2008 Annual report - Sappi

Notes to the group annual financial statements // continued
for the year ended September 2008
30. Financial Instruments (continued)
Derivative financial instruments with maturity profile
The following tables indicates the different types of derivative financial instruments for 2008 and 2007, included within the
various categories on the face of the balance sheet.
The reported maturity analysis is calculated based on an undiscounted basis.
Maturity analysis
Undiscounted cash flows
Classes of
Fair value
financial instruments Total hedge 6M 1Y 2Y 5Y
September 2008
Assets
Fair value of derivatives by risk factor
Interest rate risk
Interest rate swaps 76 76 38 10 37 – 1
receiving leg 532 532 186 35 211 127 8
paying leg (456) (456) (148) (25) (174) (127) (7)
Foreign exchange risk
FX forward contracts 4 – 5 – – – –
receiving leg 334 (11) 335 – – – –
paying leg (330) 11 (330) – – – –
Liabilities
Fair value of derivatives by risk factor
Interest rate risk
Interest rate swaps (1) – – – – – (1)
paying leg (1) – – – – – (1)
receiving leg – – – – – – –
Foreign exchange risk
FX forward contracts (24) – (23) – – – –
paying leg (576) – (578) – – – –
receiving leg 552 – 555 – – – –
164