ANNUAL REPORT ‘12
NOTES TO THE FINANCIAL STATEMENTS
236
27_DERIVATIVE FINANCIAL INSTRUMENTS
At 31 December 2012 the ANA Group had contracted a derivative financial instrument with a notional of 30 million
euros on the interest rate (interest rate swap).
This derivative was designated in a cash flow coverage report. The Group’s aim is to cover the interest rate risk
associated with the floating interest rate payments on its financial liabilities, thus transforming the floating interest
rate into a fixed one. The risk which is covered is the floating interest reference rate for the loans in question, but
the credit risk is not covered.
The main conditions of the covered instrument and the coverage instrument are given here:
Covered instrument
Cash flows of the finance contracted with the EIB:
Notional
30 million euros
Date of issue
15 June 2005
Maturity date
15 September 2026
Interest rate
Eur 3M
Liquidation date
At maturity
Coverage instrument
ANA, S.A. negotiated an interest rate swap with the following characteristics:
Type
Interest Rate Swap
Counterpart
Deutsche Bank
Notional
30 million euros (amortising)
Transaction date
15 June 2005
Start date
15 June 2005
Maturity date
15 September 2026
Underlying
ANA, S.A. receives Euribor 3M, pays 3.55% (from 15 June 2010 onwards)
Effectiveness tests
The method used is that of linear regression, which analyses the statistical correlation between the two variables
Designated as cash flow coverage
Interest rate swap
30,000,000.00 (4,216,834.68) 30,000,000.00
(2,874,333.61)
Total derivatives
30,000,000.00 (4,216,834.68)
30,000,000.00
(2,874,333.61)
2012
2011
Fair value
Notional
Fair value
Notional
