Derivative financial instruments

The table below shows the fair value of derivative financial instruments:

At 31 December 2012

At 31 December 2011

Assets

Liabilities

Assets

Liabilities

Interest rate swap contracts

13

11

Currency swap contracts

1

71

11

6

Energy commodity contracts

174

131

201

170

CO2-emission rights contracts

28

13

70

52

Total

203

228

282

239

Classification

Current / short-term

118

109

197

173

Fixed / long-term

85

119

85

66

Total

203

228

282

239

The table below shows the fair value of derivative financial instruments for which movements in fair value have been recognised through the income statement:

At 31 December 2012

At 31 December 2011

Assets

Liabilities

Assets

Liabilities

Currency swap contracts

1

2

2

Energy commodity contracts

119

106

148

136

CO2-emission rights contracts

28

13

70

52

Total

148

119

220

190

Classification

Current / short-term

107

91

165

152

Fixed / long-term

41

28

55

38

Total

148

119

220

190

The table below shows the fair value of derivative financial instruments for which movements in fair value have been recognised in equity through the Cash flow hedge reserve:

At 31 December 2012

At 31 December 2011

Assets

Liabilities

Assets

Liabilities

Interest rate swap contracts

13

11

Currency swap contracts

71

9

4

Energy commodity contracts

55

25

53

34

Total

55

109

62

49

Classification

Current / short-term

12

18

32

21

Fixed / long-term

43

91

30

28

Total

55

109

62

49

These instruments are used in cash flow hedge transactions to hedge interest rate, currency and energy price risks.

The following hierarchy was used for the measurement of the financial instruments.

Level 1

Level 1 recognises financial instruments whose fair value is measured using unadjusted quoted prices in active markets for identical instruments.

Level 2

Level 2 recognises financial instruments whose fair value is measured using market prices or pricing statements and other available information. Where possible, the measurement method uses observable market prices. Level 2 energy commodity contracts are measured using market prices or pricing statements for periods in which an active market exists for the underlying commodities such as electricity, gas (title transfer facility), oil-related prices and emission rights. Other contracts are measured by agreement with the counterparty, using observable interest rate and foreign currency forward curves. Illiquid contracts are not recognised as instruments in this category.

Level 3

Level 3 recognises financial instruments whose fair value is measured using calculations involving significant inputs that are not based on observable market data.

The hierarchy of derived financial instruments measured at fair value at 31 December 2012 was as follows:

31 December 2012

Level 1

Level 2

Level 3

Total

Assets

Energy commodity contracts

43

159

202

Interest rate and currency swap contracts

1

1

44

159

203

Liabilities

Energy commodity contracts

2

142

144

Interest rate and currency swap contracts

84

84

2

226

228

31 December 2011

Level 1

Level 2

Level 3

Total

Assets

Energy commodity contracts

29

241

270

Interest rate and currency swap contracts

2

10

12

31

251

282

Liabilities

Energy commodity contracts

3

219

222

Interest rate and currency swap contracts

2

15

17

5

234

239

Note 24 presents the movements in the cash flow hedge reserve.

The cash flow hedge instruments are derivative financial instruments that are subject to net settlement between parties. The table below shows the periods in which the cash flows from the cash flow hedges are expected to be realised:

At 31 December 2012

At 31 December 2011

Expected cash flow

Within 1 year

– 37

61

Within 1 to 5 years

178

199

After 5 years

– 32

– 22

Total

109

238

The total cash flow hedges recognised through the income statement in the future are recognised in the Cash flow hedge reserve after deduction of taxes. The table below shows the periods in which the cash flows from the cash flow hedges are expected to be realised:

At 31 December 2012

At 31 December 2011

Expected recognition in result after tax

Within 1 year

– 8

Within 1 to 5 years

202

101

After 5 years

4

– 22

Total

206

71