Page 111 - HRC_AR2020

HENGYUAN REFINING COMPANY BERHAD I 109

5 fair ValUe MeasUreMents

financial instruments carried at amortised cost
The carrying amounts of financial assets and liabilities measured at amortised cost approximate their respective fair values.
financial instruments carried at fair value

Refining margin swap contracts, forward foreign currency contracts, forward priced commodity contracts, commodity options,
commodity swap contracts and interest rate swap contracts are valued using a valuation technique with market observable
inputs. The most frequently applied valuation techniques include forward pricing model, using present value calculations.
The models incorporate various inputs including the credit quality of counterparties and foreign exchange spot and
forward rates.
fair value hierarchy
The Company measures fair value using the following fair value hierarchy that reflects the significance of the input used in
making the measurements:
Level 1 - quoted prices (unadjusted) in active markets for identical assets or liabilities;
Level 2 - inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly
(i.e., as prices) or indirectly (i.e., derived from prices); and
Level 3 - inputs for the asset or liability that are not based on observable market data (i.e., unobservable inputs).
Derivative financial instruments outstanding as at reporting date are detailed below:
as at 31 December 2020
notional Value fair Value
Derivatives UsD’000 rM’000

Refining margin swap contracts, net 59,436 74,746
Forward foreign currency contracts 18,000 57
Commodity swap contracts, net 96,496 9,265
Forward priced commodity contracts 47,414 (2,526)
Interest rate swap contracts 88,750 (15,886)

as at 31 December 2019
notional Value fair Value
Derivatives UsD’000 rM’000
Refining margin swap contracts, net 357,748 196,739
Forward foreign currency contracts 79,753 (4,227)
Refining margin and commodity options, net 365 5,026
Commodity swap contracts, net 693,377 (8,304)
Interest rate swap contracts 115,000 (12,759)