Measurements at fair value in the balance sheet are classified using a three-level hierarchy based on the type and quality of the fair values (market prices). The following levels exist:
Level 1: Publicly quoted market prices for the respective financial instrument (e.g. stock market prices).
Level 2: Market prices that are not generally accessible and possibly derived from prices for similar financial instruments or underlying goods.
Level 3: Prices that are not based on market data.
In the Repower Group, transfers of items measured at fair value to and from levels generally take place at the end of the period. There were no transfers between levels in the first half of 2013. There were no changes in the measurement methods nor were items measured at fair value shifted within the individual categories.
Fair value hierarchy | 30.06.2013 | Level 1 | Level 2 | Level 3 |
---|---|---|---|---|
CHF thousands | ||||
Assets | ||||
Recurring fair value measurements | ||||
Fair value through profit or loss | ||||
Financial instruments | ||||
Securities and financial instruments | 205 | - | 205 | - |
Positive replacement values | ||||
Currency exchange forwards | 2,607 | - | 2,607 | - |
Held-for-trading positions | 199,426 | 24 | 199,402 | - |
Non-financial instruments | ||||
None | ||||
Non-recurring fair value measurements | ||||
None | ||||
Total at 30 June | 202,238 | 24 | 202,214 | - |
Liabilities | ||||
Recurring fair value measurements | ||||
Fair value through profit or loss | ||||
Financial instruments | ||||
Negative replacement values | ||||
Currency exchange forwards | 137 | - | 137 | - |
Interest rate swaps | 7,702 | - | 7,702 | - |
Held-for-trading positions | 193,331 | 1 | 193,330 | - |
Not at fair value through profit or loss | ||||
Interest rate swaps (hedge accounting) | 641 | - | 641 | - |
Financial instruments not measured at fair value through profit or loss | ||||
Long-term financial liabilities | 579,034 | - | 579,034 | - |
Non-recurring fair value measurements | ||||
None | ||||
Total at 30 June | 780,845 | 1 | 780,844 | - |
The fair value of the non-current financial liabilities is TCHF 579,675 (carrying amount TCHF 539,307) and comprises the "Interest-rate swaps (hedge accounting)" and "Loans and other financial liabilities". The carrying amount of the other financial instruments represents a reasonable estimate for their fair value or already corresponds to it.
Other non-current securities and positive replacement values of the forward exchange transactions are reported under "Securities and other financial instruments". The replacement values of all financial instruments from energy trading transactions open on the balance sheet date correspond to the items of the same name "Positive/negative replacement values held-for-trading positions". The item "Current financial liabilities" contains the negative replacement values of the forward exchange transactions and interest-rate swaps.
The fair values are determined by applying standard market measurement methods taking into account the market data available on the measurement date. The measurement methods and assumptions used to calculate the fair value are as follows:
The price curves of the last trading day for the various products and terms on stock exchanges or with brokers are incorporated into the measurement of the positive/negative replacement values classified as Level 2 of the held-for-trading positions. The replacement value is obtained from the difference in price compared to the closing price.
Observable market currency curves of active markets are incorporated in the measurement at fair value of the forward exchange transactions. Interest differences between individual currencies are taken into account when determining the fair value.
Observable market currency curves of active markets are incorporated into the fair value measurement of the interest-rate swaps.
A cash value calculation is used to determine the fair value of the non-current loan. The cash value of the loans is calculated to determine their fair value. Observable capital market rates of active markets are used as input parameters and increased by Repower's observable market credit risk. Loans in euros are converted to Swiss francs with the basic closing rate.