The Company holds derivative financial instruments in accordance with the Group’s policy in relation to financial risk management. Details of that policy are set out in note 33 of the consolidated financial statements of the Company and its subsidiaries.
The carrying value of derivative financial instruments held by the Company was as follows:
| As at 2 January 2010 | As at 3 January 2009 | |||
|---|---|---|---|---|
| Assets $ million |
Liabilities $ million |
Assets $ million |
Liabilities $ million |
|
| Carrying value | ||||
| Interest rate swaps | 16.6 | – | 16.1 | – |
Interest rate swaps are used to swap borrowings by the Company under the Group’s EMTN Programme from fixed interest rates to floating interest rates. These contracts have been designated as fair value hedges in relation to the borrowings but they ceased to be effective for accounting purposes during 2009.
During 2009, the Company recognised a fair value loss of $1.4 million (2008: gain of $18.9 million) in relation to these contracts and the carrying amount of the hedged borrowings was decreased by $1.1 million (2008: increased by $20.1 million) to reflect the change in the fair value of the borrowings attributable to the hedged risk while the hedges were effective and the amortisation of the transitional adjustment that was recognised on adoption of FRS 26. During 2009, a net loss of $0.3 million (2008: net loss of $1.2 million) was, therefore, recognised in the profit and loss account in relation to these hedges.
The profile of interest rate swaps held by the Company was as follows:
| Interest rate | ||||
|---|---|---|---|---|
| Notional principle amount £ million |
Payable Variable |
Receivable Fixed |
Variable rate Index |
|
| As at 2 January 2010 Maturity date – December 2011 | 150.0 | 3.4% | 8.0% | 6 month LIBOR |
| As at 3 January 2009 Maturity date – December 2011 | 150.0 | 5.7% | 8.0% | 6 month LIBOR |