2022 Corporate Report

Corporate Report for the year ended 30 June 2022

Introduction and overview

Business performance

Governance and risk

Directors’ report

Remuneration report

Financial statements

Sustainability supplement

Security holder information

Section B: Notes to the Group financial statements for the year ended 30 June 2022

Section B: Notes to the Group financial statements for the year ended 30 June 2022

B15 Derivatives and financial risk management (continued) Fair value measurements (continued) The Financial PPAs include CfD derivatives which are measured as level 3 financial instruments. This is because the electricity forward spot prices cannot be forecasted (using observable market data) for the duration of the contracts. The valuation technique applied to the CfDs for the Financial PPAs uses an electricity price forecasting model and inputs consistent with those outlined in the ‘Key estimate and judgement’ below. The following table presents the changes in level 3 instruments for the year ended 30 June 2022:

Level 3 Instruments $M

Opening balance at 1 July 2021

— 14 14

Gains recognised in the profit and loss 1 Closing balance at 30 June 2022

1. Comprises unrealised gains recognised in the profit and loss (road operating costs) attributable to balances held at the end of the reporting period. There were no transfers between levels during the period and there has been no change in the valuation techniques applied for level 2 instruments. KEY ESTIMATE AND JUDGEMENT The fair value of financial instruments that are not traded in an active market is determined using valuation techniques. The Group uses its judgement to select a variety of methods and makes assumptions that are mainly based on market conditions existing at each reporting date. The fair value of both cross-currency interest rate swaps and interest rate swaps is calculated as the present value of the estimated future cash flows. The fair value of forward exchange contracts is determined using forward exchange market rates at the end of the reporting period. The fair value of CfDs relating to Financial PPAs is determined using an electricity price forecasting model and inputs used include forecast electricity volumes, the electricity forward spot price, the contract period, the discount rate and the net position of the long-term generation certificates.

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