National Asset Management Agency - Annual Report 2013



NAMA Group

NAMA Group

NAMA Group
Fair value losses on derivatives acquired
from borrowers



Fair value gains on other derivatives (8,203) 38,125 29,922 8,538
Hedge ineffectiveness adjustment - 6,790 6,790 7,721
Total (losses) / gains on derivative financial instruments




Fair value movements on derivatives are driven by market movements that occurred during the year. The fair value of these swaps are impacted by changes in Euribor rates and borrower derivatives performance levels. Further information on derivative financial instruments is provided in Note 19.

Losses on derivatives acquired from borrowers that were associated with the loans acquired comprise fair value movements on these derivatives. Other derivatives hedge NAMA's interest rate risk exposure arising from derivatives acquired from debtors. Hedge accounting has not been applied on these derivatives.

At the reporting date, NAMA had entered into €23bn of interest rate swaps to hedge its exposure to interest rate risk arising from Euribor floating rates (2012: €18bn).

Some of these interest rate swaps were formally designated into hedge relationships during 2010, when the fair value of these derivatives was (negative) €30.4m. This amount was recognised as a fair value loss on other derivative financial instruments in the income statement in 2010. This fair value loss has been fully amortised as hedge ineffectiveness over the remaining life of the derivatives. A cumulative amount of €30.4m has been recognised as income in the income statement and cash flow hedge reserve. No further hedge ineffectiveness is expected.

There are no derivatives in the Agency.