Media releaseFinancials Fair Value Hierarchy (Reviewed)
The Group has the following hierarchy for measuring the fair value of assets and liabilities at the reporting date:
Level 1: Unadjusted quoted prices in active markets for identical assets or liabilities;
Level 2: Inputs other than quoted prices in Level 1 that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices); and
Level 3: Inputs for the asset or liability that are not based on observable market data (unobservable inputs).
The Group recognises transfers between levels of the fair value hierarchy at the end of the reporting period during which the change has occurred. There were no transfers during the years ended 31 December 2021 and 31 December 2020.
The following table sets out the Group's financial assets and financial liabilities by level within the fair value hierarchy at the reporting date:
| United States Dollars | ||||||||
| Figures in millions unless otherwise stated | December 2021 | December 2020 | ||||||
| Total | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | |
| Financial assets measured at fair value | ||||||||
| Environmental trust funds | 2.9 | – | 2.9 | – | 7.4 | – | 7.4 | – |
| Trade receivables from provisional copper sales | 25.8 | – | 25.8 | – | 23.7 | – | 23.7 | – |
| Investments – listed | 30.9 | 30.9 | – | – | 42.4 | 42.4 | – | – |
| Asanko redeemable preference shares | 94.5 | – | – | 94.5 | 92.6 | – | – | 92.6 |
| Warrants | – | – | – | – | 12.9 | – | 12.9 | – |
| Oil derivative contracts (2020:Gold and foreign exchange derivative contracts) | 5.1 | – | 5.1 | – | 113.3 | – | 113.3 | – |
| Financial assets not measured at fair value | ||||||||
| Environmental trust funds | 85.2 | – | 85.2 | – | 71.9 | – | 71.9 | – |
| Financial liabilities measured at fair value | ||||||||
| Foreign exchange derivative contracts (2020: Copper and oil) | 6.8 | – | 6.8 | – | 29.1 | – | 29.1 | – |
| Financial liabilities not measured at fair value | ||||||||
| Borrowings | 1,191.6 | 1,108.1 | – | 83.5 | 1,689.8 | 1,156.3 | – | 533.5 |
Environmental trust funds
The environmental trust funds are measured at fair value through profit or loss and amortised cost which approximates fair value based on the nature of the fund's underlying investments.
Trade receivables from provisional copper sales
Valued using quoted market prices based on the forward London Metal Exchange (“LME”) and, as such, classified within Level 2 of the fair value hierarchy.
Listed investments
Comprise equity investments in listed entities and therefore valued using quoted market prices in active markets.
Asanko redeemable preference shares
The fair value is based on the expected cash flows of the Asanko Gold Mine based on the life of mine model. The key inputs used in the valuation of the fair value were market related interest rates and expected redemption period.
Warrants
Warrants are measured at fair value through profit or loss. The fair value is determined using a standard European call option format based on a standard option theory model.
The fair values of these contracts are determined by using the applicable valuation models for each instrument type with the key inputs being forward prices, interest rates and volatility.
Borrowings
The 5-year notes and the 10-year notes are issued at a fixed interest rate. The fair values of these notes are based on listed market prices and are classified within Level 1 of the fair value hierarchy. The fair value of the remaining borrowings approximates their carrying amount, determined using the discounted cash flow method using market related interest rates and are classified within Level 3 of the fair value hierarchy.