Annual report 2010 - Imperial Tobacco Group

Notes to the Financial Statements continued16 Borrowings and Derivative Financial Instruments continuedMatures in financial year ending inFair value at30 September 20102011 2012 2013 2014 2015 Thereafter Total Asset LiabilityGBP equivalent at 30 September 2010 £mCross currency swapsReceive sterling, pay euro:Notional amount – 350 1 – – – 650 1 1,000 33 231Sterling interest rateto receive (%) – 6.7 – – – 5.6 6.0Interest margin overEURIBOR to pay (%) – 1.3 – – – 0.8 1.0Strategy Performance Governance FinancialsForeign exchange swapsReceive euro, pay US dollar:Notional amount 1,593 – – – – – 1,593 54 –Receive euro, pay sterling:Notional amount 272 – – – – – 272 – 9Receive US dollar,pay sterling:Notional amount 717 – – – – – 717 1 3Sterling interest ratederivativesInterest rate swaps –pay variable, receive fixed:Notional amount – – – – – 2,100 2,100 196 –Weighted average interestrate to receive (%) – – – – – 8.2 8.2Weighted average marginover LIBOR to pay (%) – – – – – 4.2 4.2Euro interest rate derivativesInterest rate swaps –pay variable, receive fixed:Notional amount – 1,082 – 2,125 – 1,732 4,939 296 –Weighted average interestrate to receive (%) – 4.8 – 5.3 – 7.0 5.8Weighted average marginover EURIBOR to pay (%) – 2.7 – 1.3 – 4.0 2.5Derivative financial instruments are then transacted to change a portion of the debt into fixed interest rates, thereby creatingthe desired interest rate risk.132