35. Derivatives
Measurement of derivatives
As stipulated by the International Financial Reporting Standards, derivative instruments disclosed by the Parent in its financial statements are measured at fair value.
As at December 31st 2012, the Group held the following types of currency derivatives: cross currency interest rate swaps (CCIRS), purchased call options, purchased currency forwards and collar option strategies (purchase of call options and sale of put options). In 2012 the Group also hedged against commodity risk using Asian call options and risk reversal strategies (purchase of Asian commodity call options and sale of put options).
Currency call and put options were measured at fair value using the Garman-Kohlhagen model, whereas Asian commodity call and put options were measured at fair value using the Espen-Levy model. Forwards and CCIRS were measured at fair value by discounting future cash flows separately for each currency. The measurement was based on market data such as interest rates, foreign-exchange rates, commodity prices and volatility of commodity prices as at December 31st 2012.
Hedge accounting
As of 2009, the Parent began to apply cash-flow hedge accounting with respect to foreign exchange transactions and as of June 1st 2010 it started to apply cash-flow hedge accounting with respect to commodity transactions. For details, see Note 2.3.13.
Derivative Instruments
in PLN m
| Hedged item | Par value in currency | Currency / asset | Maturity date | Exercise price (exercise price range) | Measurement at fair value | |
|---|---|---|---|---|---|---|
| Dec 31 2012 | Dec 31 2011 | |||||
| Cross Currency Interest Rate Swap | ||||||
| Loan | 5,244 | NOK | 1-3 years | 0.5198 | (317) | - |
| Loan | 481 | NOK | 1-3 years | 0.5684 | 3 | - |
| Eurobonds | 500 | EUR | over 3 years | 4.158 | 82 | - |
| Loan | 4,560 | NOK | 1-3 years | 0.5147 | - | (411) |
| (232) | (411) | |||||
| Forward transactions | ||||||
| Payments for gas | 27 | EUR | up to 1 month | 4.1665 | (2) | - |
| Payments for gas | 34 | EUR | 1-3 months | 4.1739 | (2) | - |
| Payments for gas | 150 | USD | up to 1 month | 3.3414 | (36) | - |
| Payments for gas | 210 | USD | 1-3 months | 3.269 | (31) | - |
| Payments for gas | 60 | USD | 3-6 months | 3.2338 | (5) | - |
| EUR/PLN | 4 | EUR | up to 1 month | 4.2422 | - | - |
| EUR/PLN | 2 | EUR | 1-3 years | 4.4419 | - | - |
| Payments for gas | 65 | EUR | Q1 2012 | 4.4455 | - | (1) |
| Payments for gas | 295 | USD | Q1 2012 | 3.2356 | - | 59 |
| Payments for gas | 20 | USD | Q2 2012 | 3.4076 | - | 1 |
| Financial liabilities of PN Diament Sp. z o.o. | 0.13 | USD | 2011 | 2.7848 | - | - |
| Foreign receivables of PGNiG Technologie Sp. z o.o. | 2.43 | EUR | 2011 | 4.4255 | - | - |
| (76) | 59 | |||||
| Call options | ||||||
| Payments for gas | 90 | USD | up to 1 month | 3.4742 | - | - |
| Payments for gas | 290 | USD | 1-3 months | 3.4839 | 2 | - |
| Payments for gas | 30 | USD | 3-6 months | 3.4583 | 1 | - |
| Payments for gas | 31 | EUR | up to 1 month | 4.2552 | - | - |
| Payments for gas | 117 | EUR | 1-3 months | 4.267 | 2 | - |
| Payments for gas | 51 | EUR | Q1 2012 | 4.3624 | - | 9 |
| Payments for gas | 36 | EUR | Q2 2012 | 4.5681 | - | 3 |
| Payments for gas | 580 | USD | Q1 2012 | 3.3044 | - | 124 |
| Payments for gas | 310 | USD | Q2 2012 | 3.5328 | - | 46 |
| 5 | 182 | |||||
| Put options | ||||||
| Proceeds from sale in foreign currency | 1 | EUR | up to 1 month | strike price: PUT − 4.1100; strike price: CALL − 4.2545 | - | - |
| Proceeds from sale in foreign currency | 1 | EUR | 1-3 months | strike price: PUT − 4.1200; strike price: CALL − 4.2545 | - | - |
| Proceeds from sale in foreign currency | 1 | EUR | 1-3 months | strike price: PUT − 4.1250; strike price: CALL − 4.2545 | - | - |
| Payments for gas | 20 | USD | Q1 2012 | 3.003 | - | - |
| - | - | |||||
| Call commodity options | ||||||
| Payments for gas | 0.176 | HFO | up to 1 month | 793.52 | - | - |
| Payments for gas | 0.503 | HFO | 1-3 months | 791.65 | - | - |
| Payments for gas | 0.416 | HFO | 3-6 months | 732.38 | 2 | - |
| Payments for gas | 0.118 | HFO | 6-12 months | 749.92 | - | - |
| Payments for gas | 0.127 | GO | up to 1 month | 1,108.82 | - | - |
| Payments for gas | 0.373 | GO | 1-3 months | 1,097.37 | - | - |
| Payments for gas | 0.338 | GO | 3-6 months | 1,014.05 | 13 | - |
| Payments for gas | 0.123 | GO | 6-12 months | 1,052.68 | - | - |
| Payments for gas | 0.635 | FO | Q1 2012 | 750.64 | - | 18 |
| Payments for gas | 0.724 | FO | Q2 2012 | 782.24 | - | - |
| Payments for gas | 0.947 | FO | H2 2012 | 819.37 | - | 7 |
| Payments for gas | 0.062 | FO | Q1 2013 | 788.06 | - | 2 |
| Payments for gas | 0.499 | GO | Q1 2012 | 1,072.18 | - | 10 |
| Payments for gas | 0.505 | GO | Q2 2012 | 1,089.44 | - | - |
| Payments for gas | 0.642 | GO | H2 2012 | 1,150.09 | - | 3 |
| Payments for gas | 0.042 | GO | Q1 2013 | 1,121.43 | - | 1 |
| 15 | 41 | |||||
| Put commodity options | ||||||
| Payments for gas | 0.138 | HFO | up to 1 month | 587.04 | - | - |
| Payments for gas | 0.454 | HFO | 1-3 months | 594.79 | - | - |
| Payments for gas | 0.222 | HFO | 3-6 months | 545.11 | - | - |
| Payments for gas | 0.105 | GO | up to 1 month | 841.9 | - | - |
| Payments for gas | 0.373 | GO | 1-3 months | 858.16 | - | - |
| Payments for gas | 0.211 | GO | 3-6 months | 818.72 | - | - |
| Payments for gas | 0.6 | FO | Q1 2012 | 553.46 | - | - |
| Payments for gas | 0.724 | FO | Q2 2012 | 526.47 | - | - |
| Payments for gas | 0.827 | FO | H2 2012 | 503.12 | - | (1) |
| Payments for gas | 0.03 | FO | Q1 2013 | 490 | - | - |
| Payments for gas | 0.499 | GO | Q1 2012 | 822.2 | - | - |
| Payments for gas | 0.505 | GO | Q2 2012 | 803.8 | - | - |
| Payments for gas | 0.586 | GO | H2 2012 | 753.27 | - | (2) |
| Payments for gas | 0.02 | GO | Q1 2013 | 772 | - | - |
| - | (3) | |||||
| Total | (288) | (132) | ||||
| including: | positive valuation* | assets | 105 | 285 | ||
| Negative valuation | liabilities | (393) | (417) | |||
* Includes reversal of positive valuation, but due to the excess of option premiums and their valuation, they were jointly posted under assets.
HFO – Heavy Fuel Oil
GO – Gasoil
Positive valuation of derivatives as at the end of the period is presented in the statement of financial position as a separate item of current assets. Negative valuation of derivatives is presented in the statement of financial position as a separate item of current liabilities. The effects of measurement of open items are recognised in profit/loss for the period or directly in equity in the event of occurrence of an effective portion constituting an effective hedge of fair value changes of financial derivatives designated to hedge cash flows. In such a case, at the time of exercise of the derivative instrument and of the hedged item, the Group’s equity is decreased/increased, and the effective portion is charged to profit or loss in the place of origination of the hedged item’s costs. The non-effective portion and the fair value of transactions not designated as hedges is recognised under other items of the profit or loss of the period.
in PLN m
| Period from Jan 1 – Dec 31 2012 | Period from Jan 1 – Dec 31 2011 | |
|---|---|---|
| Net gain/loss on valuation of derivative instruments – unrealised | 109 | (339) |
| Net gain/loss on derivative instruments – realised | (217) | 488 |
| Total net gain/loss on derivative instruments recognised in profit or loss | (108) | 149 |
| of which: | - | |
| recognised in raw material and consumables used | 37 | 470 |
| recognised in net other expenses | (116) | (321) |
| recognised in finance income or costs | (29) | - |
| Net gain/loss on valuation of derivative instruments recognised in other comprehensive income – unrealised | (250) | 135 |
| Total net gain/loss on derivative instruments recognised in equity | (358) | 284 |
Previous note