201 Vodafone Group Plc Annual Report 2024 201
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Vodafone Group Plc Annual Report 2024
Fair value and carrying value information The carrying value and valuation basis of the Group’s financial assets are set out in notes 13 ‘Other investments’, 14 ‘Trade and other receivables’ and 19 ‘Cash and cash equivalents’. For all financial assets held at amortised cost the carrying values approximate fair value except as disclosed in note 13 ‘Other investments’. The carrying value and valuation basis of the Group’s financial liabilities are set out in notes 15 ‘Trade and other payables’ and 21 ‘Borrowings’. The carrying values approximate fair value for the Group’s trade payables and other payables categories. For other financial liabilities a comparison of fair value and carrying value is disclosed in note 21 ‘Borrowings’. Level 3 financial instruments The Group’s borrowings include €1,720 million (2023: €1,485 million) of bank borrowings that are secured against the Group’s shareholdings in Indus Towers and Vodafone Idea (see note 12 ‘Investments in Associates and Joint Ventures’ for further details of these assets) and will be repaid through the realisation of proceeds from those assets. This arrangement contains an embedded derivative option which has been separately fair valued. The 31 March 2024 valuation of the embedded derivative asset of €22 million (2023: €198 million) is presented within derivative assets in current assets (see note 14 ‘Trade and other receivables’). A Black Scholes model for European put options has been used as a valuation model and primarily uses market inputs (quoted share prices and volatilities for Indus Towers and Vodafone Idea) along with a strike price equal to the amount payable under the loan. The valuation includes an unobservable adjustment to reflect the potential timeframe to settle the loan and has been modelled using a range of potential durations up to 30 September 2025 (2023: September 2024). As a result of this unobservable adjustment, the option is classified as a level 3 instrument under the fair value hierarchy. An increase/(decrease) in durations applied of 6 months would increase/(decrease) the derivative asset by €31 million/(€7 million) (2023: €141million/(€115 million)). Net financial instruments The table below shows the Group’s financial assets and liabilities that are subject to offset in the balance sheet and the impact of enforceable master netting or similar agreements.
Related amounts not set off in the balance sheet
Amounts presented in balance sheet
Right of set off with derivative counterparties
Collateral (liabilities)/assets 1
Gross amount
Amount set off
Net amount
At 31 March 2024 Derivative financial assets Derivative financial liabilities
€m
€m
€m
€m
€m
€m
4,226 (1,524) 2,702
– –
4,226 (1,524) 2,702
(899) 899
(2,628) (1,887) 741
699 116 815
Total
–
–
Related amounts not set off in the balance sheet
Amounts presented in balance sheet
Right of set off with derivative counterparties
Collateral (liabilities)/assets 1
Gross amount
Amount set off
Net amount
At 31 March 2023 Derivative financial assets Derivative financial liabilities
€m
€m
€m
€m
€m
€m
6,124 (1,422) 4,702
– –
6,124 (1,422) 4,702
(910) 910
(4,886) (4,647) 239
328 (273)
Total
–
–
55
Note: 1 Excludes non-cash collateral of €370 million (2023: €nil) which is not recognised on balance sheet but which would become payable to the Group in the event of a counterparty default on the related derivative financial assets. Financial assets and liabilities are offset and the net amount reported in the consolidated balance sheet when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the asset and settle the liability simultaneously. Derivative financial instruments that do not meet the criteria for offset could be settled net in certain circumstances under ISDA (‘International Swaps and Derivatives Association’) agreements where each party has the option to settle amounts on a net basis in the event of default from the other. Collateral may be offset and net settled against derivative financial instruments in the event of default by either party. The aforementioned collateral balances are recorded in notes 13 ‘Other investments’ or 21 ‘Borrowings’ respectively.
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