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The Group discloses derivative transactions with positive fair values under financial assets held for trading. Derivative transactions with negative fair values are disclosed under financial liabilities held for trading. Under financial assets and liabilities held for trading the Group discloses valuation of the following types of derivatives: swaps, futures, forwards, options, interest-rate swaps, forward rate agreement.
Fair value of commodity swaps is established by reference to future cash flows connected with the transactions, calculated on the basis of the difference between the average market price and the transaction price. The fair value has been established on the basis of prices quoted on active markets, as provided by an external consultancy (Level 2 in the fair value hierarchy).
Fair value of futures contracts for carbon dioxide (CO2) allowances (EUA, CER) is established by reference to the difference between the market price, quoted by the European Climate Exchange (ECX) for the valuation date, and the transaction price (Level 1 in the fair value hierarchy).
Fair value of spots and currency forwards is established by reference to future discounted cash flows connected with the transactions, calculated on the basis of the difference between the forward rate and the transaction price. The forward rate is calculated on the basis of the fixing rate quotations of the National Bank of Poland and the interest rate curve implied in fx swaps (Level 2 in the fair value hierarchy).
Apart from the parameters used in the valuation of currency forwards, implied volatility is additionally taken into account in calculating the value of currency options (Level 2 in the fair value hierarchy).
Fair value of FRAs is established by reference to future discounted cash flows connected with the transactions, calculated on the basis of the difference between the forward rate and the transaction price. The forward rate is calculated using the zero-coupon interest rate curve based on 6M or 3M LIBOR, depending on the type of transaction. In 2008, the forward rate was calculated on the basis of the zero-coupon interest rate curve based on 3M LIBOR, so the basis swaps between the 3M and the 6M LIBOR reference rate were not accounted for. This is considered Level 2 in the fair value hierarchy.
Non-current financial assets available for sale measured at fair value as at December 31st 2009 and December 31st 2008 include mainly shares and equity interests for which there is no active market.
1. On September 23rd 2003 and April 8th 2004, Grupa LOTOS S.A. signed with Rafineria Nafty GLIMAR S.A. loan agreements for the financing of operating and investing activities, including, in particular, the Glimar Hydrocomplex investment project, for an aggregate amount of PLN 90m. By December 31st 2004, Grupa LOTOS S.A. had advanced PLN 48m to Rafineria Nafty GLIMAR S.A. under these agreements. Additionally, in connection with the Letter of Comfort signed by Grupa LOTOS S.A. on February 12th 2004 for Bank Przemysłowo-Handlowy S.A., the Company undertook commitments relating to the co-financing of the Glimar Hydrocomplex investment project and maintaining of an appropriate financial standing of Rafineria Nafty GLIMAR S.A. In the opinion of the Company’s Management Board, these commitments do not represent financial liabilities as at the balance-sheet date.
As at December 31st 2009 and December 31st 2008, assets under the advanced loans were fully covered by a recognised impairment charge. As at December 31st 2008, the Company had provisions of PLN 15,853 thousand for potential liabilities under these agreements. During the year ended December 31st 2009, the provisions were released (see Note 31).
On January 19th 2005, the District Court of Nowy Sącz declared Rafineria Nafty GLIMAR S.A. of Gorlice bankrupt. Upon consideration on March 11th 2008 of the petition for discontinuation of the bankruptcy proceedings, submitted by bankruptcy administrator Capricorn Sp. z o.o. of Nowy Sącz, the District Court of Nowy Sącz, Commercial Court Division V, decided to discontinue the bankruptcy proceedings pursuant to Art. 361.2 of the Bankruptcy and Recovery Law.
The decision issued by the District Court of Nowy Sącz, Commercial Court Division V, was appealed against to the Regional Court of Kraków, Appellate Commercial Division XII. On July 25th 2008, the Regional Court of Kraków, Appellate Commercial Division XII, issued a decision (court docket No. XII Gz 242/08) dismissing the appeals. Accordingly, the decision of the District Court of Nowy Sącz, Commercial Court Division V on discontinuation of the bankruptcy proceedings became final.
On December 1st 2008, Grupa LOTOS S.A. concluded an agreement with Podkarpacki Holding Budowy Dróg Drogbud Sp. z o.o. of Strzyżów concerning disposal of its shares in Rafineria Nafty GLIMAR S.A. Under the agreement, Grupa LOTOS S.A. sold 9,520,000 shares in Rafineria Nafty GLIMAR S.A. with a par value of PLN 10 per share, representing 91.54% of the company’s share capital. The agreed transaction value was PLN 1,000 thousand. As at the agreement execution date, the carrying value of the shares in Grupa LOTOS S.A.’s accounting books was PLN 0.
2. On November 12th 2001 an agreement was concluded under which Petrobaltic S.A. granted a loan to Energobaltic Sp. z o.o. Petrobaltic S.A.’s receivables under the loan (including accrued interest) amounted to PLN 10,438 thousand as at December 31st 2009 (PLN 22,994 thousand as at December 31st 2008). As at December 31st 2008, an impairment loss was recognized on the full value of the loan, on the basis of an analysis of the economic and financial standing of Energobaltic Sp. z o.o., performed based on the 2007 financial statements, and considering the projections for the following years and the related risk of a loss of liquidity in the event of failure of the measures taken by the Management Board of Energobaltic Sp. z o.o. to restructure the company’s indebtedness, i.e. to postpone the repayment of bank loans and shareholder loans. As at December 31st 2008, an impairment loss was also recognised on the shares held in Energobaltic Sp. z o.o.
As at December 31st 2009, in connection with performance of terms of the Arrangement implemented at Energobaltic Sp. z o.o. (see Note 17), including acquisition of new and purchase of existing shares in Energobaltic Sp. z o.o., Petrobaltic S.A. reversed the impairment loss on the financial assets in the amount of PLN 29,344 thousand. The amount was recognised in finance income.
Financial liabilities valued at amortised cost include loans, overdraft facilities, and liabilities under finance lease.
None of the following economic events or situations requiring disclosure occurred at the Group during the reporting periods ended December 31st 2009 and December 31st 2008:
Dec 31 2009 | Note | Financial assets at fair value through profit or loss – held for trading | Loans and receivables | Financial assets available for sale | Financial liabilities at fair value through profit or loss – held for trading | Financial liabilities at amortised cost | Total |
---|---|---|---|---|---|---|---|
Shares: | - | - | 9,929 | - | - | 9,929 | |
- non-current | 19 | - | - | 9,917 | - | - | 9,917 |
- current | 20 | - | - | 12 | - | - | 12 |
Prepayments for shares | 20 | - | - | - | - | - | - |
Decommissioning fund | 19 | - | 20,962 | - | - | - | 20,962 |
Non-current deposits | 19 | - | 311 | - | - | - | 311 |
Loans: | 21 | - | - | - | - | - | - |
- non-current | - | - | - | - | - | - | |
- current | - | - | - | - | - | - | |
Derivative financial instruments: | 101,879 | - | - | - | - | 101,879 | |
- non-current | 19 | 54,862 | - | - | - | - | 54,862 |
- current | 20 | 47,017 | - | - | - | - | 47,017 |
Trade and other receivables: | - | 1,515,812 | - | - | - | 1,515,812 | |
- non-current | 12 | - | 22,061 | - | - | 22,061 | |
- current | 23 | - | 1,493,751 | - | - | - | 1,493,751 |
Cash and cash equivalents | 24 | - | 362,078 | - | - | - | 362,078 |
Trade and other payables: | 33 | - | - | - | - | (1,094,702) | (1,094,702) |
- non-current | - | - | - | (38,894) | (38,894) | ||
- current | - | - | - | (1,055,808) | (1,055,808) | ||
Loans and borrowings: | 30 | - | - | - | - | (5,701,071) | (5,701,71) |
- non-current | - | - | - | - | (4,942,590) | (4,942,590) | |
- current | - | - | - | - | (758,481) | (758,481) | |
Financial liabilities | 32 | - | - | - | (236,371) | (83,149) | (319,520) |
Lease liabilities: | 32 | - | - | - | - | (83,149) | (83,149) |
- non-current | - | - | - | - | (80,304) | (80,304) | |
- current | - | - | - | - | (2,845) | (2,845) | |
Derivative financial instruments: | 32 | - | - | - | (236,371) | - | (236,371) |
- non-current | - | - | - | (220,085) | - | (220,085) | |
- current | - | - | - | (16,286) | - | (16,286) | |
Total | 101,879 | 1,899,163 | 9,929 | (236,371) | (6,878,922) | (5,104,322) |
As at December 31st 2009, the Group held no financial assets whose terms would be renegotiated due to the possibility of default or impairment.
As at December 31st 2009, the Group did not carry any financial assets or liabilities measured at fair value through profit or loss whose components would be designated as measured at fair value through profit or loss on initial recognition (fair value option).
As at December 31st 2009, the Group did not carry any financial assets held to maturity.
As at December 31st 2009, the carrying value of the above classes of financial instruments corresponded to their fair value.
As at December 31st 2009, the carrying value of cash and cash equivalents, deposits, receivables, payables/liabilities and financial liabilities measured at amortised cost approximated their fair value. Long-term bank loans bear interest at floating rates, with interest payable in a short term.
As at December 31st 2009, financial assets available for sale measured at fair value comprised mainly shares for which there was no active market.
The methods and assumptions used to measure the fair value of financial instruments held by the Group are described in Note 10 and Note 21.
Dec 31 2008 | Note | Financial assets at fair value through profit or loss – held for trading | Loans and receivables | Financial assets available for sale | Financial liabilities at fair value through profit or loss – held for trading | Financial liabilities at amortised cost | Total |
---|---|---|---|---|---|---|---|
Shares: | - | - | 11,041 | - | - | 11,041 | |
- non-current | 19 | - | - | 9,917 | - | - | 9,917 |
- current | 20 | - | - | 1,124 | - | - | 1,124 |
Prepayments for shares | 20 | - | 25,332 | - | - | - | 25,332 |
Decommissioning fund | 19 | - | 16,599 | - | - | - | 16,599 |
Non-current deposits | 19 | - | - | - | - | - | - |
Loans: | 21 | - | - | - | - | - | - |
- non-current | - | - | - | - | - | - | |
- current | - | - | - | - | - | - | |
Derivative financial instruments | 302,304 | - | - | - | - | 302,304 | |
- non-current | 19 | 22,848 | - | - | - | - | 22,848 |
- current | 20 | 279,456 | - | - | - | - | 279,456 |
Trade and other receivables: | - | 1,260,660 | - | - | - | 1,260,660 | |
- non-current | 12 | - | 9,152 | - | - | - | 9,152 |
- current | 23 | - | 1,251,508 | - | - | - | 1,251,508 |
Cash and cash equivalents | 24 | - | 712,801 | - | - | - | 712,801 |
Trade and other payables: | 33 | - | - | - | - | (1,260,855) | (1,260,855) |
- non-current | - | - | - | - | (4,824) | (4,824) | |
- current | - | - | - | - | (1,256,031) | (1,256,031) | |
Loans and borrowings: | 30 | - | - | - | - | (3,919,605) | (3,919,605) |
- non-current | - | - | - | - | (3,412,245) | (3,412,245) | |
- current | - | - | - | - | (507,360) | (507,360) | |
Financial liabilities | 32 | - | - | - | (218,526) | (1,415) | (219,941) |
Lease liabilities: | 32 | - | - | - | - | (1,415) | (1,415) |
- non-current | - | - | - | - | (854) | (854) | |
- current | - | - | - | - | (561) | (561) | |
Derivative financial instruments | 32 | - | - | - | (218,526) | - | (218,526) |
- non-current | - | - | - | (175,533) | - | (175,533) | |
- current | - | - | - | (42,993) | - | (42,993) | |
Total | 302,304 | 2,015,392 | 11,041 | (218,526) | (5,181,875) | (3,071,664) |
As at December 31st 2008, the Group held no financial assets whose terms would be renegotiated due to the possibility of default or impairment.
As at December 31st 2008, the Group did not carry any financial assets or liabilities measured at fair value through profit or loss whose components would be designated as measured at fair value through profit or loss on initial recognition (fair value option).
As at December 31st 2008, the Group did not carry any financial assets held to maturity.
As at December 31st 2008, the carrying value of the above classes of financial instruments corresponded to their fair value.
As at December 31st 2008, the carrying value of cash and cash equivalents, receivables, payables/liabilities and financial liabilities measured at amortised cost approximated their fair value. Long-term bank loans bear interest at floating rates, with interest payable in a short term.
As at December 31st 2008, financial assets available for sale measured at fair value comprised mainly shares for which there was no active market.
Year ended Dec 31 2009 | Financial assets/ liabilities at fair value through profit or loss – held for trading | Loans and receivables | Financial assets available for sale | Financial liabilities at amortised cos | Total |
---|---|---|---|---|---|
Interest income/ (expense) | - | 22,196 | - | (69,190) | (46,994) |
Foreign exchange gains/ (losses) | - | (64,005) | - | 513,441 | 449,436 |
Reversal/(recognition) of impairment losses | - | (28,778) | - | - | (28,778) |
Gains/ (losses) on fair value measurement | (214,594) | - | - | - | (214,594) |
Gains/ (losses) on realisation | 216,047 | - | - | - | 216,047 |
Gains/ (losses) on disposal | - | - | 688 | 688 | |
Total | 1,453 | (70,587) | 688 | 444,251 | 375,805 |
Year ended Dec 31 2008 | Financial assets/ liabilities at fair value through profit or loss – held for trading | Loans and receivables | Financial assets available for sale | Financial liabilities at amortised cost | Total |
---|---|---|---|---|---|
Interest income/ (expense) | - | 51,849 | - | (52,285) | (436) |
Foreign exchange gains/ (losses) | - | (69,309) | - | (377,414) | (446,723) |
Reversal/(recognition) of impairment losses |
- | (28,619) | - | - | (28,619) |
Gains/ (losses) on fair value measurement | (12,238) | - | - | - | (12,238) |
Gains/ (losses) on realisation | (234,999) | - | - | - | (234,999) |
Gains/ (losses) on disposal | - | - | 1,027 | - | 1,027 |
Total | (247,237) | (46,079) | 1,027 | (429,699) | (721,988) |
The Group is exposed to financial risk, including chiefly:
The Financial Risk Management Committee (“FRMC”) operating within the Parent Undertaking is responsible for the supervision and coordination of the financial risk management process at Grupa LOTOS S.A. In order to ensure the efficiency and operational security of this process, the following areas have been distinguished: financial transaction area (front-office), risk analysis and control area (middle-office), and transaction documentation and settlement area (back-office).
The key objectives sought to be achieved through financial risk management are as follows:
In order to achieve these objectives, documents have been prepared at the Parent Undertaking and approved at appropriate decision-making levels of the Parent Undertaking. These documents specify the necessary framework for effective and secure functioning of the financial risk management process, including principally:
The Parent Undertaking monitors all managed market risks on an ongoing basis. Opening a position with respect to risks which do not arise as part of the Company’s core activity is prohibited. Grupa LOTOS S.A. uses liquid derivatives which it is able to value by applying commonly applied valuation models. The valuation of the underlying position and derivatives is performed based on market data received from reliable providers.
The Group does not apply hedging accounting; accordingly, any change in the fair value of derivatives is charged to the statement of comprehensive income.
The Company regards management of the risk related to prices of raw materials and petroleum products, as well as the currency risk, as an issue of utmost importance.
The concept for the management of risk related to prices of raw materials and petroleum products covers the period until the end of 2010, by which time also the 10+ Programme is to have been completed. The main objective of the management concept is to increase the probability of generating cash flows guaranteeing safe financing of investment projects under the 10+ Programme.
The risk management concept provides for maximum hedge ratios for the underlying position, decreasing each year relative to a current budget year. Within the framework of accepted limits and guidelines, the Financial Risk Management Committee adopts decisions defining the limits and volumes of hedging transactions.
The basic risk map is created by converting the map of price indices used in trade contracts into the map of indices for which there exist liquid markets of derivatives. Such conversion takes into account relevant statistical relations between base indices and market indices. The converted map serves a basis for defining the model of the refining margin. The margin is defined as the difference between the value of indices representing products sold, weighted by the share of particular indices in a barrel, and the index representing raw materials purchased.
As at December 31st 2009, the underlying refining margin position stood at (in barrels):
Period | Underlying position |
---|---|
Q1 2010 | 10,117,129 |
Q2 2010 | 10,752,077 |
Q3 2010 | 11,203,544 |
Q4 2010 | 11,817,957 |
As at December 31st 2008, the underlying refining margin position stood at (in barrels):
Period | Underlying position |
---|---|
Q1 2009 | 9,930,140 |
Q2 2009 | 6,720,316 |
Q3 2009 | 9,894.993 |
Q4 2009 | 9,452,383 |
Q1 2010 | 11,805,410 |
Q2 2010 | 15,699,834 |
Q3 2010 | 15,569,563 |
Q4 2010 | 14,712,155 |
The last transactions hedging refining margin expired on September 30th 2009. Due to adverse market conditions, the LOTOS Group resolved not to enter into hedging transactions until margins improve to levels which are satisfactory to the Company.
There were no open refining margin transactions as at December 31st 2009.
Open refining margin transactions as at December 31st 2008:
Company | Type of transaction | Transaction execution date | Beginning of the valuation period | End of the valuation period | Number of barrels | Price (USD/barrel) | Fair value as at Dec 31 2008 (PLN ‘000)1 |
---|---|---|---|---|---|---|---|
Grupa LOTOS S.A. | Commodity swap | Mar 4 2008 | Jan 1 2009 | Mar 31 2009 | (500,001) | 8 | 1,773 |
Grupa LOTOS S.A. | Commodity swap | Mar 7 2008 | Jan 1 2009 | Mar 31 2009 | (999,999) | 8 | 4,110 |
Grupa LOTOS S.A. | Commodity swap | May 30 2008 | Apr 1 2009 | Jun 30 2009 | (501,000) | 12 | 7,881 |
Grupa LOTOS S.A. | Commodity swap | May 30 2008 | Jan 1 2009 | Mar 31 2009 | (999,999) | 10 | 11,366 |
Grupa LOTOS S.A. | Commodity swap | Jun 2 2008 | Jan 1 2009 | Mar 31 2009 | (501,000) | 10 | 5,472 |
Grupa LOTOS S.A. | Commodity swap | Jun 2 2008 | Jul 1 2009 | Sep 30 2009 | (501,000) | 14 | 9,601 |
Grupa LOTOS S.A. | Commodity swap | Jun 6 2008 | Jul 1 2009 | Sep 30 2009 | (999,999) | 14 | 17,504 |
Grupa LOTOS S.A. | Commodity swap | Jun 17 2008 | Apr 1 2009 | Jun 30 2009 | (500,001) | 10 | 5,570 |
Grupa LOTOS S.A. | Commodity swap | Jun 19 2008 | Jul 1 2009 | Sep 30 2009 | (500,001) | 13 | 7,716 |
Grupa LOTOS S.A. | Commodity swap | Jun 20 2008 | Jul 1 2009 | Sep 30 2009 | (499,998) | 13 | 7,715 |
Grupa LOTOS S.A. | Commodity swap | Sep 25 2008 | Jul 1 2009 | Sep 30 2009 | (500,001) | 12 | 8,338 |
Grupa LOTOS S.A. | Commodity swap | Oct 2 2008 | Apr 1 2009 | Jun 30 2009 | (500,001) | 11 | 7,687 |
Grupa LOTOS S.A. | Commodity swap | Oct 6 2008 | Apr 1 2009 | Jun 30 2009 | (500,001) | 10 | 6,206 |
Grupa LOTOS S.A. | Commodity swap | Oct 7 2008 | Apr 1 2009 | Jun 30 2009 | (500,001) | 10 | 6,354 |
(8,503,002) | TOTAL, including | 107,293 | |||||
positive | 107,293 | ||||||
negative | - |
Open transactions adjusting the structure, as at December 31st 2008:
Company | Type of transaction | Transaction execution date | Beginning of the valuation period | End of the valuation period | Number of barrels | Number of barrels | Fair value as at Dec 31 2008 (PLN ‘000)1 |
---|---|---|---|---|---|---|---|
Grupa LOTOS S.A. | Commodity swap | Oct 8 2008 | Jan 1 2009 | Mar 31 2009 | 230,001 | (2) | (275) |
Grupa LOTOS S.A. | Commodity swap | Oct 9 2008 | Jan 1 2009 | Mar 31 2009 | 90,000 | (2) | (107) |
Grupa LOTOS S.A. | Commodity swap | Oct 13 2008 | Jan 1 2009 | Mar 31 2009 | (120,000) | (18) | (1,040) |
Grupa LOTOS S.A. | Commodity swap | Oct 29 2008 | Jan 1 2009 | Mar 31 2009 | 70,023 | 93 | (6,488) |
Grupa LOTOS S.A. | Commodity swap | Oct 29 2008 | Apr 1 2009 | Mar 31 2009 | (70,023) | 91 | 6,041 |
200,001 | TOTAL, including | (1,869) | |||||
positive | 6,041 | ||||||
negative | (7,910) |
As at December 31st 2008, positive fair value of commodity swaps was PLN 113,334 thousand.
As at December 31st 2008, negative fair value of commodity swaps was PLN (7,910) thousand.
(1) Fair value of commodity swaps is established by reference to future cash flows connected with the executed transactions, calculated on the basis of the difference between the average market price and the transaction price. The fair value has been established on the basis of prices quoted on active markets, as provided by an external consultancy (Level 2 in the fair value hierarchy).
Total refining margin position as at December 31st 2009 (in barrels):
Period | Underlying position | Transaction position | Total position | Hedge ratio |
---|---|---|---|---|
Q1 2010 | 10,117,129 | - | 10,117,129 | 0% |
Q2 2010 | 10,752,077 | - | 10,752,077 | 0% |
Q3 2010 | 11,203,544 | - | 11,203,544 | 0% |
Q4 2010 | 11,817,957 | - | 11,817,957 | 0% |
2010 | 43,890,707 | - | 43,890,707 | 0% |
Total refining margin position as at December 31st 2008 (in barrels):
Period | Underlying position | Transaction position | Total position | Hedge ratio |
---|---|---|---|---|
Q1 2009 | 9,930,140 | (3,000,999) | 6,929,141 | 30% |
Q2 2009 | 6,720,316 | (2,501,004) | 4,219,312 | 37% |
Q3 2009 | 9,894,993 | (3,000,999) | 6,893,994 | 30% |
Q4 2009 | 9,452,383 | - | 9,452,383 | 0% |
Q1 2010 | 11,805,410 | - | 11,805,410 | 0% |
Q2 2010 | 15,699,834 | - | 15,699,834 | 0% |
Q3 2010 | 15,569,563 | - | 15,569.563 | 0% |
Q4 2010 | 14,712,155 | - | 14,712,155 | 0% |
2009 | 35,997,832 | (8,503,002) | 27,494,830 | 24% |
2010 | 57,786,962 | - | 57,786,962 | 0% |
The risk related to prices of carbon dioxide (CO2) allowances is managed in line with the assumptions set forth in The Strategy for Managing the Risk Related to Prices of Carbon Dioxide (CO2) Allowances by Grupa LOTOS S.A. The period covered by the management is determined by the individual phases of the Kyoto protocol; currently, it is the period until the end of 2012.
A position limit is defined based on the number of allowances granted for a given phase. The position in a given phase comprises the aggregate of positions for individual years within the phase. The maximum loss limit is defined based on the Company’s equity.
Depending on the market situation and allowances granted, Grupa LOTOS S.A. maintains an appropriate position in carbon allowances by entering into financial transactions or changing the underlying position.
The basic risk map takes into account the allowances granted and the carbon dioxide (CO2) emissions planned for a given phase, which can be reliably determined both with respect to the existing installations and the installations which are planned to be constructed.
Underlying carbon dioxide (CO2) allowances position as at December 31st 2009:
Period | EUA | CER | TOTAL |
---|---|---|---|
Phase II (2008-2012) | (122,789) | 82,010 | (40,779) |
Underlying carbon dioxide (CO2) allowances position as at December 31st 2008:
Period | EUA | CER | TOTAL |
---|---|---|---|
Phase II (2008-2012) | 40,238 | 114,000 | 154,238 |
In connection with concerns that the prices of carbon dioxide (CO2) emission allowances might decline in the short-term perspective, the Company maintained a short position in the allowances. Additionally, due to uncertainty as to the number of allowances to be granted for the units constructed under the 10+ Programme, the Company sought to minimise the size of its open position in the carbon dioxide (CO2) emission allowances. In 2009, the Company entered into EUA/CER swap transactions, as that was justified by the spread between these two types of emission allowances.
Open CO2 allowances transactions as at December 31st 2009:
Company | Type of transaction | Transaction execution date | Transaction settlement date | No. of CO2 allowances | Price (EUR/tonne) | Fair value as at Dec 31 2009 (PLN ‘000)2 |
---|---|---|---|---|---|---|
Grupa LOTOS S.A. | EUA Futures | Nov 2 2009 | Dec 20 2012 | (1,000) | 16 | 9 |
Grupa LOTOS S.A. | CER Futures | Nov 2 2009 | Dec 20 2012 | 1,000 | 14 | (9) |
Grupa LOTOS S.A. | EUA Futures | Nov 5 2009 | Dec 23 2010 | (27,000) | 15 | 237 |
Grupa LOTOS S.A. | EUA Futures | Nov 5 2009 | Dec 23 2010 | (1,000) | 15 | 9 |
Grupa LOTOS S.A. | EUA Futures | Nov 5 2009 | Dec 23 2010 | (3,000) | 15 | 27 |
Grupa LOTOS S.A. | EUA Futures | Nov 5 2009 | Dec 23 2010 | (9,000) | 15 | 80 |
Grupa LOTOS S.A. | EUA Futures | Nov 5 2009 | Dec 23 2010 | (10,000) | 15 | 89 |
Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 23 2010 | 10,000 | 13 | (73) |
Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 23 2010 | 22,000 | 13 | (162) |
Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 23 2010 | 10,000 | 13 | (75) |
Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 20 2012 | 5,000 | 13 | (35) |
Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 20 2012 | 25,000 | 13 | (178) |
Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 20 2012 | 20,000 | 13 | (143) |
Grupa LOTOS S.A. | EUA Futures | Dec 16 2009 | Dec 22 2011 | (1,000) | 15 | 8 |
Grupa LOTOS S.A. | EUA Futures | Dec 16 2009 | Dec 22 2011 | (1,000) | 15 | 8 |
Grupa LOTOS S.A. | EUA Futures | Dec 16 2009 | Dec 22 2011 | (1,000) | 15 | 8 |
Grupa LOTOS S.A. | EUA Futures | Dec 16 2009 | Dec 22 2011 | (8,000) | 15 | 62 |
31,000 | TOTAL, including: | (138) | ||||
positive | 537 | |||||
negative | (675) |
Open CO2 allowances transactions as at December 31st 2008:
Company | Type of transaction | Transaction execution date | Transaction settlement date | No. of CO2 allowances | Price (EUR/tonne) | Fair value as at Dec 31 2008 (PLN ‘000)2 |
---|---|---|---|---|---|---|
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 1,000 | 16 | (0) |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 3,000 | 16 | (1) |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 1,000 | 16 | 1 |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 1,000 | 16 | 1 |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 4,000 | 16 | 2 |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 1,000 | 16 | - |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 1,000 | 16 | - |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 20,000 | 16 | 5 |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 1,000 | 16 | - |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 2,000 | 16 | - |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 1,000 | 16 | - |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 5,000 | 16 | 1 |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 30,000 | 16 | 4 |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 10,000 | 16 | 1 |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 1,000 | 16 | - |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 2,000 | 16 | - |
Grupa LOTOS S.A. | EUA Futures | Dec 3 2008 | Dec 17 2009 | 4,000 | 16 | - |
88,000 | TOTAL, including: | 14 | ||||
positive | 15 | |||||
negative | (1) |
(2) Fair value of futures contracts for carbon dioxide (CO2) allowances (EUA, CER) is established by reference to the difference between the market price, quoted by the European Climate Exchange (ECX) for the valuation date, and the transaction price (Level 1 in the fair value hierarchy).
Total CO2 allowances position as at December 31st 2009:
EUA position | CER position | |||||
---|---|---|---|---|---|---|
Period | Underlying | Transaction | Total | Underlying | Transaction | Total |
Phase II (2008-2012) |
(122,789) | (62,000) | (184,789) | 82,010 | 93,000 | 175,010 |
Total CO2 allowances position as at December 31st 2008:
EUA position | CER position | |||||
---|---|---|---|---|---|---|
Period | Underlying | Transaction | Total | Underlying | Transactiona | Total |
Phase II (2008-2012) |
40,238 | 88,000 | 128,238 | 114,000 | - | 114,000 |
Currency risk is managed in line with the assumptions stipulated in The Strategy of Currency Risk Management at Grupa LOTOS S.A. The exposure management horizon is connected with the introduction of a budget roll over into four quarters in advance as a permanent component of planning activities at the Company. The four quarter period is treated as the basis for determining the exposure management time horizon. The base map of currency positions takes into account principally the volumes and price formulas for purchases of raw materials and sales of products, investments, loans denominated in foreign currencies, as well as valuation of derivatives, and may be adjusted for a ratio reflecting the volatility in the prices of raw materials and petroleum products. The strategy provides for the calculation of the following limits:
For the purpose of the limits calculation, equity is remeasured on a quarterly basis. Moreover, when a loss on risk management exceeds a defined threshold, limits are immediately revised in order to prevent any significant exceeding of the maximum loss limit set by the Management Board of Grupa LOTOS S.A.
The strategy allows for the possibility of consolidated risk management at the Group level.
The natural currency of Grupa LOTOS S.A.’s operating market is USD. This currency is used in market price quotations for crude oil and petroleum products. Consequently, Grupa LOTOS S.A. has a structurally long position in USD on its operating activity. For this reason it has been decided that USD is the most appropriate currency for contracting and repaying long-term loans to finance the 10+ Programme, as such an approach contributes to reducing the structurally long position, and consequently to reducing the strategic currency risk.
Under the agreement on the financing of the 10+ Programme, Grupa LOTOS S.A. has the obligation to maintain a specified level of the hedge ratio for the currency risk (EUR/USD and USD/PLN) which arises in connection with the fact that the currency in which the investment projects are financed is different from the currencies in which project execution contracts are denominated. This obligation remains binding only with respect to payments under the 10+ Programme projects execution contracts to be made by mid-2011.
Underlying currency position as at December 31st 2009:
Period | USD | EUR |
---|---|---|
2010 | 406,436,729 | (287,449,821) |
Underlying currency position as at December 31st 2008:
Period | USD | EUR |
---|---|---|
2009 | 596,635,901 | (368,983,750) |
Grupa LOTOS S.A. actively manages its currency position and changes it depending on the expected market developments. The Company’s currency position at the end of 2009 was in line with the market expectations as to appreciation of the US dollar against the euro. Grupa LOTOS S.A. resolved to hedge a part of its currency position at lower prices in 2010, bearing in mind that the maximum loss caused by the absence of full hedging may not exceed the loss limit set by the Management Board, representing a small fraction of the equity.
Open currency transactions as at December 31st 2009:
Company | Type of transaction | Transaction execution date | Transaction settlement date | Currency pair | Amount in base currency | Rate | Amount in quote currency | Fair value as at Dec 31 2009 (PLN ‘000)3 |
---|---|---|---|---|---|---|---|---|
Grupa LOTOS S.A. | Currency forward | May 27 2009 | Jan 8 2010 | USD/PLN | (15,000,000) | 3.2 | 48,297,000 | 5,532 |
Grupa LOTOS S.A. | Currency forward | May 27 2009 | Jan 14 2010 | USD/PLN | (15,000,000) | 3.2 | 48,394,500 | 5,610 |
Grupa LOTOS S.A. | Currency forward | May 27 2009 | Jan 28 2010 | USD/PLN | (18,000,000) | 3.2 | 58,024,800 | 6,627 |
Grupa LOTOS S.A. | Currency forward | May 27 2009 | Feb 19 2010 | USD/PLN | (15,000,000) | 3.2 | 48,637,500 | 5,732 |
Grupa LOTOS S.A. | Currency forward | May 27 2009 | Mar 11 2010 | USD/PLN | (15,000,000) | 3.2 | 48,547,500 | 5,576 |
Grupa LOTOS S.A. | Currency forward | May 27 2009 | Mar 18 2010 | USD/PLN | (14,000,000) | 3.3 | 45,592,400 | 5,465 |
Grupa LOTOS S.A. | Currency forward | May 27 2009 | Apr 8 2010 | USD/PLN | (4,000,000) | 3.2 | 12,960,000 | 1,479 |
Grupa LOTOS S.A. | Currency forward | Aug 20 2009 | Jan 28 2010 | USD/PLN | 7,700,000 | 3.0 | (22,730,400) | (748) |
Grupa LOTOS S.A. | Currency forward | Aug 20 2009 | Feb 19 2010 | USD/PLN | 15,000,000 | 3.0 | (44,332,500) | (1,444) |
Grupa LOTOS S.A. | Currency forward | Aug 20 2009 | Mar 11 2010 | USD/PLN | 10,000,000 | 3.0 | (29,579,000) | (947) |
Grupa LOTOS S.A. | Currency forward | Aug 20 2009 | Mar 18 2010 | USD/PLN | 19,000,000 | 3.0 | (56,215,300) | (1,790) |
Grupa LOTOS S.A. | Currency forward | Aug 20 2009 | Apr 8 2010 | USD/PLN | 4,000,000 | 3.0 | (11,858,000) | (385) |
Grupa LOTOS S.A. | Currency forward | Sep 21 2009 | Jan 8 2010 | USD/PLN | 15,000,000 | 2.9 | (42,817,500) | (55) |
Grupa LOTOS S.A. | Currency forward | Sep 21 2009 | Jan 14 2010 | USD/PLN | 15,000,000 | 2.9 | (42,835,500) | (56) |
Grupa LOTOS S.A. | Currency forward | Sep 21 2009 | Jan 28 2010 | USD/PLN | 10,300,000 | 2.9 | (29,435,855) | (33) |
Grupa LOTOS S.A. | Currency forward | Oct 14 2009 | Apr 16 2010 | USD/PLN | (7,000,000) | 2.9 | 20,064,800 | (19) |
Grupa LOTOS S.A. | Currency forward | Oct 16 2009 | Jan 21 2010 | USD/PLN | (2,000,000) | 2.8 | 5,687,200 | (19) |
Grupa LOTOS S.A. | Currency forward | Oct 30 2009 | Jan 25 2010 | USD/PLN | (19,500,000) | 2.9 | 56,181,450 | 527 |
Grupa LOTOS S.A. | Currency forward | Oct 30 2009 | Jan 29 2010 | USD/PLN | (6,000,000) | 2.9 | 17,206,800 | 78 |
Grupa LOTOS S.A. | Currency forward | Oct 30 2009 | Jan 14 2010 | USD/PLN | 12,000,000 | 2.9 | (34,563,600) | (340) |
Grupa LOTOS S.A. | Currency forward | Oct 30 2009 | Apr 8 2010 | USD/PLN | 7,000,000 | 2.9 | (20,279,000) | (204) |
Grupa LOTOS S.A. | Currency forward | Nov 17 2009 | Jan 15 2010 | USD/PLN | (1,800,000) | 2.8 | 4,969,800 | (164) |
Grupa LOTOS S.A. | Currency forward | Dec 16 2009 | Jan 4 2010 | USD/PLN | (1,500,000) | 2.9 | 4,301,400 | 26 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Jan 15 2010 | EUR/USD | 6,000,000 | 1.4 | (8,618,850) | 83 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Jan 20 2010 | USD/PLN | (40,000,000) | 2.9 | 116,888,000 | 2,761 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Jan 21 2010 | EUR/USD | 10,000,000 | 1.4 | (14,328,500) | 241 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Feb 11 2010 | EUR/USD | 10,000,000 | 1.4 | (14,327,850) | 241 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Mar 15 2010 | EUR/USD | 10,000,000 | 1.4 | (14,309,000) | 292 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Mar 17 2010 | EUR/USD | 10,000,000 | 1.4 | (14,341,400) | 200 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Apr 15 2010 | EUR/USD | 10,000,000 | 1.4 | (14,307,500) | 294 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | May 20 2010 | EUR/USD | 10,000,000 | 1.4 | (14,338,300) | 200 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Jul 15 2010 | EUR/USD | 10,000,000 | 1.4 | (14,332,850) | 203 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Jul 22 2010 | EUR/USD | 10,000,000 | 1.4 | (14,295,500) | 308 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Sep 15 2010 | EUR/USD | 10,000,000 | 1.4 | (14,325,650) | 205 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Sep 22 2010 | EUR/USD | 10,000,000 | 1.4 | (14,288,250) | 309 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Oct 21 2010 | EUR/USD | 10,000,000 | 1.4 | (14,340,500) | 153 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Nov 22 2010 | EUR/USD | 10,000,000 | 1.4 | (14,316,000) | 214 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Dec 9 2010 | EUR/USD | 10,000,000 | 1.4 | (14,332,000) | 164 |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Feb 18 2010 | EUR/PLN | 10,000,000 | 4.2 | (42,025,000) | (821) |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Feb 23 2010 | EUR/PLN | 10,000,000 | 4.2 | (42,052,000) | (834) |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Feb 24 2010 | EUR/PLN | 10,000,000 | 4.2 | (42,045,000) | (825) |
Grupa LOTOS S.A. | Currency forward | Dec 21 2009 | Feb 25 2010 | EUR/PLN | 5,000,000 | 4.2 | (21,024,000) | (413) |
Grupa LOTOS S.A. | Currency forward | Dec 22 2009 | Jun 17 2010 | USD/PLN | 10,000,000 | 3.0 | (29,583,500) | (761) |
Grupa LOTOS S.A. | Currency forward | Dec 23 2009 | Jan 8 2010 | EUR/USD | 25,000,000 | 1.4 | (35,625,750) | 1,160 |
Grupa LOTOS S.A. | Currency forward | Dec 23 2009 | Jan 13 2010 | EUR/USD | 20,000,000 | 1.4 | (28,500,400) | 929 |
Grupa LOTOS S.A. | Currency forward | Dec 23 2009 | Jan 8 2010 | EUR/USD | (40,000,000) | 1.4 | 57,020,000 | (1,803) |
Grupa LOTOS S.A. | Currency forward | Dec 28 2009 | Jan 14 2010 | USD/PLN | (15,000,000) | 2.9 | 43,390,500 | 610 |
Grupa LOTOS S.A. | Currency forward | Dec 28 2009 | Jan 15 2010 | USD/PLN | (10,000,000) | 2.9 | 28,927,000 | 405 |
Grupa LOTOS S.A. | Currency forward | Dec 28 2009 | Feb 4 2010 | EUR/USD | (16,700,000) | 1.4 | 24,081,400 | 35 |
Grupa LOTOS S.A. | Currency forward | Dec 28 2009 | Mar 16 2010 | USD/PLN | (20,000,000) | 2.9 | 58,069,000 | 793 |
Grupa LOTOS S.A. | Currency forward | Dec 28 2009 | Apr 15 2010 | EUR/USD | 10,000,000 | 1.4 | (14,400,000) | 31 |
Grupa LOTOS S.A. | Currency forward | Dec 28 2009 | Aug 30 2010 | EUR/USD | 10,000,000 | 1.4 | (14,380,000) | 57 |
Grupa LOTOS S.A. | Currency forward | Dec 29 2009 | Jan 6 2010 | USD/PLN | 5,000,000 | 2.9 | (14,393,500) | (141) |
Grupa LOTOS S.A. | Currency forward | Dec 29 2009 | Feb 19 2010 | EUR/PLN | 10,900,000 | 4.2 | (45,283,505) | (370) |
Grupa LOTOS S.A. | Currency spot | Dec 30 2009 | Jan 4 2010 | USD/PLN | 6,000,000 | 2.9 | (17,275,800) | (175) |
Grupa LOTOS S.A. | Currency spot | Dec 30 2009 | Jan 4 2010 | USD/PLN | 6,800,000 | 2.9 | (19,530,280) | (149) |
Grupa LOTOS S.A. | Currency spot | Dec 30 2009 | Jan 4 2010 | USD/PLN | 3,000,000 | 2.9 | (8,628,000) | (78) |
Grupa LOTOS S.A. | Currency forward | Dec 30 2009 | Jan 6 2010 | USD/PLN | 5,000,000 | 2.9 | (14,402,400) | (150) |
Grupa LOTOS S.A. | Currency forward | Dec 31 2009 | Jan 21 2010 | EUR/USD | 12,000,000 | 1.4 | (17,283,480) | 35 |
Grupa LOTOS S.A. | Currency forward | Dec 31 2009 | Jan 6 2010 | USD/PLN | 9,000,000 | 2.9 | (25,728,480) | (74) |
TOTAL, including: |
33,777 | |||||||
positive | 46,575 | |||||||
negative | (12,798) |
Open currency transactions as at December 31st 2008:
Company | Type of transaction | Transaction execution date | Transaction settlement date | Currency pair | Amount in base currency | Rate | Amount in quote currency |
Fair value |
---|---|---|---|---|---|---|---|---|
Grupa LOTOS S.A. | Currency forward | Oct 1 2008 | Feb 10 2009 | EUR/USD | (18,800,000) | 1.4 | 26,647,120 | 623 |
Grupa LOTOS S.A. | Currency forward | Oct 1 2008 | Mar 5 2009 | EUR/USD | (8,000,000) | 1.4 | 11,335,200 | 254 |
Grupa LOTOS S.A. | Currency forward | Oct 3 2008 | Mar 5 2009 | EUR/USD | 7,000,000 | 1.4 | (9,708,300) | 397 |
Grupa LOTOS S.A. | Currency forward | Oct 6 2008 | Mar 5 2009 | EUR/USD | 3,500,000 | 1.4 | (4,755,170) | 491 |
Grupa LOTOS S.A. | Currency forward | Oct 7 2008 | Mar 5 2009 | EUR/USD | 10,000,000 | 1.4 | (13,580,000) | 1,421 |
Grupa LOTOS S.A. | Currency forward | Oct 8 2008 | Feb 13 2009 | EUR/USD | (7,000,000) | 1.4 | 9,608,200 | (694) |
Grupa LOTOS S.A. | Currency forward | Oct 9 2008 | Feb 13 2009 | EUR/USD | (3,000,000) | 1.4 | 4,134,000 | (249) |
Grupa LOTOS S.A. | Currency forward | Oct 14 2008 | Feb 2 2009 | EUR/USD | 7,000,000 | 1.4 | (9,637,600) | 617 |
Grupa LOTOS S.A. | Currency forward | Oct 15 2008 | Feb 2 2009 | USD/PLN | (10,000,000) | 2.6 | 25,735,500 | (3,973) |
Grupa LOTOS S.A. | Currency forward | Oct 20 2008 | Feb 11 2009 | USD/PLN | (4,000,000) | 2.7 | 10,620,000 | (1,275) |
Grupa LOTOS S.A. | Currency forward | Oct 27 2008 | Feb 13 2009 | EUR/USD | 450,000 | 1.2 | (560,835) | 213 |
Grupa LOTOS S.A. | Currency forward | Oct 29 2008 | Apr 30 2009 | USD/PLN | (22,000,000) | 2.9 | 62,733,000 | (3,155) |
Grupa LOTOS S.A. | Currency forward | Oct 30 2008 | Feb 11 2009 | EUR/PLN | 3,000,000 | 3.5 | (10,513,800) | 2,026 |
Grupa LOTOS S.A. | Currency forward | Oct 30 2008 | Apr 30 2009 | USD/PLN | 10,000,000 | 2.7 | (26,800,000) | 3,118 |
Grupa LOTOS S.A. | Currency forward | Oct 30 2008 | Apr 30 2009 | USD/PLN | 5,000,000 | 2.7 | (13,402,500) | 1,556 |
Grupa LOTOS S.A. | Currency forward | Nov 3 2008 | Feb 4 2009 | USD/PLN | (1,300,000) | 2.8 | 3,612,635 | (252) |
Grupa LOTOS S.A. | Currency forward | Nov 3 2008 | Jan 16 2009 | EUR/USD | 25,000,000 | 1.3 | 31,455,250 | 11,081 |
Grupa LOTOS S.A. | Currency forward | Nov 3 2008 | Feb 4 2009 | EUR/PLN | 1,100,000 | 3.6 | (3,928,705) | 668 |
Grupa LOTOS S.A. | Currency forward | Nov 4 2008 | Jan 14 2009 | EUR/USD | 25,000,000 | 1.3 | (31,456,250) | 11,089 |
Grupa LOTOS S.A. | Currency forward | Nov 4 2008 | Feb 12 2009 | EUR/USD | 20,000,000 | 1.3 | (25,526,000) | 7,679 |
Grupa LOTOS S.A. | Currency forward | Nov 4 2008 | Feb 12 2009 | EUR/USD | 6,000,000 | 1.3 | (7,657,800) | 2,304 |
Grupa LOTOS S.A. | Currency forward | Nov 4 2008 | Mar 16 2009 | EUR/USD | 25,000,000 | 1.3 | (31,409,250) | 11,009 |
Grupa LOTOS S.A. | Currency forward | Nov 4 2008 | Mar 17 2009 | EUR/USD | 25,000,000 | 1.3 | (31,408,000) | 11,009 |
Grupa LOTOS S.A. | Currency forward | Nov 12 2008 | Apr 15 2009 | EUR/USD | 30,000,000 | 1.2 | (37,425,000) | 13,857 |
Grupa LOTOS S.A. | Currency forward | Nov 12 2008 | Apr 20 2009 | USD/PLN | (20,000,000) | 3.0 | 60,524,000 | 623 |
Grupa LOTOS S.A. | Currency forward | Nov 12 2008 | May 15 2009 | EUR/USD | 30,000,000 | 1.2 | (37,416,300) | 13,759 |
Grupa LOTOS S.A. | Currency forward | Nov 12 2008 | May 20 2009 | USD/PLN | (15,000,000) | 3.0 | 45,474,000 | 411 |
Grupa LOTOS S.A. | Currency forward | Nov 12 2008 | Jun 15 2009 | EUR/USD | 30,000,000 | 1.3 | (37,789,500) | 12,544 |
Grupa LOTOS S.A. | Currency forward | Nov 12 2008 | Jun 19 2009 | USD/PLN | (15,000,000) | 3.0 | 45,480,000 | 284 |
Grupa LOTOS S.A. | Currency forward | Nov 19 2008 | Feb 11 2009 | USD/PLN | (17,000,000) | 3.1 | 52,450,100 | 1,853 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Jul 16 2009 | EUR/USD | 5,000,000 | 1.2 | (6,246,250) | 2,226 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Jul 16 2009 | EUR/USD | 10,000,000 | 1.2 | (12,492,500) | 4,453 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Jul 17 2009 | USD/PLN | (15,000,000) | 3.1 | 46,605,000 | 1,260 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Aug 12 2009 | USD/PLN | (15,000,000) | 3.1 | 46,627,500 | 1,181 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Aug 13 2009 | EUR/USD | 25,000,000 | 1.2 | (31,238,750) | 11,058 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Sep 11 2009 | USD/PLN | (5,000,000) | 3.1 | 15,550,000 | 364 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Sep 16 2009 | EUR/USD | 20,000,000 | 1.2 | (24,997,000) | 8,791 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Oct 9 2009 | USD/PLN | (5,000,000) | 3.1 | 15,557,500 | 339 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Oct 16 2009 | EUR/USD | 15,000,000 | 1.3 | (18,772,500) | 6,490 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Nov 16 2009 | EUR/USD | 10,000,000 | 1.3 | (12,516,500) | 4,285 |
Grupa LOTOS S.A. | Currency forward | Nov 20 2008 | Dec 16 2009 | EUR/USD | 25,000,000 | 1.3 | (31,292,500) | 10,618 |
Grupa LOTOS S.A. | Currency forward | Dec 9 2008 | Dec 11 2009 | USD/PLN | 23,500,000 | 3.1 | (72,885,250) | (966) |
Grupa LOTOS S.A. | Currency forward | Dec 9 2008 | Dec 11 2009 | EUR/USD | (2,500,000) | 1.3 | 3,195,000 | (873) |
Grupa LOTOS S.A. | Currency forward | Dec 18 2008 | Jan 7 2009 | USD/PLN | (35,000,000) | 2.8 | 99,455,300 | (4,230) |
Grupa LOTOS S.A. | Currency forward | Dec 18 2008 | Jan 8 2009 | USD/PLN | (30,000,000) | 2.8 | 85,244,400 | (3,640) |
Grupa LOTOS S.A. | Currency forward | Dec 18 2008 | Jan 9 2009 | USD/PLN | (25,000,000) | 2.8 | 71,092,000 | (2,988) |
Grupa LOTOS S.A. | Currency forward | Dec 29 2008 | Jan 15 2009 | EUR/USD | 50,000,000 | 1.4 | (71,345,150) | (2,789) |
Grupa LOTOS S.A. | Currency spot | Dec 31 2008 | Jan 5 2009 | USD/PLN | 2,000,000 | 3.0 | (5,942,720) | (19) |
Grupa LOTOS S.A. | Currency spot | Dec 31 2008 | Jan 5 2009 | EUR/USD | (1,000,000) | 1.4 | 1,403,780 | (15) |
Grupa LOTOS S.A. | Currency forward | Dec 31 2008 | Jan 14 2009 | USD/PLN | 11,100,000 | 3.0 | (33,029,160) | (114) |
Grupa LOTOS S.A. | Currency forward | Dec 31 2008 | Jan 14 2009 | EUR/USD | 3,800,000 | 4.2 | (15,903,000) | (36) |
Grupa LOTOS S.A. | Currency forward | Dec 31 2008 | Jan 15 2009 | USD/PLN | 22,000,000 | 3.0 | (65,250,900) | (6) |
Grupa LOTOS S.A. | Currency forward | Dec 31 2008 | Jan 15 2009 | USD/PLN | 7,000,000 | 3.0 | (20,778,100) | (19) |
Grupa LOTOS S.A. | Currency forward | Dec 31 2008 | Mar 16 2009 | USD/PLN | 21,400,000 | 3.0 | (63,868,300) | (20) |
Grupa LOTOS S.A. | Currency spot | Dec 31 2008 | Jan 2 2009 | USD/PLN | (2,000,000) | 3.0 | 5,940,000 | 19 |
Grupa LOTOS S.A. | Currency spot | Dec 31 2008 | Jan 2 2009 | EUR/USD | 1,000,000 | 1.4 | (1,404,000) | 15 |
TOTAL, |
134,672 | |||||||
positive | 159,985 | |||||||
negative | (25,313) |
Company | Type of transaction | Transaction execution date | Transaction settlement date | Currency pair | Amount in base currency | Rate | Amount in quote currency |
Premium settlement date | Premium (PLN‘000) | Fair value as at Dec 31 2008 (PLN ‘000)4 |
---|---|---|---|---|---|---|---|---|---|---|
Grupa LOTOS S.A. | Call option | Aug 8 2008 | Feb 12 2009 | EUR/USD | 50,000,000 | 1.6 | (79,500,000) | Aug 12 2008 | (1,563) | 384 |
Grupa LOTOS S.A. | Call option | Aug 11 2008 | Feb 13 2009 | EUR/USD | 100,000,000 | 1.6 | (159,000,000) | Aug 13 2008 | (2,900) | 815 |
Grupa LOTOS S.A. | Call option | Aug 11 2008 | Mar 5 2009 | EUR/USD | 60,000,000 | 1.6 | (95,400,000) | Sep 9 2008 | (666) | 1,192 |
Grupa LOTOS S.A. | Call option | Oct 20 2008 | Mar 9 2009 | EUR/USD | (60,000,000) | 1.6 | 95,400,000 | Oct 22 2008 | 438 | (1,192) |
Grupa LOTOS S.A. | Call option | Oct 27 2008 | Feb 13 2009 | EUR/USD | (15,000,000) | 1.6 | 23,850,000 | Oct 29 2008 | 85 | (122) |
Grupa LOTOS S.A. | Call option | Nov 4 2008 | Feb 12 2009 | EUR/USD | (50,000,000) | 1.6 | 79,500,000 | Nov 7 2008 | 329 | (385) |
Grupa LOTOS S.A. | Call option | Nov 4 2008 | Feb 13 2009 | EUR/USD | (85,000,000) | 1.6 | 135,150,000 | Nov 7 2008 | 600 | (692) |
TOTAL, |
(3,677)(5) | - | ||||||||
positive | 1,452 | 2,391 | ||||||||
negative | (5,129) | (2,391) |
(3) Fair value of currency spots and forwards is established by reference to future discounted cash flows connected with the transactions, calculated on the basis of the difference between the forward rate and the transaction price. The forward rate is calculated on the basis of the fixing rate quotations of the National Bank of Poland and the interest rate curve implied in fx swaps. (Level 2 in the fair value hierarchy).
(4) Apart from the parameters used in the valuation of currency forwards, implied volatility is additionally taken into account in calculating the value of currency options (Level 2 in the fair value hierarchy).
(5) As at December 31st 2008, the option premium was presented at net value under “derivative financial instruments” (see Note 20).
The Parent Undertaking’s total currency position as at December 31st 2009:
Period | USD/PLN position | EUR/PLN position | ||||
---|---|---|---|---|---|---|
Underlying | Transaction | Total | Underlying | Transaction | Total | |
2010 | 406,436,729 | (282,890,380) | 123,546,349 | (287,449,821) | 202,200,000 | (85,249,821) |
The Parent Undertaking’s total currency position as at December 31st 2008:
Period | USD/PLN position | EUR/PLN position | ||||
---|---|---|---|---|---|---|
Underlying | Transaction | Total | Underlying | Transaction | Total | |
2009 | 596,635,901 | (598,067,105) | (1,431,204) | (368,983,750) | 372,550,000 | 3,566,250 |
The LOTOS Group companies executed transactions to hedge their euro-denominated export sales revenue (2008) and the USD exchange rate in connection with the purchase of bonds from a LOTOS Group company (2009).
Open currency transactions as at December 31st 2009:
Company | Type of transaction | Transaction execution date | Transaction settlement date | Currency pair | Amount in base currency | Rate | Amount in quote currency | Fair value as at Dec 31 2009 (PLN ‘000)3 |
---|---|---|---|---|---|---|---|---|
LOTOS Asfalt Sp. z o.o. | Currency swap | Nov 12 2009 | Nov 12 2010 | USD/PLN | (20,500,000) | 2.8355 | 58,127,750 | (1,758) |
LOTOS Asfalt Sp. z o.o. | Currency swap | Nov 12 2009 | Nov 12 2010 | USD/PLN | (19,500,000) | 2.8354 | 55,290,300 | (1,420) |
SUMA | (3,178) | |||||||
positive | - | |||||||
negative | (3,178) |
Open currency transactions as at December 31st 2008:
Company | Type of transaction | Transaction execution date | Transaction settlement date | Currency pair | Amount in base currency | Rate | Amount in quote currency | Fair value as at Dec 31 2008 (PLN ‘000) |
---|---|---|---|---|---|---|---|---|
LOTOS Asfalt Sp. z o.o. | Currency forward | Jul 8 2008 | Jul 10 2009 | EUR/PLN | (3,000,000) | 3.3 | 9,984,000 | (2,623) |
LOTOS Asfalt Sp. z o.o. | Currency forward | Dec 1 2008 | Jan 2 2009 | EUR/PLN | (155,000) | 3.8 | 595,510 | (51) |
LOTOS Asfalt Sp. z o.o. | Currency forward | Dec 3 2008 | Jan 5 2009 | EUR/PLN | (388,000) | 3.8 | 1,491,860 | (128) |
LOTOS Asfalt Sp. z o.o. | Currency forward | Dec 8 2008 | Jan 9 2009 | EUR/PLN | (305,000) | 3.9 | 1,182,333 | (91) |
LOTOS Asfalt Sp. z o.o. | Currency forward | Dec 10 2008 | Jan 12 2009 | EUR/PLN | (168,000) | 4.0 | 665,112 | (36) |
LOTOS Asfalt Sp. z o.o. | Currency forward | Dec 11 2008 | Jan 13 2009 | EUR/PLN | (250,000) | 4.0 | 992,750 | (52) |
LOTOS Asfalt Sp. z o.o. | Currency forward | Dec 22 2008 | Jan 23 2009 | EUR/PLN | (469,000) | 4.1 | 1,925,949 | (35) |
TOTAL, including: |
(3,016) | |||||||
positive | - | |||||||
negative | (3,016) |
Company | Type of transaction | Transaction execution date | Transaction settlement date | Currency pair | Amount in base currency | Rate | Amount in quote currency | Fair value as at Dec 31 2008 (PLN ‘000) |
---|---|---|---|---|---|---|---|---|
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Jan 28 2009 | EUR/PLN | 300,000 | 3.6 | 1,080,000 | 1 |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Feb 25 2009 | EUR/PLN | 300,000 | 3.6 | 1,078,500 | 4 |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Mar 27 2009 | EUR/PLN | 300,000 | 3.6 | 1,077,000 | 8 |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Apr 28 2009 | EUR/PLN | 300,000 | 3.6 | 1,074,000 | 11 |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | May 27 2009 | EUR/PLN | 300,000 | 3.6 | 1,072,500 | 14 |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Jun 18 2009 | EUR/PLN | 300,000 | 3.6 | 1,071,000 | 16 |
LOTOS Parafiny Sp. z o.o. | Call option | Oct 16 2008 | Jan 28 2009 | EUR/PLN | (600,000) | 3.6 | 2,160,000 | (402) |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Jan 28 2009 | EUR/PLN | (300,000) | 3.6 | 1,068,000 | (1) |
LOTOS Parafiny Sp. z o.o. | Call option | Oct 16 2008 | Feb 25 2009 | EUR/PLN | (600,000) | 3.6 | 2,157,000 | (412) |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Feb 25 2009 | EUR/PLN | (300,000) | 3.6 | 1,068,000 | (4) |
LOTOS Parafiny Sp. z o.o. | Call option | Oct 16 2008 | Mar 27 2009 | EUR/PLN | (600,000) | 3.6 | 2,154,000 | (423) |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Mar 27 2009 | EUR/PLN | (300,000) | 3.6 | 1,068,000 | (7) |
LOTOS Parafiny Sp. z o.o. | Call option | Oct 16 2008 | Apr 28 2009 | EUR/PLN | (600,000) | 3.6 | 2,148,000 | (437) |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Apr 28 2009 | EUR/PLN | (300,000) | 3.6 | 1,068,000 | (10) |
LOTOS Parafiny Sp. z o.o. | Call option | Oct 16 2008 | May 27 2009 | EUR/PLN | (600,000) | 3.6 | 2.145,000 | (448) |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | May 27 2009 | EUR/PLN | (300,000) | 3.6 | 1,068,000 | (13) |
LOTOS Parafiny Sp. z o.o. | Call option | Oct 16 2008 | Jun 18 2009 | EUR/PLN | (600,000) | 3.6 | 2,142,000 | (457) |
LOTOS Parafiny Sp. z o.o. | Put option | Oct 16 2008 | Jun 18 2009 | EUR/PLN | (300,000) | 3.6 | 1,068,000 | (15) |
TOTAL, |
(2,575) | |||||||
positive | 54 | |||||||
negative | (2,629) |
The base map of interest rate positions reflects the planned schedule of drawdowns and repayments under the loan extended to finance inventories and the implementation of the 10+ Programme. The interest rate risk is connected with the interest calculated on the basis of a floating rate (LIBOR USD). The structure of limits is based on the underlying’s nominal value hedge ratio. In a long-term perspective, a partial risk mitigation effect was achieved through the choice of a fixed interest rate for the SACE sub-tranche under the investment loan granted to finance the 10+ Programme described in Note 30.
The agreement on the financing of the 10+ Programme provides for the obligation to maintain a specified hedge ratio for the interest rate risk, i.e. the risk connected with the LIBOR USD floating interest rate on the loan to finance the 10+ Programme in the period until mid-2011.
As at December 31st 2009, the underlying interest rate position stood at (USD ’000):
Period | Underlying position |
---|---|
2010 | (1,782,231) |
2011 | (1,820,792) |
2012 | (1,388,528) |
2013 | (1,302,032) |
2014 | (1,201,506) |
2015 | (1,083,753) |
2016 | (959,280) |
2017 | (830,913) |
2018 | (690,720) |
2019 | (533,154) |
2020 | (374,596) |
As at December 31st 2008, the underlying interest rate position stood at (USD ’000):
Period | Underlying position |
---|---|
2009 | (1,465,047) |
2010 | (1,733,870) |
2011 | (1,752,352) |
2012 | (1,323,175) |
2013 | (1,240,750) |
2014 | (1,144,955) |
2015 | (1,032,745) |
2016 | (914,130) |
2017 | (791,805) |
2018 | (658,210) |
2019 | (508,060) |
2020 | (356,965) |
In connection with its obligation to maintain the hedge ratio prescribed in the loan agreement and given its intention to partly mitigate the interest rate risk which is not covered by mandatory hedges, the Company executed hedging transactions. Taking advantage of the favourable market conditions prevailing at the long end of the USD interest rate curve, the Company hedged a part of its exposure in a time horizon of up to ten years.
Open interest rate transactions as at December 31st 2009:
Company | Type of transaction | Transaction execution date | Beginning of period | End of period | Nominal value (USD) | Company pays | Company receives | Fair value as at Dec 31 2009 (PLN ‘000)5 |
---|---|---|---|---|---|---|---|---|
Grupa LOTOS S.A. | Interest rate swap (IRS) | May 9 2008 | Oct 15 2008 | Jun 30 2011 | 50,000,000 | 3.4% | 6M LIBOR | (9,058) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | May 13 2008 | Oct 15 2008 | Jun 30 2011 | 50,000,000 | 3.6% | 6M LIBOR | (9,473) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | May 16 2008 | Oct 15 2008 | Jun 30 2011 | 100,000,000 | 3.7% | 6M LIBOR | (19,598) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 4 2008 | Jul 15 2009 | Jun 30 2011 | 122,000,000 | 4.1% | 6M LIBOR | (20,420) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 4 2008 | Oct 15 2008 | Jun 30 2011 | 208,000,000 | 3.8% | 6M LIBOR | (42,633) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 26 2008 | Jan 15 2009 | Jun 30 2011 | 100,000,000 | 4.3% | 6M LIBOR | (23,991) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 27 2008 | Jul 15 2009 | Jun 30 2011 | 150,000,000 | 4.3% | 6M LIBOR | (27,254) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 5 2008 | Oct 15 2008 | Jan 15 2013 | 100,000,000 | 3.8% | 6M LIBOR | (23,222) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 16 2008 | Jan 15 2009 | Jan 15 2013 | 100,000,000 | 3.5% | 6M LIBOR | (20,125) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 19 2008 | Jan 15 2009 | Jan 15 2013 | (100,000,000) | 6M LIBOR | 4,0% | 25,194 |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Oct 7 2008 | Jan 15 2009 | Jan 15 2013 | 100,000,000 | 3.5% | 6M LIBOR | (19,787) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Oct 8 2008 | Jul 15 2011 | Jan 15 2013 | 100,000,000 | 4.2% | 6M LIBOR | (4,159) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Mar 19 2009 | Jul 15 2011 | Jan 15 2018 | 100,000,000 | 3.3% | 6M LIBOR | 18,070 |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Apr 15 2009 | Jul 15 2011 | Jan 15 2018 | 50,000,000 | 3.5% | 6M LIBOR | 7,914 |
Grupa LOTOS S.A. | Interest rate swap (IRS) | May 8 2009 | Jul 15 2011 | Jan 15 2018 | 50,000,000 | 4.0% | 6M LIBOR | 3,589 |
TOTAL, including: | (164,953) | |||||||
positive | 54,767 | |||||||
negative | (219,720) |
Open interest rate transactions as at December 31st 2008:
Company | Type of transaction | Transaction execution date | Beginning of period | End of period | Nominal value (USD) | Company pays | Company receives | Fair value as at Dec 31 2008 (PLN’000)5 |
---|---|---|---|---|---|---|---|---|
Grupa LOTOS S.A. | Interest rate swap (IRS) | May 9 2008 | Oct 15 2008 | Jun 30 2011 | 50,000,000 | 3.4% | 6M LIBOR | (5,912) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | May 13 2008 | Oct 15 2008 | Jun 30 2011 | 50,000,000 | 3.6% | 6M LIBOR | (6,515) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | May 16 2008 | Oct 15 2008 | Jun 30 2011 | 100,000,000 | 3.7% | 6M LIBOR | (13,494) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 4 2008 | Jul 15 2009 | Jun 30 2011 | 122,000,000 | 4.1% | 6M LIBOR | (16,271) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 4 2008 | Oct 15 2008 | Jun 30 2011 | 208,000,000 | 3.8% | 6M LIBOR | (30,172) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 26 2008 | Jan 15 2009 | Jun 30 2011 | 100,000,000 | 4.3% | 6M LIBOR | (18,803) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 27 2008 | Jul 15 2009 | Jun 30 2011 | 150,000,000 | 4.3% | 6M LIBOR | (22,190) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 5 2008 | Oct 15 2008 | Jan 15 2013 | 100,000,000 | 3.8% | 6M LIBOR | (20,121) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 16 2008 | Jan 15 2009 | Jan 15 2013 | 100,000,000 | 3.5% | 6M LIBOR | (17,678) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 19 2008 | Jan 15 2009 | Jan 15 2013 | (100,000,000) | LIBOR 6M | 4,0% | 22,848 |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Oct 7 2008 | Jan 15 2009 | Jan 15 2013 | 100,000,000 | 3.5% | 6M LIBOR | (17,333) |
Grupa LOTOS S.A. | Interest rate swap (IRS) | Oct 8 2008 | Jul 15 2011 | Jan 15 2013 | 100,000,000 | 4.2% | 6M LIBOR | (7,044) |
TOTAL, including: | (152,685) | |||||||
positive | 22,848 | |||||||
negative | (175,533) |
Company | Type of transaction | Transaction execution date | Beginning of period | End of period | Nominal value (USD) | Company pays | Company receives | Fair value as at Dec 31 2008 (PLN’000)5 |
---|---|---|---|---|---|---|---|---|
Grupa LOTOS S.A. | Forward rate agreement (FRA) | Oct 7 2008 | Jan 15 2009 | Jul 15 2009 | 100,000,000 | 2,5% | 6M LIBOR | (1,733) |
TOTAL | (1,733) |
(5) Fair value of FRAs is established by reference to future discounted cash flows connected with the transactions, calculated on the basis of the difference between the forward rate and the transaction price. The forward rate is calculated using the zero-coupon interest rate curve based on 6M or 3M LIBOR, depending on the type of transaction. In 2008, the forward rate was calculated using the zero-coupon interest rate curve based on 3M LIBOR, so the basis swaps between the 3M and the 6M LIBOR reference rate were not accounted for (Level 2 in the fair value hierarchy).
Total interest rate position as at December 31st 2009:
Period | Underlying position | Fixed interest rate loans | Transaction position | Total position | Hedge ratio |
---|---|---|---|---|---|
2010 | (1,782,230,827) | 357,329,116 | 980,000,000 | (444,901,710) | 75% |
2011 | (1,820,792,177) | 420,654,375 | 740,000,000 | (660,137,802) | 64% |
2012 | (1,388,528,072) | 401,678,125 | 500,000,000 | (486,849,947) | 65% |
2013 | (1,302,032,010) | 376,656,250 | 200,000,000 | (725,375,760) | 44% |
2014 | (1,201,505,590) | 347,575,625 | 200,000,000 | (653,929,965) | 46% |
2015 | (1,083,753,414) | 313,511,875 | 200,000,000 | (570,241,539) | 47% |
2016 | (959,279,889) | 277,503,750 | 200,000,000 | (481,776,139) | 50% |
2017 | (830,913,122) | 240,369,375 | 200,000,000 | (390,543,747) | 53% |
2018 | (690,719,718) | 199,813,750 | 0 | (490,905.968) | 29% |
2019 | (533,153,644) | 154,232,500 | 0 | (378,921,144) | 29% |
2020 | (374,595,895) | 108,364,375 | 0 | (266,231,520) | 29% |
Total interest rate position as at December 31st 2008:
Period | Underlying position | Fixed interest rate loans | Transaction position | Total position | Hedge ratio |
---|---|---|---|---|---|
2009 | (1,465,046,833) | 307,798,312 | 894,000,000 | (263,248,521) | 82% |
2010 | (1,733,870,372) | 401,860,932 | 980,000,000 | (352,009,440) | 80% |
2011 | (1,752,351,666) | 420.654 375 | 640,000,000 | (691,697,291) | 61% |
2012 | (1,323,175,000) | 401,678,125 | 300,000,000 | (621,496,875) | 53% |
2013 | (1,240,750,000) | 376,656,250 | - | (864,093,750) | 30% |
2014 | (1,144,955,000) | 347,575,625 | - | (797,379,375) | 30% |
2015 | (1,032,745,000) | 313,511,875 | - | (719,233,125) | 30% |
2016 | (914,130,000) | 277,503,750 | - | (636,626,250) | 30% |
2017 | (791,805,000) | 240.369,375 | - | (551,435,625) | 30% |
2018 | (658,210,000) | 199,813,750 | - | (458,396,250) | 30% |
2019 | (508,060,000) | 154,232,500 | - | (353,827,500) | 30% |
2020 | (356,965,000) | 108,364,375 | - | (248,600,625) | 30% |
To optimise the interest balance, the cashpooling service for the LOTOS Group members is used. The service consists in the application of favourable interest rates for debit and credit balances, which are subject to offsetting as at the end of each business day.
The liquidity risk management process at the LOTOS Group consists in monitoring the forecast cash flows, matching maturities of assets and liabilities, analysing working capital and maintaining access to various financing sources.
In the period covered by the budget, liquidity is monitored on an ongoing basis across the Group as part of the financial risk management. In the mid and long term, it is monitored as part of the planning process, which helps create a long-term financial strategy.
In the area of financial risk, in addition to an active management of market risk, the Parent Undertaking follows the following rules with respect to liquidity management:
Maturity structure of derivative financial instruments as at December 31st 2009:
Beginning of period | End of period | Period | Net cash flows (EUR’000) | Net cash flows (USD’000) | Net cash flows (PLN’000) |
---|---|---|---|---|---|
Jan 1 2010 | Jan 31 2010 | Up to 1 month | 33,000 | (123,874) | 159,927 |
Feb 1 2010 | Mar 31 2010 | 1–3 months | 59,200 | (38,897) | (121,710) |
Apr 1 2010 | Dec 31 2010 | 3–12 months | 110,032 | (145,458) | (28,696) |
Jan 1 2011 | Dec 31 2015 | 1–5 years | (66) | (35,826) | 0 |
Jan 1 2016 | Dec 31 2030 | Over 5 years | 0 | 4,801 | 0 |
Note 24 presents additional free cash remaining at the Group’s disposal. Note 21.5 contains information on the contractual maturities of financial liabilities as at December 31st 2009 and December 31st 2008.
Management of credit risk relating to counterparties in financial transactions consists in ongoing monitoring of credit exposure in relation to the limits granted. The counterparties must have an appropriate credit rating assigned by leading rating agencies or hold guarantees granted by institutions meeting the minimum rating requirement. The Group enters into financial transactions with reputable firms with good credit standing.
As at December 31st 2009, the concentration of credit risk with respect to a single counterparty in financial transactions did not exceed 0.2% of the Company’s balance-sheet total.
As regards management of credit risk relating to counterparties in the Group’s trade transactions, all customers requesting trade credit undergo verification of their financial reliability, whose results determine the level of credit limits to be granted. Furthermore, due to the fact that the receivables are monitored on an ongoing basis, the risk of it holding uncollectible receivables is low.
Carrying values of financial assets represent the maximum credit risk exposure. The maximum credit risk exposure as at the balance-sheet date stood at:
PLN ‘000 | Note | Dec 31 2009 | Dec 31 2008 |
---|---|---|---|
(comparable data) | |||
Shares: | 9,929 | 11,041 | |
- non-current | 19 | 9,917 | 9,917 |
- current | 20 | 12 | 1,124 |
Prepayments for shares | 20 | - | 25,332(1) |
Derivative financial instruments | 101,879 | 302,304 | |
- non-current | 19 | 54,862 | 22,848 |
- current | 20 | 47,017 | 279,456 |
Decommissioning fund | 19 | 20,962 | 16,599 |
Non-current deposits | 19 | 311 | - |
Loans: | 21 | - | - |
- non-current | - | - | |
- current | - | - | |
Trade and other receivables: | 1,515,812 | 1,260,660 | |
- non-current | 12 | 22,061 | 9,152 |
- current | 23 | 1,493,751 | 1,251,508 |
Cash and cash equivalents | 24 | 362,078 | 712,801 |
Total | 2,010,971 | 2,328,737 |
(1) As at December 31st 2008, the Group carried assets invested in associated undertaking AB Naftos Gavyba (AB Geonafta after the merger) in the total amount of PLN 25,332 thousand. As at December 31st 2009, these assets were disclosed under “Investments in associated undertakings” in the statement of financial position (see Note 18).
The age analysis of past due financial assets as at December 31st 2009 and December 31st 2008 is shown in Note 23.
Below is presented an analysis of the Group’s sensitivity to currency risk as at December 31st 2009, along with the effect of such a risk on the financial performance, assuming a 4% increase or decrease in the USD/PLN and EUR/PLN currency exchange rates and constant levels of all other variables:
Dec 31 2009 (PLN ‘000) | Note | Carrying value in a foreign currency, translated into PLN as at the balance-sheet date | 4% increase in exchange rate, effect on year’s result | 4% decrease in exchange rate, effect on year’s result |
||
---|---|---|---|---|---|---|
USD | EUR | USD | EUR | |||
Trade and other receivables | 23 | 78,389 | 1,469 | 1,668 | (1,469) | (1,668) |
Financial assets – derivative financial instruments | 20 | 101,879 | (53,432) | 32,158 | 53,432 | (32,158) |
Non-current deposits | 19 | 311 | - | 12 | - | (12) |
Cash and cash equivalents | 24 | 33,919 | 784 | 574 | (784) | (574) |
Trade and other payables | 33 | (803,944) | (28,753) | (3,405) | 28,753 | 3,405 |
Loans | 30 | (5,016,021) | (199,674) | (584) | 199,674 | 584 |
Financial liabilities – derivative financial instruments | 32 | (236,371) | 14,685 | 938 | (14,685) | (938) |
Finance lease liabilities | 32 | (81,344) | - | (3,232) | - | 3,232 |
Total | (5,923,182) | (264,921) | 28,129 | 264,921 | (28,129) |
As at December 31st 2009, the Parent Undertaking held futures for the purchase of carbon dioxide (CO2) emission allowances (EUA – Emissions Unit Allowance), measured at fair value as at the balance-sheet date.
As at December 31st 2009, the financial assets related to positive valuation of the futures for the purchase of carbon dioxide (CO2) emission allowances amounted to PLN 537 thousand.
As at December 31st 2009, the financial liabilities related to negative valuation of the futures for the purchase of carbon dioxide (CO2) emission allowances were PLN 675 thousand.
A change in the price of the carbon dioxide (CO2) emission allowances up or down by 10% could potentially lead to a change in the fair value of financial assets and liabilities related to the futures for the purchase of carbon dioxide (CO2) emission allowances of PLN 107 (107) thousand.
Below is presented an analysis of the Group’s sensitivity to currency risk as at December 31st 2008, along with the effect of such a risk on the financial performance, assuming a 4% increase or decrease in the USD/PLN and EUR/PLN currency exchange rates and constant levels of all other variables:
Dec 31 2008 (PLN ‘000) | Note | Carrying value in a foreign currency, translated into PLN as at the balance-sheet date | 4% increase in exchange rate, effect on year’s result | 4% decrease in exchange rate, effect on year’s result |
||
---|---|---|---|---|---|---|
USD | EUR | USD | EUR | |||
Trade and other receivables | 23 | 109,891 | 2,675 | 1,721 | (2,675) | (1,721) |
Financial assets – derivative financial instruments | 20 | 302,304 | (53,808) | 54,808 | 53,808 | (54,808) |
Non-current deposits | 19 | - | - | - | - | - |
Cash and cash equivalents | 24 | 94,387 | 2,689 | 1,087 | (2,689) | (1,087) |
Trade and other payables | 33 | (630,602) | (18,252) | (6,971) | 18,252 | 6,971 |
Loans | 30 | (3,198,294) | (126,993) | (1,012) | 126,993 | 1,012 |
Financial liabilities – derivative financial instruments | 32 | (218,526) | (18.506) | 6,507 | 18,506 | (6,507) |
Finance lease liabilities | 32 | - | - | - | - | - |
Total | (3,540,840) | (212,195) | 56,140 | 212,195 | (56,140) |
As at December 31st 2008, the Parent Undertaking held futures for the purchase of carbon dioxide (CO2) emission allowances (EUA – Emissions Unit Allowance), measured at fair value as at the balance-sheet date.
As at December 31st 2008, the financial assets related to positive valuation of the futures for the purchase of carbon dioxide (CO2) emission allowances amounted to PLN 15 thousand.
As at December 31st 2008, the financial liabilities related to negative valuation of the futures for the purchase of carbon dioxide (CO2) emission allowances were PLN 1 thousand.
A change in the price of the carbon dioxide (CO2) emission allowances up or down by 10% could potentially lead to a change in the fair value of financial assets and liabilities related to the futures for the purchase of carbon dioxide (CO2) emission allowances of PLN 584 (584) thousand.
As at December 31st 2008 the Parent Undertaking held OTC full barrel swaps, measured at fair value as at the balance-sheet date.
As at December 31st 2008, the financial assets related to positive valuation of the full barrel swap amounted to PLN 113,334 thousand.
As at December 31st 2008, the financial liabilities related to negative valuation of the full barrel swap were PLN 7,910 thousand.
A change in the values of the indices included in the full barrel swap up or down by 10% could potentially lead to a change in the valuation of the fair value of financial assets and liabilities related to the OTC full barrel swap of PLN 16,655 (16,655) thousand.
Below is presented an analysis of the Group’s sensitivity to interest rate risk as at December 31st 2009, assuming a 0.2% increase or decrease in the interest rate:
Dec 31 2009 PLN ‘000 | Note | Carrying value | Change | |
---|---|---|---|---|
0.2% increase | 0.2% decrease | |||
Cash and cash equivalents | 24 | 362,078 | 724 | (724) |
Decommissioning fund | 19 | 20,962 | 42 | (42) |
Non-current deposits | 19 | 311 | 1 | (1) |
Financial assets – derivative financial instruments(1) | 19 | 54,767 | 4.120 | (4,225) |
Loans and borrowings | 30 | (5,701,071) | (11,605) | 11,605 |
Finance lease liabilities | 32 | (83,149) | (166) | 166 |
Financial liabilities – derivative financial instruments(1) | 32 | (219,720) | 12,426 | (12,508) |
Total | (5,565,822) | 5,542 | (5,729) |
(1) including interest rate swap (IRS)
As at December 31st 2009, the carrying value of financial assets and liabilities (loans, cash and cash equivalents, decommissioning fund, non-current deposits, derivative financial instruments, liabilities under: loans and borrowings, finance lease and derivative financial instruments) which are sensitive to interest rate risk amounted to PLN (5,565,822) thousand net.
A change in interest rates up or down by 0.2% could potentially lead to a change in the value of financial assets and liabilities as at December 31st 2009 of PLN 5,542 (5,729) thousand net.
Below is presented an analysis of the Group’s sensitivity to interest rate risk as at December 31st 2008, assuming a 0.2% increase or decrease in the interest rate:
Dec 31 2008 PLN ‘000 | Note | Carrying value | Change | |
---|---|---|---|---|
0.2% increase | 0.2% decrease | |||
Cash and cash equivalents | 24 | 712,801 | 1,426 | (1,426) |
Decommissioning fund | 19 | 16,599 | 33 | (33) |
Non-current deposits | 19 | - | - | - |
Financial assets – derivative financial instruments(1) | 19 | 22,848 | (2,355) | 2,378 |
Loans and borrowings | 30 | (3,919,605) | (7,839) | 7,839 |
Finance lease liabilities | 32 | (1,415) | (3) | 3 |
Financial liabilities – derivative financial instruments(1) | 32 | (177,266) | 18,742 | (18,901) |
Total | (3,346,038) | 10,004 | (10,140) |
(1) Including interest rate swap (IRS) and/or forward rate agreements (FRAs).
As at December 31st 2008, the carrying value of financial assets and liabilities (loans, cash and cash equivalents, decommissioning fund, derivative financial instruments, liabilities under loans and borrowings, finance lease and derivative financial instruments) which are sensitive to interest rate risk amounted to PLN (3,346,038) thousand net.
A change in interest rates up or down by 0.2% could potentially lead to a change in the value of financial assets and liabilities as at December 31st 2008 of PLN 10,004 (10,140) thousand net.
Maturity structure of financial liabilities as at December 31st 2009:
PLN ‘000 | Note | Carrying value | Contractual cash flows | Up to 6 months | 6–12 months | 1–2 years | 2–5 years | Over 5 years |
---|---|---|---|---|---|---|---|---|
Secured bank loans (other than overdraft facilities) | 30 | 5,190,356 | 5,291,777 | 140,616 | 116,197 | 1,295,279 | 864,392 | 2,875,293 |
Overdraft facilities | 30 | 510,715 | 510,715 | 510,600 | 115 | - | - | - |
Finance lease liabilities | 32 | 83,149 | 83,149 | 1,159 | 1,686 | 3,873 | 19,949 | 56,482 |
Trade and other payables | 33 | 1,094,702 | 1,094,702 | 1,046,171 | 9,637 | 15,728 | 23,166 | - |
Total | 6,878,922 | 6,980,343 | 1,698,546 | 127,635 | 1,314,880 | 907,507 | 2,931,775 |
Maturity structure of financial liabilities as at December 31st 2008:
PLN ‘000 | Note | Carrying value | Contractual cash flows | Up to 6 months | 6–12 months | 1–2 years | 2–5 years | Over 5 years |
---|---|---|---|---|---|---|---|---|
Secured bank loans (other than overdraft facilities) | 30 | 3,544,631 | 3,546,455 | 91,644 | 42,566 | 70,508 | 1,629,552 | 1,712,185 |
Overdraft facilities | 30 | 374,974 | 374,974 | 373,114 | 1,860 | - | - | - |
Finance lease liabilities | 32 | 1,415 | 1,415 | 165 | 396 | 799 | 55 | - |
Trade and other payables | 33 | 1,260,855 | 1,260,855 | 1,254,638 | 1,393 | 2,193 | 2,631 | - |
Total | 5,181,875 | 5,183,699 | 1,719,561 | 46,215 | 73,500 | 1,632,238 | 1,712,185 |
Maturity structure of derivative financial instruments as at December 31st 2009:
PLN ‘000 | Note | Carrying value* | Contractual cash flows | Up to 6 months | 6–12 months | 1–2 years | 2–5 years | Over 5 years |
---|---|---|---|---|---|---|---|---|
Futures (CO2 emissions) | (138) | (138) | - | 132 | 86 | (356) | - | |
Currency forward and spot contracts | 20, 32 | 33,777 | 33,777 | 32,165 | 1,612 | - | - | - |
Interest rate swap (IRS) | (164,953) | (164,953) | - | - | (152,428) | (42,098) | 29,573 | |
Currency swap | 32 | (3,178) | (3,178) | (3,178) | - | - | - | - |
Total | (134,492) | (134,492) | (28,987) | 1,744 | (152,342) | (42,454) | 29,573 |
*carrying value (positive valuation of derivative financial instruments less negative valuation of derivative financial instruments) represents the fair value of derivative financial instruments
Maturity structure of derivative financial instruments as at December 31st 2008:
PLN ‘000 | Note | Wartość bilansowa* | Contractual cash flows | Up to 6 months | 6–12 months | 1–2 years | 2–5 years | Over 5 years |
---|---|---|---|---|---|---|---|---|
Commodity swap | 20, 32
|
105,424 | 105,424 | 54,550 | 50,874 | - | - | |
Futures (CO2 emissions) | 20, 32 | 14 | 14 | (1) | 15 | - | - | - |
Currency forward and spot contracts | 20, 32 | 131,656 | 131,656 | 82,432 | 49,224 | - | - | - |
Currency options | 20, 32 | 1,102 | 1,102 | 1,102 | - | - | - | - |
Forward rate agreements (FRAs) | (1,733) | (1,733) | (1,733) | - | - | - | - | |
Interest rate swap (IRS) | 19, 20, 32 | (152,685) | (152,685) | - | - | - | (152,658) | - |
Total | 83,778 | 83,778 | 136,350 | 100,113 | - | (152,685) | - |
* Carrying value (positive valuation of derivative financial instruments less negative valuation of derivative financial instruments) represents the fair value of derivative financial instruments.
This is a translation of a document originally issued in Polish
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