Endeavour Energy Annual Performance Report - Parliament of New ...

21 Financial Instruments continued
Interest rates used for determining fair value
The interest rates used to discount estimated cash flows are based on referable market rates at the reporting date,
plus an adequate credit spread, and were as follows:
2011
%
2010
%
Treasury derivatives 5.3%–5.6% 4.5%–4.7%
Electricity derivatives 4.9%–5.5% 4.6%–5.1%
Borrowings 4.8%–5.9% 4.5%–5.9%
Fair value hierarchy
The table below analyses financial instruments carried at fair value, by valuation method. The different levels have
been defined as follows:
• Level 1: quoted prices (unadjusted) in active markets for identical assets or liabilities
• Level 2: inputs other than quoted prices included within Level 1 that are observable for the asset or liability,
either directly (i.e. as prices) or indirectly (i.e. derived from prices)
• Level 3: inputs for the asset or liability that are not based on observable market data (unobservable inputs)
Level 1
$’000
Level 2
$’000
Level 3
$’000
Total
$’000
30 June 2011
Assets carried at fair value
Treasury derivatives – options – 1,149 – 1,149
Electricity derivatives – swaps – 1,232 – 1,232
– 2,381 – 2,381
Liabilities carried at fair value
Treasury derivatives – options 1,613 – – 1,613
Electricity derivatives – swaps – 51,764 – 51,764
Electricity derivatives – options – 832 – 832
Commodity derivatives – forward exchange contracts 3,036 – – 3,036
4,649 52,596 – 57,245
30 June 2010
Assets carried at fair value
Treasury derivatives – interest rate swaps – 298 – 298
Treasury derivatives – options – 1,376 – 1,376
Electricity derivatives – swaps – 2,275 – 2,275
Electricity derivatives – options – 68,596 – 68,596
– 72,545 – 72,545
Liabilities carried at fair value
Treasury derivatives – interest rate swaps – 222 – 222
Electricity derivatives – swaps – 104,618 – 104,618
Electricity derivatives – options – 14,436 – 14,436
– 119,276 – 119,276
Endeavour Energy Annual Performance Report 2010–11
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