Cloudberry Annual report 2022 Financial statements 122 are defined as currencies, nominal amounts and maturity. All interest rate swaps are designated as hedging instruments. Hedge ineffectiveness can arise from changes in counterparty credit risk. As per December 2022 the Group has entered into interest rate swaps, swapping from floating to fixed interest rate, for all long-term debt related to power plants, see note 23 Long-term debt. The Group also applies hedge accounting to highly probable future sales of power where there is an economic relationship between the hedged item (usually set at a low % of the total exposure) and the hedging instrument. The terms of the derivative (PPA) match the terms of the expected highly probable forecast transactions (i.e. % notional and payment date). Hedge accounting Hedging instruments designates in a hedge accounting relationship Information about hedging instruments that the Group has designated in a hedge accounting relationship is presented in the following table. Carrying amount of the hedging instruments Risk and hedging instruments Maturity (months) Weighted average rate/price1 Nominal amount2 Assets Liabilities Cash flow hedges Interest rate risk - borrowings Interest rate swap (IRS) - NOK 37-172 1.815% 369 278 36 (1) Commodity price risk – Forecast transactions Fixed price PPA 60 133 21 2 - 1 The weighted average prices for commodity hedges are presented as the price per megawatt hour for electricity (EUR/MWh) 2 Nominal amount is the nominal value converted into NOK using the exchange rate at year end. The carrying amount of the Forte interest swap is NOK 57m per 31 December recognised in other comprehensive income, with tax effect of NOK -13m. Hedge accounting impact to reserves in other comprehensive income: NOK million As at 31.12.2022 As at 31.12.2021 Opening balance 3 1 Net change in value of effective derivative hedging instruments 91 2 Interest rate swap (IRS) - NOK 32 2 Fixed price PPA 2 0 Interest rate swap (IRS) - NOK Forte 57 0 Deferred tax/tax credit -20 -1 Total movement 71 2 Closing balance 74 3 Impact from derivatives not designated in a hedge relationship In addition to derivatives that are designated and qualify for hedge accounting, the Group also has two derivatives as economic hedges of foreign currency and price exposure. This is a PPA related to Bøen Kraft and a EUR swap related to future capex in EUR at Sundby Vindpark. The change in fair value of these derivatives have had limited impact on the profit or loss statement in 2022.
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