8 Notes to and Forming Part of the Financial Statements For the Year ended 30 June 2011
28. Financial Instruments (Continued) (e) Interest Rate Risk Management (Continued) The nominal principal amounts and periods of expiry for interest rate swaps and futures held at reporting date were: Consolidated
Parent Entity
2011
2010
2011
2010
$’000
$’000
$’000
$’000
Less than one year
-
4,204
-
-
One to five years
-
21,049
-
-
Greater than five years
-
35,674
-
-
-
60,927
-
-
Less than one year*
-
36,000
-
36,000
One to five years*
-
(16,300)
-
(16,300)
(22,100)
(7,500)
(22,100)
(7,500)
(22,100)
12,200
(22,100)
12,200
Interest Rate Swaps
Interest Rate Futures
Greater than five years*
* positive amount indicates bought futures; negative amount indicates sold futures. The total notional amount of interest rate swaps for the consolidated entity is $Nil. On 28 February 2011, Delta Electricity Australia Pty Ltd, who held interest rate swaps, was placed into voluntary administration and subsequent receivership. Interest rate risk management instruments are recognised in the Statement of Financial Position at fair value. The fair value of futures represents the margin call at reporting date. The fair value of interest rate swaps represents the amount the entity would expect to receive or pay on the termination of contracts at reporting date. For instruments which qualify as cash flow hedges and meet the conditions of hedge accounting, the portion of the gain or loss on the hedging instrument that is determined to be an effective hedge is recognised directly in equity (other comprehensive income) and the ineffective portion is recognised in profit or loss. If a hedged transaction is no longer expected to occur, the net cumulative gain or loss recognised in equity is transferred to profit or loss for the year. For instruments that do not qualify for hedge accounting, any gains or losses arising from changes in fair value are taken directly to profit or loss for the year.
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DELTA ELECTRICITY ANNUAL REPORT 2010 - 2011