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