16.5.3. The risk of interest rates changes
The risk of interestrates changes
Structure of financial instruments subject to risk of interest rates changes as at 31 December 2020
|
Financial instruments by class |
NOTE |
WIBOR |
EURIBOR |
LIBOR USD |
PRIBOR |
LIBOR CAD |
Total |
|
Financial assets |
|||||||
|
Derivatives |
68* |
215* |
67 |
- |
4 |
301 |
|
|
|
|
68 |
215 |
67 |
- |
4 |
301 |
|
Financial liabilities |
|||||||
|
Loans |
3,323 |
- |
- |
499 |
44 |
3,866 |
|
|
Borrowings |
130 |
- |
- |
- |
- |
130 |
|
|
Bonds |
2,002 |
- |
- |
- |
- |
2,002 |
|
|
Derivatives |
85* |
188* |
130 |
53 |
26 |
408 |
|
|
|
|
5,540 |
188 |
130 |
552 |
70 |
6,406 |
* The position financial assets - on WIBOR derivatives in 2020 includes, despite of derivatives sensitive to WIBOR rate changes also currency interest rate swaps (CIRS) measured on PLN 53 million, which are sensitive to both WIBOR and EURIBOR interest rates changes. In the position financial liabilities - on WIBOR derivatives in 2020 includes, despite of derivatives sensitive to WIBOR rate changes also currency interest rate swaps (CIRS) measured on PLN 74 million, which are sensitive to both WIBOR and EURIBOR interest rates changes.
Structure of financial instruments subject to risk of interest rates changes as at 31 December 2019
|
Financial instruments by class |
NOTE |
WIBOR |
EURIBOR |
LIBOR USD |
PRIBOR |
LIBOR CAD |
Total |
|
Financial assets |
|||||||
|
Derivatives |
19* |
504 |
49 |
- |
- |
553 |
|
|
|
|
19 |
504 |
49 |
- |
- |
553 |
|
Financial liabilities |
|||||||
|
Loans |
2 |
2,132 |
- |
- |
2 |
2,136 |
|
|
Bonds |
1,002 |
- |
- |
- |
- |
1,002 |
|
|
Derivatives |
- |
24 |
181 |
51 |
12 |
268 |
|
|
|
|
1,004 |
2,156 |
181 |
51 |
14 |
3,406 |
* The position financial assets - on WIBOR derivatives in 2019 includes, despite of derivatives sensitive to WIBOR rate changes, also currency interest rate swaps (CIRS) measured on PLN 19 million, which are sensitive to both WIBOR and EURIBOR interest rates changes.
As at 31 December 2020, the Group had commodity forwards in EUR in the amount of PLN 318 million, which are not sensitive to interest rate changes.
The ORLEN Group is exposed to risk of cash flows changes in interest rates arising from owned assets and liabilities, for which interest gains or losses are depend on floating interest rates.
The ORLEN Group hedges the consolidated exposure to volatility of cash flows due to changes in interest rates. For this purpose, interest rate swap and currency swap are used.
Measurement of risk is based on total gross debt to positions for which interest costs are depend on floating interest rates.
Sensitivity analysisfor the interest rates changes
|
Interest rate |
Assumed variations |
Influence on result before tax |
Influence on hedging reserve |
Total |
||||
|
31/12/2020 |
31/12/2019 |
2020 |
2019 |
2020 |
2019 |
2020 |
2019 |
|
|
WIBOR |
+0.5p.p. |
+0,5p.p. |
62 |
(5) |
- |
- |
62 |
(5) |
|
LIBOR USD |
+0.5p.p. |
+0,5p.p. |
- |
1 |
- |
- |
- |
1 |
|
EURIBOR |
+0.5p.p. |
+0,5p.p. |
(10) |
(8) |
2 |
(1) |
(8) |
(9) |
|
|
|
|
52 |
(12) |
2 |
(1) |
54 |
(13) |
At variation of interest rates by (-) 0,5 p.p. the sensitive analysis presents variations of the same value as in the above table but with the opposite sign.
The above interest rates variations were calculated based on observations of average interest rates fluctuations in 2020 and 2019.
The influence of interest rates changes was presented on annual basis.
For derivatives in sensitivity analysis for the risk of interest rates changes interest rate curve displacement due to potential reference rate change was used, provided that other risk factors remain constant.
Sensitivity analysis to commodity risk, exchange rates changes and to the risk of interest rates changes was carried out based on the same methodology.
