AstraZeneca Annual Report and Form 20-F Information 2011

15 Financial instruments continuedThe interest rates used to discount future cash flows for fair value adjustments, where applicable, are based on market swap curves at thereporting date, and were as follows:2011 2010 2009Derivatives 0.9% to 2.3% 0.7% to 4.0% 2.0% to 4.6%Loans and borrowings 0.9% to 2.3% 0.7% to 4.0% 2.0% to 4.6%Fair value hierarchyThe table below analyses financial instruments carried at fair value, by valuation method. The different levels have been defined as follows:> > 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 (ie as prices)or indirectly (ie derived from prices).> > Level 3: inputs for the asset or liability that are not based on observable market data (unobservable inputs).31 December 2011Equity securities and bonds available for sale 338 – 159 497Equity securities held for trading 25 – – 25Derivative assets – 367 – 367Assets 363 367 159 889Borrowing designated at fair value through profit or loss (1,221) – – (1,221)Derivative liabilities – (9) – (9)Liabilities (1,221) (9) – (1,230)31 December 2010Equity securities and bonds available for sale 399 – 167 566Equity securities held for trading 20 – – 20Derivative assets – 333 – 333Other financial assets – – 25 25Assets 419 333 192 944Borrowing designated at fair value through profit or loss (1,196) – – (1,196)Derivative liabilities – (8) – (8)Other financial liabilities – – (50) (50)Liabilities (1,196) (8) (50) (1,254)31 December 2009Equity securities available for sale 41 – 143 184Equity securities held for trading 18 – – 18Derivative assets – 286 – 286Assets 59 286 143 488Borrowing designated at fair value through profit or loss (1,167) – – (1,167)Derivative liabilities – (90) – (90)Liabilities (1,167) (90) – (1,257)Level 1$mLevel 2$mLevel 3$mTotal$mEquity securities available for sale which are analysed at Level 3 represent investments in private biotech companies. In the absence of specificmarket data, these unlisted investments are held at cost, adjusted as necessary for impairments, which approximates to fair value. Hence, carryingvalue is adjusted only for additions, sales and permanent impairment and for no other movement. Consequently, in the current year, no changehas been made to the fair value of individual investments. Level 3 other financial assets and liabilities arose on the acquisition of Novexel and thesubsequent transaction with Forest as detailed in Note 22. The table above does not include bonds designated in a fair value hedge relationship.The carrying value of these bonds is initially measured at fair value and remeasured only for fair value changes in respect of the hedged risk.Therefore, the bonds are not carried at full fair value at 31 December 2011 and have not been classified within the hierarchy.Net gains and losses on financial assets and financial liabilitiesIncluded in operating profit(Losses)/gains on forward foreign exchange contracts (75) 29 114Gains/(losses) on receivables and payables 68 (80) (141)Losses on available for sale current investments (22) (2) (18)(29) (53) (45)Included in finance income and expenseInterest and fair value adjustments in respect of debt designated at fair value through profit or loss, net of derivatives (6) (5) (169)Interest and changes in carrying values of debt designated as hedged items, net of derivatives (17) (18) (35)Interest and fair value changes on fixed and short-term deposits and equity securities 45 61 43Interest on debt, overdrafts and commercial paper held at amortised cost (405) (452) (501)Exchange (losses)/gains on financial assets and liabilities (8) (11) 31(391) (425) (631)Included in other comprehensive incomeForeign exchange differences on borrowings forming net investment hedges 24 101 (68)Amortisation of loss on cash flow hedge through profit 2 1 1Available for sale gains taken to equity 31 4 257 106 (65)2011$m2010$m2009$mFinancial StatementsAstraZeneca Annual Report and Form 20-F Information 2011 Financial Statements 163