Page 137 - EXIM-BANK-AR20

Section 06 Financial Statements
135

9. DERIVATIVE FINANCIAL INSTRUMENTS (CONT’D.)
Fair value hedge (cont’d.)

Full details of hedging as follows: (cont’d.)
Group and Bank
2019 (cont’d.)

Notional Hedging instrument: Interest/Profit Rate Hedged item: Hedging Nature of
amount Swap MTN/SUKUK relationship risk

USD150 million Floating rate of 3 months Libor + 1.21% p.a. Fixed 2.48% Fair value hedge Interest rate
(receive fixed USD semi-annually/pay float USD per annum (payable
quarterly) semi-annually)
USD150 million Floating rate of 3 months Libor + 1.214% p.a. Fixed 2.48% Fair value hedge Interest rate
(receive fixed USD semi-annually/pay float USD per annum (payable
quarterly) semi-annually)
USD50 million Floating rate of 3 months Libor + 1.165% p.a. Fixed 2.48% Fair value hedge Interest rate
(receive fixed USD semi-annually/pay float USD per annum (payable
quarterly) semi-annually)

HKD596 million USD76.83 million at floating rate of 3 months Fixed 2.95% Fair value hedge Interest rate
USD Libor + 1.24% p.a. (receive fixed HKD per annum (payable & foreign
annually/pay USD quarterly) annually) currency

HKD300 million SGD47.89 million at floating rate of 6 months Fixed 2.95% Fair value hedge Interest rate
SGD SOR + 1.00% p.a. (receive fixed HKD per annum (payable & foreign
annually/pay float SGD semi annually) annually) currency
Notional Hedging instrument: Cross Currency Hedged item: Hedging Nature of
amount Interest/Profit Rate Swap MTN/SUKUK relationship risk

JPY3 billion USD29.34 million at floating rate of 3 months Fixed 0.65% Fair value hedge Interest rate
Libor + 0.94% p.a. (receive fixed JPY per annum (payable & foreign
semi-annually/pay float USD quarterly) semi-annually) currency
USD40 million GBP 25.99 million at fixed rate of 2.43% p.a. Fixed 2.45% Fair value hedge Profit rate
(receive fixed GBP semi-annually/pay USD per annum (payable & foreign
semi-annually) semi-annually) currency

HKD400 million USD 51.57 million at floating rate of 3 months Fixed 2.10% Fair value hedge Profit rate
USD Libor + 1.18% p.a. (receive fixed HKD per annum (payable & foreign
annually/pay USD quarterly) annually) currency