SEC Filings

WNS (HOLDINGS) LTD filed this Form 6-K on 01/31/2019
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(Amounts in thousands, except share and per share data)


The assets and liabilities measured at fair value on a recurring basis as at March 31, 2018 are as follows:-


            Fair value measurement at reporting date using  


   March 31,
prices in
for identical
(Level 1)
(Level 2)
(Level 3)



Financial assets at FVTPL


Foreign exchange contracts

   $ 2,212      $ —      $ 2,212      $ —  

Investments in marketable securities and mutual funds

     99,954        99,412        542        —    

Financial assets at FVOCI


Foreign exchange contracts

     11,709        —          11,709        —    

Interest rate swaps

     1,062        —          1,062        —    













Total assets

   $ 114,937      $ 99,412      $ 15,525      $ —  















Financial liabilities at FVTPL


Foreign exchange contracts

   $ 946      $ —      $ 946      $ —    

Contingent consideration

     11,388        —          —          11,388  

Financial liabilities at FVOCI


Foreign exchange contracts

     7,809        —          7,809        —    













Total liabilities

   $ 20,143      $ —      $ 8,755      $ 11,388  













Description of significant unobservable inputs to Level 3 valuation

The fair value of the contingent consideration liability was estimated using a probability weighted method and achievement of revenue target with a discount rate of 2.5%. One percentage point change in the unobservable inputs used in fair valuation of the contingent consideration does not have a significant impact on its value.

The fair value is estimated using discounted cash flow approach which involves assumptions and judgments regarding risk characteristics of the instruments, discount rates, future cash flows and foreign exchange spot, forward premium rates and market rates of interest.

During the three and nine months ended December 31, 2018 and the year ended March 31, 2018, there were no transfers between Level 1 and Level 2 fair value measurements, and no transfers into and out of Level 3 fair value measurements.

Derivative financial instruments

The primary risks managed by using derivative instruments are foreign currency exchange risk and interest rate risk. Forward and option contracts up to 24 months on various foreign currencies are entered into to manage the foreign currency exchange rate risk on forecasted revenue denominated in foreign currencies and monetary assets and liabilities held in non-functional currencies. Interest rate swaps are entered to manage interest rate risk associated with the Company’s floating rate borrowings. The Company’s primary exchange rate exposure is with the US dollars and pound sterling against the Indian rupee. For derivative instruments which qualify for cash flow hedge accounting, the Company records the effective portion of gain or loss from changes in the fair value of the derivative instruments in other comprehensive income (loss), which is reclassified into earnings in the same period during which the hedged item affects earnings. Derivative instruments qualify for hedge accounting when the instrument is designated as a hedge; the hedged item is specifically identifiable and exposes the Company to risk; and it is expected that a change in fair value of the derivative instrument and an opposite change in the fair value of the hedged item will have a high degree of correlation. Determining the high degree of correlation between the change in fair value of the hedged item and the derivative instruments involves significant judgment including the probability of the occurrence of the forecasted transaction. When it is highly probable that a forecasted transaction will not occur, the Company discontinues the hedge accounting and recognizes immediately in the consolidated statement of income, the gains and losses attributable to such derivative instrument that were accumulated in other comprehensive income/(loss).