EDC PR 2016 (FS section)

Pertinent details of the IRS are as follows:
Notional
amount
(in million)
Trade
Date
Effective
Date
Maturity
Date
Fixed
rate Variable rate
US$62.00 10/20/14 12/15/14 10/23/29 2.635% 6-month LIBOR
40.00 10/20/14 12/15/14 10/23/29 2.635 6-month LIBOR
39.00 12/11/14 12/15/14 10/23/29 2.635 6-month LIBOR
18.00 02/12/16 06/15/16 10/23/29 1.825 6-month LIBOR
9.00 10/20/14 12/15/14 10/23/29 2.508 6-month LIBOR
6.00 02/12/16 06/15/16 10/23/29 1.825 6-month LIBOR
6.00 02/12/16 06/15/16 10/23/29 1.825 6-month LIBOR
The maturity date of the seven (7) IRS coincides with the maturity date of the Foreign Facility.
As of December 31, 2016 and 2015, the outstanding aggregate notional amount of EBWPC’s IRS
amounted to US$169 million and US$147 million, respectively. The aggregate fair value changes
on these IRS amounted to ₱12.4 million loss and ₱188.8 million loss as of December 31, 2016 and
2015, respectively.
Hedge Effectiveness Results
As of December 31, 2016 and 2015, the fair value of the outstanding IRS amounted to
(₱59.3 million) and (₱202.5 million), respectively. Since the critical terms of the Foreign Facility
and IRS match, EBWPC recognized the aggregate fair value changes on these IRS under “Fair
Value Adjustment on Hedging Transactions” account in the consolidated statements of financial
position.
C. Call Spread Swap Contracts
In March 2016, the Parent Company entered into three (3) call spread swaps (CSS) with an
aggregate notional amount of US$28.8 million. In June 2016, the Parent Company also entered
into additional two (2) CSS with notional amount of US$9.6 million each. These derivative
contracts are designed to hedge the possible foreign exchange loss of its US$80.0 million club
loan.
The aggregate fair value changes on these call spread contracts amounted to ₱59.3 million as of
December 31, 2016.
Hedge Effectiveness Results
As of December 31, 2016, the fair value of the outstanding CSS amounted to (₱42.5 million).
Since the critical terms of the US$80.0 million club loan and CSS match, EDC recognized the
aggregate fair value changes on these under “Derivative gains (losses)” account in the
consolidated statements of income.
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I Energy Development Corporation Performance Report 2016