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10. DERIVATIVE FINANCIAL INSTRUMENTS (CONT’D)
Fair value hedge (cont’d)
Group and Bank
2013
Notional
Hedge instrument:
Hedging
Nature of
amount
Interest Rate Swap
Hedged item: MTN
relationship
risk
USD63 million
Floating rate of 3 months Libor
Fixed 3.509% per annum
Fair value
Interest rate
+ 1.85% pa (receive fixed USD
(payable semi-annually)
hedge
semi-annually/pay float
USD quarterly)
Notional
Hedge instrument:
Hedging
Nature of
amount
Cross Currency Interest Rate Swap
Hedged item: MTN
relationship
risk
HKD402 million
USD76.83 million at floating
Fixed 1.6% per annum
Fair value
Interest rate
rate of 3 months USD Libor +
(payable annually)
hedge
& foreign
1.24 p.a (receive fixed HKD
currency risk
anually/pay USD quarterly)
HKD596 million
USD51.82 million at floating
Fixed 2.95% per annum
Fair value
Interest rate
rate of 3 months USD Libor +
(payable annually)
hedge
& foreign
0.88 p.a (receive fixed HKD
currency risk
anually/pay USD quarterly)
HKD300 million
SGD47.88 million at floating
Fixed 2.95% per annum
Fair value
Interest rate
rate of 6 months SGD SOR +
(payable annually)
hedge
& foreign
1.00 p.a (receive fixed HKD
currency risk
annually/pay float SGD
semi annually)
The gain/(loss) arising from the fair value hedges is as follows:
Group and Bank
2013
2012
RM’000
RM’000
Gain/(Loss) arising from fair value hedges:
Hedged items
(77,792)
–
Hedging instruments
73,073
–
(4,719)
–
EXIM Bank Annual Report 2013
133