Integrated report 2020
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Integrated report 2020
The PGE Capital Group is mainly exposed to the EUR/PLN exchange rate risk and to the risk of changes in reference interest rates of PLN and EUR. It also has positions in USD, whose scale is smaller and therefore the risk associated with them for the Group is low. For the purpose of an analysis of sensitivity to changes in market risk factors, the PGE Capital Group uses the scenario analysis method, i.e. expert scenarios reflecting subjective evaluation of future development of market risk factors.
The scenario analyses presented in this item aim to analyse the impact of changes in the market risk factors on consolidated financial results. With respect to the interest rate risk and the currency risk, the analysis focuses exclusively on these items that fulfil the definition of financial instruments.
In the analysis of sensitivity to the interest rate risk, the PGE Capital Group uses the parallel shift of the interest rate curve by a potentially possible change in the reference interest rates during the next year.
In the case of an analysis of sensitivity to changes in interest rates, the effect of changes in the risk factors would be charged in the consolidated statement of comprehensive income to the item of interest income/costs or the item of revaluation of financial instruments measured at fair value.
The table below presents a sensitivity analysis for every type of the market risk to which the PGE Capital Group was exposed as at the reporting date, showing how the gross financial result would be influenced potentially by changes in the particular risk factors according to the classes of financial assets and liabilities.
The value of exposure to the currency risk for forwards represents their nominal amount together with interest accrued until the reporting date, translated into PLN at the closing rate as at December 31, 2020 and as at December 31, 2019 respectively, without discount. The book value of derivative instruments is the result of valuation to fair value.
The table below shows the sensitivity of financial instruments to reasonably possible changes in exchange rates, with all other risk factors remaining unchanged.
| CURRENCY RISK SENSITIVITY ANALYSIS AS AT DECEMBER 31, 2020 |
||||||
|---|---|---|---|---|---|---|
| CLASSES OF FINANCIAL INSTRUMENTS | Value in statement in PLN |
Value exposed to risk |
EUR/PLN | USD/PLN | ||
| impact on profit or loss/equity | impact on profit or loss/equity | |||||
| 10% | -10% | 10% | -10% | |||
| Trade receivables and other financial receivables | 5,003 | 724 | 72 | (73) | – | – |
| Cash and cash equivalents | 4,189 | 733 | 73 | (73) | – | – |
| Derivatives measured at fair value | 58 | 356 | – | – | 32 | (32) |
| Hedging derivatives | 445 | 872 | 66 | (66) | – | – |
| Interest-bearing credits and loans | (8,423) | 368 | (22) | 22 | (15) | 15 |
| Bonds issued | (2,045) | 644 | (64) | 64 | – | – |
| Trade payables and other financial liabilities | (3,952) | 939 | (86) | 86 | (4) | 4 |
| Derivatives measured at fair value | (40) | 161 | – | – | (16) | 16 |
| IMPACT ON FINANCIAL RESULT | (39) | (39) | (3) | 3 | ||
| Hedging instruments | 36 | 12,838 | 1,228 | (1,228) | (11) | 11 |
| IMPACT ON HEDGING RESERVE | 1,228 | (1,228) | (11) | 11 | ||
| CURRENCY RISK SENSITIVITY ANALYSIS AS AT DECEMBER 31, 2019 |
||||||
|---|---|---|---|---|---|---|
| CLASSES OF FINANCIAL INSTRUMENTS | Value in statement in PLN |
Value exposed to risk | EUR/PLN | USD/PLN | ||
| impact on profit or loss/equity | impact on profit or loss/equity | |||||
| 10% | -10% | 10% | -10% | |||
| Trade receivables and other financial receivables | 4,995 | 629 | 63 | (63) | – | – |
| Cash and cash equivalents | 1,313 | 504 | 50 | (50) | 1 | (1) |
| Derivatives measured at fair value | 300 | 2,324 | (208) | 208 | 24 | (24) |
| Hedging derivatives | 18 | 796 | 61 | (61) | – | – |
| Interest-bearing credits and loans | (9,381) | 376 | (29) | 29 | (8) | 8 |
| Bonds issued | (1,998) | 595 | (60) | 60 | – | – |
| Trade payables and other financial liabilities | (4,111) | 220 | (7) | 7 | (15) | 15 |
| Derivative instruments | (40) | 1.154 | (73) | 73 | (16) | 16 |
| IMPACT ON FINANCIAL RESULT | (203) | 203 | (14) | 14 | ||
| Hedging instruments | (386) | 11,251 | 1,026 | (1,026) | – | – |
| IMPACT ON HEDGING RESERVE | 1,026 | (1,026) | – | – | ||
The Group identifies its exposure to the risk of changes in the WIBOR and EURIBOR interest rates. The table below shows the sensitivity of financial instruments to reasonably possible changes in interest rates, with all other risk factors remaining unchanged.
|
INTEREST RATE RISK SENSITIVITY ANALYSIS AS AT DECEMBER 31, 2020 |
||||||
|---|---|---|---|---|---|---|
| FINANCIAL ASSETS AND LIABILITIES |
Value in statement in PLN |
Value exposed to risk |
WIBOR impact on profit or loss/equity |
EURIBOR impact on profit or loss/equity |
||
| +50pb | -50pb | +25pb | -25pb | |||
| Derivatives at fair value through profit or loss – assets | 48 | 47 | – | – | – | – |
| Interest-bearing credits and loans | (8,423) | 6,261 | (29) | 29 | (1) | 1 |
| Bonds issued | (2,045) | 1,401 | (7) | 7 | ||
| Derivative instruments | (40) | 35 | – | – | – | – |
| IMPACT ON FINANCIAL RESULT | (41) | 41 | -1 | 1 | ||
| Hedging instruments | 36 | 36 | 178 | (147) | (17) | 17 |
| IMPACT ON HEDGING RESERVE | 178 | (147) | (17) | 17 | ||
|
INTEREST RATE RISK SENSITIVITY ANALYSIS AS AT DECEMBER 31, 2019 |
||||||
|---|---|---|---|---|---|---|
| FINANCIAL ASSETS AND LIABILITIES |
Value in statement in PLN |
Value exposed to risk |
WIBOR impact on profit or loss/equity |
EURIBOR impact on profit or loss/equity |
||
| +50pb | -50pb | +25pb | -25pb | |||
| Derivatives at fair value through profit or loss – assets | 420 | 208 | – | – | – | – |
| Interest-bearing credits and loans | (9,381) | 7,152 | (34) | 34 | (1) | 1 |
| Bonds issued | (1,998) | 1,403 | (7) | 7 | ||
| Derivative instruments | (479) | 471 | – | – | – | – |
| IMPACT ON FINANCIAL RESULT | (41) | 41 | (1) | 1 | ||
| Hedging instruments | (387) | 387 | 183 | (178) | (17) | 17 |
| IMPACT ON HEDGING RESERVE | 183 | (178) | (17) | 17 | ||
The Group identifies exposure to the risk of changes in commodity prices, including raw materials for electricity generation.
The table below presents a sensitivity analysis for 10% changes in the purchase prices of selected commodities:
| AS AT DECEMBER 31, 2020 | AS AT DECEMBER 31, 2019 | |||||
|---|---|---|---|---|---|---|
| COMMODITY | Commodity purchase cost | Impact on profit or loss | Commodity purchase cost | Impact on profit or loss | ||
| 10% | -10% | 10% | -10% | |||
| Coal | 2,993 | 299 | (299) | 3.465 | 347 | (347) |
| CO2 emission allowances for captive use |
6,629 | 663 | (663) | 1,477 | 148 | (148) |
| Natural gas [thousand m3] | 774 | 77 | (77) | 918 | 92 | (92) |
| Biomass | 140 | 14 | (14) | 144 | 14 | (14) |
| Heating oil | 74 | 7 | (7) | 111 | 11 | (11) |
| TOTAL | 10,610 | 1,060 | (1,060) | 6,115 | 612 | (612) |