5. Financial and derivative instruments (continued)
Level 2 valuations are based on inputs that are either directly or indirectly observable for the asset or liability as at the reporting date. Inputs include quoted market prices, time value, volatility factors and broker quotations which can be substantially observed or corroborated in the marketplace.
Level 3 inputs are unobservable for the particular assets and liabilities as at the reporting date. The Corporation did not classify any of its fair value measurements within Level 3.
As at December 31,
As at March 31,
2020
2020
Carrying Amount
Fair
Fair
Classifi- Fair Value Carrying cation Hierarchy Amount
Value
(millions)
Value
Financial and derivative assets Cash Trade and other receivables Fair value of derivative instrument assets Debt retirement funds Financial and derivative liabilities Short-term debt
$
16
$
16
$
1
$
1
FVTPL Level 1 AC Level 2
132 141
132 141
155 136
155 136
Level 2
FVOCI
13
13
15
15
FVTPL Level 2
289
289
279 120
279 120
AC Level 2 AC Level 2 AC Level 2 AC Level 2
96
96
Trade and other payables
8
8
2
2
Dividends payable Long-term debt
1,819
1,485
1,532
1,359
Fair value of derivative instrument liabilities
7
7
21
21
FVTPL Level 2
Classification details: FVTPL - fair value through profit or loss AC - amortized cost FVOCI - fair value through other comprehensive income
The fair value of debt retirement funds is determined by Saskatchewan’s Ministry of Finance using a market approach with information provided by investment dealers. To the extent possible, valuations reflect indicative secondary pricing for these securities. In all other circumstances, valuations are determined with reference to similar actively traded instruments. The fair value of natural gas derivative instruments is determined using a market approach. The Corporation obtains quoted market prices from sources such as the Canadian Gas Price Reporter and the Natural Gas Exchange, independent price publications and over-the-counter broker quotes. The fair value of long-term debt is determined for disclosure purposes only using an income approach. Fair values are estimated using the present value of future cash flows discounted at the market rate of interest for the equivalent Province of Saskatchewan debt instruments.
2020-21 Third Quarter Report
26
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