ANNUAL INTEGRATED REPORT 2021
ANNUAL INTEGRATED REPORT 2021 | AXTEL
=
Counterparty
Notional
amount
Agreement
beginning date
Type of
underlying asset
Fair value
2020
2019
Characteristics
2021
2020
2019
Currency
MXN
Notional
$2,880,000
Bank of
America
Merrill
Lynch (1)
Coupon
30,384,700
2010 y 2009
CPO's Axtel
$ - $ 92,673
Coupon
Maturity
TIIE28
8.355%
15-diciembre -2022
$ 92,673
$(33,575)
$(33,520)
MXN
$3,380,000
TIIE28
8.355%
15-diciembre-2022
$(207,198)
MXN
$3,380,000
TIIE28
15-diciembre -2022
$(205,774)
$3,989
$29,586
$5,784
$201,414
8.355%
$(137,177)
$(135,329)
$653
$136,524
During July and August of 2020, the financial instrument maintained
with Bank of America Merrill Lynch was fully exercised. For the year
ended December 31, 2020 and 2019, the changes in fair value of the Zero
Strike Calls gave rise to a realized gain of $105,809 and an unrealized
gain $8,919, respectively. These were recognized in the consolidated
statement of income within financial income and expenses.
Derivative financial instruments
As of December 31, 2021, 2020 and 2019, the Company maintains the
following derivative financial instrument:
a. Interest Rate Swap (IRS) with the purpose of mitigating risks
associated with the variability of its interest rates. The Company
maintains interest-bearing liabilities at variable rates, which is why
it is exposed to the variability of the reference interest rate (TIIE).
Therefore, the Company entered into an IRS and hedged the interest
payments associated with two debt instruments; the conditions of
the derivative financial instrument and the considerations of its
valuation as a hedging instrument are mentioned below:
Swap book value
Change in the fair value of the
swap to measure ineffectiveness
Reclassification from OCI to income
Balance recognized in OCI net of
reclassifications
Ineffectiveness recognized in
income
Change in the fair value of
the hedged item to measure
ineffectiveness
Change in the fair value DFI vs
comparative year
$40,712
$210,604
$147,478
$173,623
$(70,021)
$(160,768)
For accounting purposes, the Company has designated the IRS
described above as a cash flow hedge to mitigate interest rate
volatility of two financial liabilities, formally documenting the
relationship, establishing the objectives, management's strategy to
hedge the risk, the hedging instrument identified, the hedged item,
the nature of the risk to be hedged and the methodology of used
to evaluate the hedge effectiveness.
As of December 31, 2021, 2020 and 2019, the results of the
effectiveness of this hedge confirms that the hedge relationship
is highly effective, given that the changes in the fair value and
cash flows of the hedged item are compensated in the range
of effectiveness established by the Company. The prospective
effectiveness test resulted in 119%, 96.7% and 100%, in 2021, 2020
and 2019, respectively, confirming that there is an economic
relationship between the hedging instruments and the hedged
instrument. The method used by the Company is to offset cash
flows using a hypothetical derivative, which consists of comparing
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