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 20092010 2011 2012 2013 2014 Thereafter Total Asset LiabilityGBP equivalent at 30 September 2009 £mEuro interest rate derivativesInterest rate swaps –pay variable, receive fixed:Notional amount – – 1,144 – 2,241 1,830 5,215 215 31Weighted average interestrate to receive (%) – – 4.8 – 5.3 7.0 5.8Weighted average marginover EURIBOR to pay (%) – – 2.7 – 1.3 4.0 2.5Strategy Performance Governance FinancialsDerivative financial instruments are then transacted to change a portion of the debt into fixed interest rates, thereby creatingthe desired interest rate risk.Sterling interest ratederivativesInterest rate swaps –pay fixed, receive variable:Notional amount – – 110 – 300 219 2,5 629 – 48Weighted average interestrate to pay (%) – – 6.1 – 5.0 4.6 5.1Euro interest rate derivativesInterest rate swaps –pay fixed, receive variable:Notional amount 485 220 3 2,501 929 4 439 1,784 6 6,358 – 317Weighted average interestrate to pay (%) 3.7 3.9 4.0 3.9 3.8 4.2 3.9Basis swaps – receivevariable monthly, payvariable quarterlyNotional amount 1,262 – – – – – 1,262 1 –US dollar interest ratederivativesInterest rate swaps –pay fixed, receive variable:Notional amount – – 1,001 – 501 805 7 2,307 – 148Weighted average interestrate to pay (%) – – 3.9 – 4.0 4.7 4.2Collars purchased:Notional amount – 125 8 – – – – 125 – 5Caps purchased:Notional amount 63 9 – – – – – 63 – –Basis swaps – receivevariable monthly, payvariable quarterly:Notional amount 626 – – – – – 626 1 –Additional derivatives are then transacted to manage net investment hedging risk.136