Page 163 - Suncorp_Review

Suncorp Group Limited Annual Report 2010/11 161

CONSOLIDATED

2011 2010

Fair value hedges Cash fow hedges Fair value hedges Cash fow hedges $m $m $m $m

Hedging of fuctuations in interest rates Notional value of interest rate swaps

designated as hedges 379 14,105 531 18,776

Fair value:

net receive interest rate swaps 8 12 13 61 net pay interest rate swaps (1) (102) – (227) 7 (90) 13 (166)

Split approach Split approach 2011 2010 $m $m

Hedging of fuctuations in foreign exchange rates

Notional value of cross currency swaps

designated as hedges 9,144 15,546

Fair value:

net receive cross currency swaps – 287 net pay cross currency swaps (2,306) (1,865) (2,306) (1,578)

Banking also hedges against the foreign currency exposure which results from the government guarantee expense. The underlying exposure is calculated as the present value of the 1% fee charged to Banking for those selected offshore liabilities, over the term of the life of the liabilities. The hedge is a cash fow hedge using foreign currency positions with foreign currency translation movements deferred to equity, and released to proft or loss as the fee expense is incurred. As at 30 June 2011 the unrealised loss from foreign currency fuctuation deferred to equity was $37 million (2010:

$29 million) for government guarantee fee hedges. During the current fnancial year the Bank deferred to equity $25 million, and released $18 million of foreign currency loss previously deferred to equity to proft or loss (2010: deferred to equity $22 million and released $13 million of foreign currency loss previously deferred to equity to proft or loss). Cash fows relating to the cash fow hedges are expected to impact the proft or loss in the following periods:

CONSOLIDATED

Total expected 0 to 12 months 1 to 5 years Over 5 years cash fows $m $m $m $m

2011

Forecast receivable cash fows 468 209 – 677 Forecast payable cash fows (535) (211) – (746) (67) (2) – (69)

2010

Forecast receivable cash fows 717 489 – 1,206 Forecast payable cash fows (791) (565) – (1,356) (74) (76) – (150)

Consolidated losses of $36 million (2010: gains of $81 million) on derivatives held in qualifying fair value hedging relationships, and gains of $35 million (2010: losses of $79 million) representing changes in the fair value of the hedged items attributable to the hedged risk are recognised in proft or loss.