PGE Group is mainly exposed to the EURPLN exchange rate risk and to the risk of changes in reference interest rates of PLN, EUR. It also has positions in US dollars, which are smaller in scale and therefore the risk associated with them for the Group is low. For the purpose of sensitivity analysis of changes in market risk factors, PGE Group uses the scenario analysis method, i.e. expert scenarios reflecting subjective assessment with respect to future development of market risk factors.
The scenario analysis presented in this point is intended to analyse the influence of changes in market risk factors on consolidated financial results. With regard to interest rate risk and currency risk, only those positions that meet the definition of financial instruments are covered.
In sensitivity analysis related to interest rate risk, PGE Group applies parallel shift of interest rate curve related to a potential possible change of referential interest rates during the following year.
In case of sensitivity analysis of interest rates’ fluctuations, the effect of risk factors’ changes could be recorded in the consolidated statement of comprehensive income as income or expenses or as revaluation of financial instruments measured at fair value.
The sensitivity analysis related to all types of market risks PGE Group is exposed to as at the reporting date, indicating the potential influence of changes of individual risk factors by class of financial assets and liabilities on profit before tax is presented below.
The value of exposure to currency risk for derivatives (forward instruments) is their nominal value together with interest accrued to the reporting date, translated into PLN at the closing rate as at December 31, 2021 and December 31, 2020 respectively, without taking into account the discount. The book value of these derivatives is the fair value measurement.
Sensitivity analysis for currency risk
The table below shows the sensitivity of financial instruments to reasonably possible changes in exchange rates, with all other risk factors held constant.
| CLASS OF FINANCIAL INSTRUMENTS | Value in the financial statements in PLN | SENSITIVITY ANALYSIS FOR CURRENCY RISK AS AT DECEMBER 31, 2021 | ||||||
| Value exposed to risk | EUR/PLN | DKK/PLN | USD/PLN | |||||
| impact on financial result / equity | impact on financial result / equity | impact on financial result / equity | ||||||
| +10% | -10% | +10% | -10% | +10% | -10% | |||
| Trade and other financial receivables | 7,931 | 1,718 | 172 | (172) | – | – | – | – |
| Cash and cash equivalents | 6,733 | 964 | 86 | (86) | 11 | (11) | – | – |
| Derivatives measured at fair value | 108 | 150 | – | – | – | – | 15 | (15) |
| Hedging derivatives | 801 | 819 | 66 | (66) | – | – | – | – |
| Interest bearing loans and borrowings | (7,856) | (264) | (13) | 13 | – | – | (14) | 14 |
| Bonds issued | (2,046) | (642) | (64) | 64 | – | – | – | – |
| Lease liabilities | (924) | (8) | (1) | 1 | – | – | – | – |
| Trade and other financial payables | (5,118) | (1,961) | (192) | 192 | (1) | 1 | (3) | 3 |
| Derivatives measured at fair value | (49) | (365) | – | – | – | – | 7 | (7) |
| Impact on financial result | 54 | (54) | 10 | (10) | 5 | (5) | ||
| Hedging instruments | 767 | 15,569 | 2,192 | (2.192) | – | – | 3 | (3) |
| Impact on revaluation reserve | 2,192 | (2.192) | – | – | 3 | (3) | ||
| CLASS OF FINANCIAL INSTRUMENTS | Value in the financial statements in PLN | SENSITIVITY ANALYSIS FOR CURRENCY RISK AS AT DECEMBER 31, 2020 | ||||||
| Value exposed to risk | EUR/PLN | USD/PLN | ||||||
| impact on financial result / equity | impact on financial result / equity | |||||||
| +10% | -10% | +10% | -10% | |||||
| Trade and other financial receivables | 5,003 | 724 | 72 | (72) | – | – | ||
| 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 loans and borrowings | (8,423) | 368 | (22) | 22 | (15) | 15 | ||
| Bonds issued | (2,045) | 644 | (64) | 64 | – | – | ||
| Trade and other financial payables | (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 | ||
| Trade and other financial receivables | 1,228 | (1,228) | (11) | 11 | ||||
Sensitivity analysis for interest rate risk
The Group identifies exposure to interest rate risk related to WIBOR, EURIBOR. The table below presents the sensitivity of financial instruments to reasonably possible changes in interest rates, under assumption of stability of other risk factors.
| FINANCIAL ASSETS AND LIABILITIES | Value in the financial statements in PLN | SENSITIVITY ANALYSIS FOR INTEREST RATE RISK AS AT DECEMBER 31, 2021 | ||||
| Value exposed to risk | WIBOR | EURIBOR | ||||
| impact on financial result / equity | impact on financial result / equity | |||||
| +50pb | -50pb | +25pb | -25pb | |||
| Derivatives measured at fair value through profit or loss – assets | 108 | 61 | – | – | – | – |
| Interest bearing loans and borrowings | (7,856) | (5,443) | (26) | 26 | – | – |
| Bonds issued | (2,045) | (1,404) | (7) | 7 | ||
| Derivatives | (49) | (48) | – | – | – | – |
| Impact on financial result | (33) | 33 | – | – | ||
| Hedging instruments | 767 | 313 | 87 | (95) | (14) | 15 |
| IMPACT ON REVALUATION RESERVE | 87 | (95) | (14) | 15 | ||
| FINANCIAL ASSETS AND LIABILITIES | Value in the financial statements in PLN | SENSITIVITY ANALYSIS FOR INTEREST RATE RISK AS AT DECEMBER 31, 2020 | ||||
| Value exposed to risk | WIBOR | EURIBOR | ||||
| impact on financial result / equity | impact on financial result / equity | |||||
| +50pb | -50pb | +25pb | -25pb | |||
| Derivatives measured at fair value through profit or loss – assets | 48 | 47 | – | – | – | – |
| Interest bearing loans and borrowings | (8,423) | 6,261 | (29) | 29 | (1) | 1 |
| Bonds issued | (2,045) | 1,401 | (7) | 7 | ||
| Derivatives | (40) | 35 | – | – | – | – |
| Impact on financial result | (36) | 36 | (1) | 1 | ||
| Hedging instruments | 36 | 36 | 178 | (147) | (17) | 17 |
| IMPACT ON REVALUATION RESERVE | 178 | (147) | (17) | 17 | ||
Sensitivity analysis for commodity price risk
The Group identifies exposure to the risk of changes in commodity prices, including raw materials for electricity generation.
The table below presents the sensitivity analysis to changes of the purchase cost of selected commodities by 10%:
| COMMODITY | AS AT DECEMBER 31, 2021 | AS AT DECEMBER 31, 2020 | ||||
| Cost to purchase commodities | Impact on financial result | Cost to purchase commodities | Impact on financial result | |||
| +10% | -10% | +10% | -10% | |||
| Hard coal | 2,932 | 293 | (293) | 2,993 | 299 | (299) |
| CO2 emission allowances for captive use | 14,024 | 1,402 | (1,402) | 6,629 | 663 | (663) |
| Natural gas [000s m3] | 980 | 98 | (98) | 774 | 77 | (77) |
| Biomass | 150 | 15 | (15) | 140 | 14 | (14) |
| Fuel oil | 160 | 16 | (16) | 74 | 7 | (7) |
| TOTAL | 18,246 | 1,824 | (1,824) | 10,610 | 1,060 | (1,060) |