value of hedging derivatives is split between current and non-current assets or liabilities based on the maturity of the cash flows.
The ineffective portion recognised in the income statement arising from cash flow hedges amounts to a gain of nil (2009 £0.4m).
Interest rate swaps and fixed rate borrowings are used to manage the mix of fixed and floating rates to ensure at least 50% of Group net borrowings are at fixed rate. At 31 March 2010 65% of Group net borrowings were at fixed rate (2009 57%).
At 31 March 2010 the Group had interest rate swaps to swap from floating to fixed rate and hedge financial liabilities with a notional value of £775.0m and a weighted average maturity of 4.4 years (2009 £760.0m, with 2.4 years). The weighted average interest rate of the swaps for their nominal amount was 4.0% (2009 4.5%).
At 31 March 2010 the Company had cross-currency interest rate swaps to swap from floating to fixed rate and hedge financial liabilities, relating to a borrowing in the year of 70m Australian Dollars, with a weighted average maturity of 3.0 years. The weighted average interest rate of the swaps was 3.7%.
Derivatives held for trading relate to interest rate swaps which no longer qualify for hedge accounting.
The amounts above are the fair value of swaps based on the market value of equivalent instruments at the balance sheet date.
Valuation hierarchy
The amounts of financial instruments carried at fair value by valuation method were:
31 March 2010 |
31 March 2009 |
||||||||
Level 1 £m |
Level 2 £m |
Level 3 £m |
Total £m |
Level 1 £m |
Level 2 £m |
Level 3 £m |
Total £m |
||
Assets |
|||||||||
Derivatives used for hedging |
- |
3.4 |
- |
3.4 |
- |
0.2 |
- |
0.2 |
|
Total assets |
- |
3.4 |
- |
3.4 |
- |
0.2 |
- |
0.2 |
|
Liabilities |
|||||||||
Derivatives used for hedging |
- |
17.6 |
- |
17.6 |
- |
17.9 |
- |
17.9 |
|
Derivatives deemed held for trading |
- |
0.1 |
- |
0.1 |
- |
2.2 |
- |
2.2 |
|
Total liabilities |
- |
17.7 |
- |
17.7 |
- |
20.1 |
- |
20.1 |
|
Level 1 - Quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2 - Inputs (other than quoted prices included within level 1) that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices).
Level 3 - Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).