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National Grid Electricity Transmission plc Annual Report and Accounts 2006/07
18. Derivative financial instruments (continued)
Our use of derivatives may entail a derivative transaction qualifying for one or more hedge type designations under IAS39.The fair value and their notional amounts by
designated hedge type can be analysed as follows:
2007
2006
Fair value Notional Fair value Notional Fair value Notional Fair value Notional
£m £m £m £m £m £m £m £m
Fair value hedges
Interest rate swaps 2(126) (17) (496) 24 (506) -(71)
Cross-currency interest rate swaps - - (16) (100) 12 (334) (10) (100)
2(126) (33) (596) 36 (840) (10) (171)
Cash flow hedges
Interest rate swaps 1(414) - - - - (2) (287)
Cross-currency interest rate swaps - - (2) (414) 3(80) (6) (207)
Foreign exchange forward contracts -(1) -(5) -2- -
1(415) (2) (419) 3(78) (8) (494)
Derivatives not in a formal hedge relationship
Interest rate swaps 2(186) (5) (186) -(62) (1) (117)
2(186) (5) (186) -(62) (1) (117)
5(727) (40) (1,201) 39 (980) (19) (782)
The maturity of derivative financial assets and liabilities measured at fair value can be analysed as follows:
Assets Liabilities Assets Liabilities
£m £m £m £m
In one year or less 2(4) 16 (9)
Current
2
(4)
16 (9)
In more than one year, but not more than two years 1(2) - -
In more than two years, but not more than three years - - 5(1)
In more than three years, but not more than four years -(3) - -
In more than four years, but not more than five years - - - -
In more than five years 2(31) 18 (9)
Non-current
3
(36)
23 (10)
Total
5
(40)
39 (19)
- 57 -
Asset Liability
2007 2006
Asset Liability