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- 41. Objectives and principles of financial risk management
- LOTOS Annual Report 2011 /
- Home /
- Financial data /
- Consolidated financial statements 2011 /
- Notes to the financial statements /
- 41. Objectives and principles of financial risk management
41. Objectives and principles of financial risk management
The Group is exposed to financial risks, including:
- market risk (risk related to prices of raw materials and petroleum products, risk related to prices of CO2 allowances, currency risk, interest rate risk),
- liquidity risk,
- credit risk related to financial and trade transactions.
The former Financial Risk Management Committee at the Parent was replaced by the Price Risk and Trading Committee, which is responsible for:
- oversight and coordination of the price risk management process,
- monitoring and coordination of trading activities requiring cross-segment interaction.
The powers of the Financial Risk Management Committee in the area of currency risk, interest rate risk and credit risk management have been vested directly in the Chief Financial Officer. In addition, a team for liquidity optimisation and coordination of financing has been set up to coordinate and supervise key efforts in the area of liquidity risk management, arrangement of financing, and debt management at the LOTOS Group.
To ensure efficiency and operational security of risk management, Grupa LOTOS distinguished the following areas: financial transaction (front-office), risk analysis and control (middle-office) and documentation and settlement (back-office).
Financial risk management seeks to achieve the following key objectives:
- increase the probability that budget and strategic objectives will be met,
- limit volatility of cash flows,
- ensure short-term financial liquidity,
- maximise the result on market risk management, given an assumed level of risk.
In order to achieve these objectives, documents have been prepared at Grupa LOTOS S.A. and approved at appropriate decision-making levels of the Parent. These documents specify the necessary framework for effective and secure functioning of the financial risk management process, including principally:
- methodology for quantifying exposures to particular risks,
- acceptable financial instruments,
- method of assessing financial risk management,
- limits within risk management,
- reporting method,
- credit limits.
The Parent monitors all managed market risks on an ongoing basis. Opening positions 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 measure by applying common valuation models. The valuation of the underlying position and derivatives is performed based on market data provided by reliable sources.
As of January 1st 2011, the Parent introduced hedge accounting with respect to cash flow hedges (i.e. foreign-currency facilities used to finance the 10+ Programme, designated as hedges of future USD-denominated petroleum product sales transactions).
Risk related to prices of raw materials and petroleum products
The Parent considers risk related to prices of raw materials and petroleum products, as well as currency risk, to be particularly important.
The Parent continues research into and work on a new policy for managing the risk, which ties in closely with our plans to upscale trading operations. Concurrently, to enable implementation of specific price risk management processes, streamline management functions and improve security of operations in the broad price risk and trading area, the Company has launched the process of selecting a new Energy Trading and Risk Management system.
As at December 31st 2011 and December 31st 2011, there were no open refining margin transactions.
In 2010, the Company entered into commodity swaps in connection with sales of bitumen components at fixed prices, to ensure that the original risk profile remains unchanged. The swaps were settled in 2011, and as at December 31st 2011, there were no open commodity transactions.
Open commodity swaps as at December 31st 2010:
| Company | Type of transaction | Transaction execution date | Beginning of the valuation period | End of the valuation period | Number of tonnes |
Price (USD/tonne) |
Fair value as at Dec 31 2010 (PLN '000) 1 |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Apr 1 2011 | Apr 30 2011 | 2,692 | 476 | 64 |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | May 1 2011 | May 31 2011 | 5,000 | 476 | 142 |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Jun 1 2011 | Jun 30 2011 | 3,974 | 476 | 133 |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Jul 1 2011 | Jul 31 2011 | 3,846 | 476 | 144 |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Aug 1 2011 | Aug 31 2011 | 5,000 | 476 | 207 |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Sep 1 2011 | Sep 30 2011 | 2,692 | 476 | 121 |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Oct 1 2011 | Oct 31 2011 | 1,026 | 476 | 50 |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Apr 1 2011 | Apr 30 2011 | (592) | 716 | (109) |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | May 1 2011 | May 31 2011 | (1,100) | 716 | (210) |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Jun 1 2011 | Jun 30 2011 | (874) | 716 | (175) |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Jul 1 2011 | Jul 31 2011 | (846) | 716 | (176) |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Aug 1 2011 | Aug 31 2011 | (1,100) | 716 | (240) |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Sep 1 2011 | Sep 30 2011 | (592) | 716 | (133) |
| Grupa LOTOS S.A. | Commodity swap | Mar 11 2010 | Oct 1 2011 | Oct 31 2011 | (226) | 716 | (52) |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Jun 1 2011 | Jun 30 2011 | 1,282 | 473 | 55 |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Jul 1 2011 | Jul 31 2011 | 1,282 | 473 | 60 |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Aug 1 2011 | Aug 31 2011 | 1,282 | 473 | 65 |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Sep 1 2011 | Sep 30 2011 | 1,282 | 473 | 70 |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Oct 1 2011 | Oct 31 2011 | 1,923 | 473 | 113 |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Nov 1 2011 | Nov 30 2011 | 2,564 | 473 | 160 |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Jun 1 2011 | Jun 30 2011 | (282) | 715 | (57) |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Jul 1 2011 | Jul 31 2011 | (282) | 715 | (60) |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Aug 1 2011 | Aug 31 2011 | (282) | 715 | (62) |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Sep 1 2011 | Sep 30 2011 | (282) | 715 | (64) |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Oct 1 2011 | Oct 31 2011 | (423) | 715 | (98) |
| Grupa LOTOS S.A. | Commodity swap | Mar 17 2010 | Nov 1 2011 | Nov 30 2011 | (564) | 715 | (132) |
| Grupa LOTOS S.A. | Commodity swap | Apr 30 2010 | Sep 1 2011 | Sep 30 2011 | 6,410 | 518 | (500) |
| Grupa LOTOS S.A. | Commodity swap | Apr 30 2010 | Oct 1 2011 | Oct 31 2011 | 6,410 | 518 | (474) |
| Grupa LOTOS S.A. | Commodity swap | Apr 30 2010 | Nov 1 2011 | Nov 30 2011 | 6,410 | 518 | (449) |
| Grupa LOTOS S.A. | Commodity swap | Apr 30 2010 | Sep 1 2011 | Sep 30 2011 | (1,410) | 796 | 19 |
| Grupa LOTOS S.A. | Commodity swap | Apr 30 2010 | Oct 1 2011 | Oct 31 2011 | (1,410) | 796 | 14 |
| Grupa LOTOS S.A. | Commodity swap | Apr 30 2010 | Nov 1 2011 | Nov 30 2011 | (1,410) | 796 | 9 |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Mar 1 2011 | Mar 31 2011 | 1,667 | 495 | (62) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Apr 1 2011 | Apr 30 2011 | 2,821 | 495 | (91) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | May 1 2011 | May 31 2011 | 3,205 | 495 | (88) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Jun 1 2011 | Jun 30 2011 | 3,205 | 495 | (71) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Jul 1 2011 | Jul 31 2011 | 3,205 | 495 | (58) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Aug 1 2011 | Aug 31 2011 | 3,846 | 495 | (54) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Sep 1 2011 | Sep 30 2011 | 3,846 | 495 | (40) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Oct 1 2011 | Oct 31 2011 | 3,846 | 495 | (25) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Mar 1 2011 | Mar 31 2011 | (367) | 787 | 11 |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Apr 1 2011 | Apr 30 2011 | (621) | 787 | 16 |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | May 1 2011 | May 31 2011 | (705) | 787 | 13 |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Jun 1 2011 | Jun 30 2011 | (705) | 787 | 6 |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Jul 1 2011 | Jul 31 2011 | (705) | 787 | 0 |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Aug 1 2011 | Aug 31 2011 | (846) | 787 | (8) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Sep 1 2011 | Sep 30 2011 | (846) | 787 | (13) |
| Grupa LOTOS S.A. | Commodity swap | Dec 13 2010 | Oct 1 2011 | Oct 31 2011 | (846) | 787 | (16) |
| 61,400 |
TOTAL, including |
(2,045) | |||||
| positive | 1,472 | ||||||
| negative | (3,517) |
1 Fair value of commodity swaps is established by reference to future cash flows from 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).
Risk related to prices of carbon (CO2) allowances
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, the Company maintains an appropriate position in carbon allowances by entering into financial transactions.
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 CO2 allowances position as at December 31st 2011:
| Period |
EUA (tonnes) |
CER (tonnes) |
TOTAL (tonnes) |
|---|---|---|---|
| Phase II (2008-2012) | (133,535) | 17,873 | (115,662) |
Underlying CO2 allowances position as at December 31st 2010:
| Period |
EUA (tonnes) |
CER (tonnes) |
TOTAL (tonnes) |
|---|---|---|---|
| Phase II (2008-2012) | (55,924) | 49,863 | (6,061) |
In 2011, 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 2011:
| Company | Type of transaction | Transaction execution date | Transaction settlement date | No. of CO2 allowances | Price (EUR/tonne) |
Fair value as at Dec 31 2011 (PLN '000) 2 |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 5,000 | 11 | (148) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 1,000 | 11 | (30) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 10,000 | 11 | (299) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 34,000 | 11 | (1,017) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 1,000 | 11 | (30) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 4,000 | 11 | (120) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 25,000 | 11 | (749) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 25,000 | 11 | (749) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 10,000 | 11 | (300) |
| Grupa LOTOS S.A. | CER Futures | Jan 25 2011 | Dec 20 2012 | 30,000 | 11 | (900) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (30) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 10,000 | 11 | (303) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 25,000 | 11 | (756) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 50,000 | 11 | (1,513) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (30) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 14,000 | 11 | (424) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 35,000 | 11 | (1,060) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 50,000 | 11 | (1,515) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 21,000 | 11 | (637) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 39,000 | 11 | (1,183) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 5,000 | 11 | (152) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (30) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 5,000 | 11 | (152) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 10,000 | 11 | (304) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 25,000 | 11 | (761) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (30) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (30) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (30) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 3,000 | 11 | (91) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 5,000 | 11 | (152) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 5,000 | 11 | (152) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 6,000 | 11 | (183) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 10,000 | 11 | (305) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 1,000 | 11 | (31) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 2,000 | 11 | (61) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 3,000 | 11 | (92) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 8,000 | 11 | (244) |
| Grupa LOTOS S.A. | CER Futures | Jan 26 2011 | Dec 20 2012 | 24,000 | 11 | (732) |
| Grupa LOTOS S.A. | EUA Futures | Aug 2 2011 | Dec 20 2012 | (14,000) | 12 | 305 |
| Grupa LOTOS S.A. | EUA Futures | Aug 2 2011 | Dec 20 2012 | (25,000) | 12 | 555 |
| Grupa LOTOS S.A. | EUA Futures | Aug 2 2011 | Dec 20 2012 | (51,000) | 12 | 1,142 |
| Grupa LOTOS S.A. | EUA Futures | Aug 2 2011 | Dec 20 2012 | (50,000) | 12 | 1,122 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (50,000) | 12 | 1,016 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (6,000) | 12 | 122 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (44,000) | 12 | 898 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (5,000) | 12 | 102 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (14,000) | 12 | 288 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (50,000) | 12 | 1,027 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (9,000) | 12 | 192 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (11,000) | 12 | 234 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (11,000) | 12 | 234 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (11,000) | 12 | 235 |
| Grupa LOTOS S.A. | EUA Futures | Aug 4 2011 | Dec 20 2012 | (39,000) | 12 | 832 |
| Grupa LOTOS S.A. | EUA Futures | Dec 14 2011 | Dec 20 2012 | (15,000) | 7 | (34) |
| 110,000 |
TOTAL, including: |
(7,303) | ||||
| positive | 8,304 | |||||
| negative | (15,607) |
Open CO2 allowances transactions as at December 31st 2010:
| Company | Type of transaction | Transaction execution date | Transaction settlement date | No. of CO2 allowances | Price (EUR/tonne) |
Fair value as at Dec 31 2010 (PLN '000) 2 |
| Grupa LOTOS S.A. | CER Futures | Nov 2 2009 | Dec 20 2012 | 1,000 | 14 | (10) |
| Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 20 2012 | 5,000 | 13 | (40) |
| Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 20 2012 | 25,000 | 13 | (201) |
| Grupa LOTOS S.A. | CER Futures | Dec 10 2009 | Dec 20 2012 | 20,000 | 13 | (162) |
| Grupa LOTOS S.A. | EUA Futures | Dec 16 2009 | Dec 22 2011 | (1,000) | 15 | 3 |
| Grupa LOTOS S.A. | EUA Futures | Dec 16 2009 | Dec 22 2011 | (1,000) | 15 | 3 |
| Grupa LOTOS S.A. | EUA Futures | Dec 16 2009 | Dec 22 2011 | (1,000) | 15 | 3 |
| Grupa LOTOS S.A. | EUA Futures | Dec 16 2009 | Dec 22 2011 | (8,000) | 15 | 26 |
| Grupa LOTOS S.A. | CER Futures | May 28 2010 | Dec 20 2012 | 5,000 | 12 | (19) |
| Grupa LOTOS S.A. | EUA Futures | Dec 3 2010 | Dec 20 2012 | (11,000) | 15 | 34 |
| Grupa LOTOS S.A. | EUA Futures | Dec 3 2010 | Dec 20 2012 | (24,000) | 15 | 73 |
| Grupa LOTOS S.A. | EUA Futures | Dec 3 2010 | Dec 20 2012 | (30,000) | 15 | 91 |
| Grupa LOTOS S.A. | EUA Futures | Dec 3 2010 | Dec 20 2012 | (1,000) | 15 | 3 |
| Grupa LOTOS S.A. | EUA Futures | Dec 3 2010 | Dec 20 2012 | (5,000) | 15 | 17 |
| Grupa LOTOS S.A. | EUA Futures | Dec 7 2010 | Dec 20 2012 | (14,000) | 16 | 50 |
| Grupa LOTOS S.A. | EUA Futures | Dec 7 2010 | Dec 20 2012 | (1,000) | 16 | 4 |
| Grupa LOTOS S.A. | EUA Futures | Dec 7 2010 | Dec 20 2012 | (35,000) | 16 | 133 |
| Grupa LOTOS S.A. | CER Futures | Dec 7 2010 | Dec 20 2012 | 14,000 | 11 | (1) |
| Grupa LOTOS S.A. | CER Futures | Dec 7 2010 | Dec 20 2012 | 1,000 | 11 | (0) |
| Grupa LOTOS S.A. | CER Futures | Dec 7 2010 | Dec 20 2012 | 35,000 | 11 | (15) |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (10,000) | 15 | 34 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (10,000) | 15 | 34 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (10,000) | 15 | 34 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 4 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 4 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 4 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 4 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 4 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 4 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 4 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 3 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 3 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (1,000) | 16 | 3 |
| Grupa LOTOS S.A. | EUA Futures | Dec 8 2010 | Dec 20 2012 | (10,000) | 16 | 34 |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 10,000 | 11 | (3) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 10,000 | 11 | (3) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 10,000 | 11 | (3) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (1) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (1) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (1) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (0) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (0) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (0) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (0) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (0) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (0) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 1,000 | 11 | (0) |
| Grupa LOTOS S.A. | CER Futures | Dec 8 2010 | Dec 20 2012 | 10,000 | 11 | (3) |
| Grupa LOTOS S.A. | CER Futures | Dec 15 2010 | Dec 20 2012 | 1,000 | 11 | 0 |
| Grupa LOTOS S.A. | CER Futures | Dec 15 2010 | Dec 20 2012 | 5,000 | 11 | 0 |
| Grupa LOTOS S.A. | CER Futures | Dec 15 2010 | Dec 20 2012 | 10,000 | 11 | 1 |
| Grupa LOTOS S.A. | CER Futures | Dec 15 2010 | Dec 20 2012 | 1,000 | 11 | 0 |
| Grupa LOTOS S.A. | CER Futures | Dec 15 2010 | Dec 20 2012 | 4,000 | 11 | 0 |
| Grupa LOTOS S.A. | CER Futures | Dec 15 2010 | Dec 20 2012 | 20,000 | 11 | 1 |
| Grupa LOTOS S.A. | CER Futures | Dec 15 2010 | Dec 20 2012 | 1,000 | 11 | - |
| 16,000 |
TOTAL, including: |
152 | ||||
| positive | 615 | |||||
| negative | (463) |
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 Intercontinental Exchange (ICE) for the valuation date, and the transaction price (Level 1 in the fair value hierarchy).
Total CO2 allowances position as at December 31st 2011:
| EUA position (tonnes) | CER position (tonnes) | |||||
| Period | Underlying | Transaction | Total | Underlying | Transaction | Total |
| Phase II (2008-2012) | (133,535) | (405,000) | (538,535) | 17,873 | 515,000 | 532,837 |
Total CO2 allowances position as at December 31st 2010:
| EUA position (tonnes) | CER position (tonnes) | |||||
| Period | Underlying | Transaction | Total | Underlying | Transaction | Total |
| Phase II (2008-2012) | (55,924) | (182,000) | (237,924) | 49,863 | 198,000 | 247,863 |
Currency risk
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 the planning activities at the Company. The four quarter period is treated as the basis for determining the exposure management horizon. The base map of currency positions takes into account principally the volumes and price formulae for purchases of raw materials and sales of products, investments, borrowings 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:
- position limit (open currency transactions must not increase the Company’s underlying position and must not exceed the volume of the underlying position);
- maximum loss and liquidity limits are expressed as a percentage of the Company’s equity (the liquidity limit is calculated in order to reduce the risk of excessive accumulation of financial transactions over a limited period of time, the settlement of which could result in liquidity and operating problems);
- gross total and global currency position limits applicable for the entire management period as well as for sub-periods.
For the purpose of the limits calculation, equity is remeasured on a quarterly basis. Moreover, when a loss on risk management exceeds a pre-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.
USD is used in market price quotations for crude oil and petroleum products. For this reason it has been decided that USD is the most appropriate currency for contracting and repaying long-term facilities to finance the 10+ Programme, as such an approach contributes to reducing the structurally long position, and consequently to reducing the strategic currency risk.
Pursuant to the agreement on financing of the 10+ Programme, Grupa LOTOS S.A. as of June 30th 2011 is no longer obliged to maintain a specified level of hedge ratio for the currency risk (EUR/USD and USD/PLN), which arose in connection with the fact that the currency in which the investment projects were financed was different from the currencies in which project execution contracts were denominated.
Underlying currency position as at December 31st 2011:
| Period | USD | EUR |
|---|---|---|
| 2012 | 468,678,817 | (254,123,754) |
Underlying currency position as at December 31st 2010:
| Period | USD | EUR |
|---|---|---|
| 2011 | 322,577,414 | (266,115,943) |
Grupa LOTOS S.A. actively manages its currency position and changes it depending on the expected market developments. .
Open currency transactions as at December 31st 2011:
| 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 2011 (PLN '000)3 |
| Grupa LOTOS S.A. | Currency forward | May 24 2011 | Feb 15 2012 | EUR/USD | 15,000,000 | 1.4 | (20,953,500) | (5,330) |
| Grupa LOTOS S.A. | Currency forward | May 24 2011 | Mar 15 2012 | EUR/USD | 10,000,000 | 1.4 | (13,950,500) | (3,473) |
| Grupa LOTOS S.A. | Currency forward | May 24 2011 | Jan 1 2012 | EUR/USD | 5,000,000 | 1.4 | (7,008,000) | (1,863) |
| Grupa LOTOS S.A. | Currency forward | May 24 2011 | Jan 1 2012 | EUR/USD | 10,000,000 | 1.4 | (14,000,000) | (3,671) |
| Grupa LOTOS S.A. | Currency forward | Aug 10 2011 | Mar 15 2012 | USD/PLN | (10,000,000) | 2.9 | 28,982,000 | (5,381) |
| Grupa LOTOS S.A. | Currency forward | Aug 10 2011 | Mar 14 2012 | USD/PLN | (10,000,000) | 2.9 | 28,994,000 | (5,366) |
| Grupa LOTOS S.A. | Currency forward | Aug 10 2011 | Feb 14 2012 | USD/PLN | (6,000,000) | 2.9 | 17,337,000 | (3,236) |
| Grupa LOTOS S.A. | Currency forward | Aug 23 2011 | May 5 2012 | EUR/USD | 20,000,000 | 1.4 | (28,878,600) | (10,190) |
| Grupa LOTOS S.A. | Currency forward | Aug 23 2011 | Mar 19 2012 | EUR/USD | 11,000,000 | 1.4 | (15,878,500) | (5,636) |
| Grupa LOTOS S.A. | Currency forward | Aug 23 2011 | Apr 23 2012 | EUR/USD | 10,000,000 | 1.4 | (14,412,000) | (5,019) |
| Grupa LOTOS S.A. | Currency forward | Aug 23 2011 | Apr 23 2012 | EUR/PLN | 12,000,000 | 4.2 | (50,559,600) | 3,010 |
| Grupa LOTOS S.A. | Currency forward | Sep 22 2011 | Mar 15 2012 | USD/PLN | (10,000,000) | 3.3 | 33,350,000 | (1,049) |
| Grupa LOTOS S.A. | Currency forward | Dec 13 2011 | Mar 15 2012 | USD/PLN | (20,000,000) | 3.5 | 69,332,000 | 513 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Oct 10 2012 | USD/PLN | (15,000,000) | 3.6 | 53,680,005 | 1,279 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Aug 17 2012 | USD/PLN | (15,000,000) | 3.6 | 53,538,000 | 1,291 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Oct 12 2012 | USD/PLN | (20,000,000) | 3.6 | 71,612,000 | 1,735 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Apr 16 2012 | USD/PLN | (20,000,000) | 3.5 | 70,734,000 | 1,705 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Oct 15 2012 | USD/PLN | (20,000,000) | 3.6 | 71,524,000 | 1,640 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | May 5 2012 | USD/PLN | (20,000,000) | 3.5 | 70,810,000 | 1,615 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Oct 15 2012 | USD/PLN | (15,000,000) | 3.6 | 53,693,505 | 1,279 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Aug 16 2012 | USD/PLN | (15,000,000) | 3.6 | 53,535,000 | 1,291 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | May 16 2012 | USD/PLN | (10,000,000) | 3.5 | 35,418,000 | 817 |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Sep 10 2012 | EUR/USD | 20,000,000 | 1.3 | (26,142,800) | (673) |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Nov 13 2012 | EUR/USD | 20,000,000 | 1.3 | (26,185,000) | (687) |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Jun 6 2012 | EUR/USD | 20,000,000 | 1.3 | (26,115,000) | (743) |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Aug 6 2012 | EUR/USD | 20,000,000 | 1.3 | (26,133,000) | (705) |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Oct 4 2012 | EUR/USD | 20,000,000 | 1.3 | (26,118,800) | (542) |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Jul 2 2012 | EUR/PLN | 20,000,000 | 4.6 | (92,924,000) | (2,936) |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Jan 3 2012 | USD/PLN | 103,000,000 | 3.5 | (362,127,400) | (10,132) |
| Grupa LOTOS S.A. | Currency forward | Dec 14 2011 | Dec 12 2012 | EUR/USD | 10,000,000 | 1.3 | (13,073,500) | (248) |
| Grupa LOTOS S.A. | Currency forward | Dec 15 2011 | Jan 5 2012 | EUR/PLN | 8,000,000 | 4.6 | (36,478,800) | (1,138) |
| Grupa LOTOS S.A. | Currency forward | Dec 15 2011 | Feb 1 2012 | EUR/USD | 5,000,000 | 1.3 | (6,515,125) | (177) |
| Grupa LOTOS S.A. | Currency forward | Dec 15 2011 | Feb 1 2012 | EUR/USD | 5,000,000 | 1.3 | (6,513,500) | (172) |
| Grupa LOTOS S.A. | Currency forward | Dec 16 2011 | Apr 16 2012 | USD/PLN | (6,000,000) | 3.5 | 20,809,200 | 105 |
| Grupa LOTOS S.A. | Currency forward | Dec 28 2011 | Jan 27 2012 | EUR/USD | 10,100,000 | 1.3 | (13,205,649) | (514) |
| Grupa LOTOS S.A. | Currency forward | Dec 29 2011 | Jan 5 2012 | EUR/USD | (2,000,000) | 1.3 | 2,582,800 | (7) |
| Grupa LOTOS S.A. | Currency spot | Dec 29 2011 | Jan 3 2012 | USD/PLN | (10,500,000) | 3.4 | 35,770,350 | (112) |
| Grupa LOTOS S.A. | Currency forward | Dec 29 2011 | Jan 5 2012 | EUR/PLN | (3,650,000) | 4.4 | 16,211,840 | 88 |
| Grupa LOTOS S.A. | Currency spot | Dec 30 2011 | Jan 3 2012 | USD/PLN | (19,600,000) | 3.4 | 66,924,200 | (57) |
| Grupa LOTOS S.A. | Currency spot | Dec 30 2011 | Jan 3 2012 | USD/PLN | (25,000,000) | 3.4 | 86,150,000 | 715 |
| Grupa LOTOS S.A. | Currency spot | Dec 30 2011 | Jan 3 2012 | USD/PLN | (11,000,000) | 3.4 | 37,766,850 | 175 |
|
TOTAL, including: |
(51,799) | |||||||
| positive | 17,258 | |||||||
| negative | (69,057) |
Open currency transactions as at December 31st 2010:
| 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 2010 (PLN '000)3 |
| Grupa LOTOS S.A. | Currency forward | May 6 2010 | Feb 10 2011 | EUR/USD | 5,000,000 | 1.3 | (6,396,500) | 840 |
| Grupa LOTOS S.A. | Currency forward | May 6 2010 | Feb 14 2011 | EUR/USD | 10,000,000 | 1.3 | (12,795,500) | 1,671 |
| Grupa LOTOS S.A. | Currency forward | May 6 2010 | Mar 10 2011 | EUR/USD | 5,000,000 | 1.3 | (6,398,500) | 831 |
| Grupa LOTOS S.A. | Currency forward | May 6 2010 | Mar 15 2011 | EUR/USD | 10,000,000 | 1.3 | (12,800,000) | 1,652 |
| Grupa LOTOS S.A. | Currency forward | May 6 2010 | Mar 16 2011 | USD/PLN | (5,000,000) | 3.3 | 16,282,500 | 1,384 |
| Grupa LOTOS S.A. | Currency forward | May 6 2010 | Mar 17 2011 | USD/PLN | (15,000,000) | 3.3 | 48,759,000 | 4,060 |
| Grupa LOTOS S.A. | Currency forward | May 7 2010 | Jan 12 2011 | USD/PLN | 10,000,000 | 3.3 | (33,293,000) | (3,635) |
| Grupa LOTOS S.A. | Currency forward | May 7 2010 | Jan 13 2011 | USD/PLN | 6,000,000 | 3.3 | (20,019,600) | (2,223) |
| Grupa LOTOS S.A. | Currency forward | May 10 2010 | Jan 14 2011 | USD/PLN | 20,000,000 | 3.1 | (61,930,000) | (2,610) |
| Grupa LOTOS S.A. | Currency forward | May 14 2010 | Jan 14 2011 | EUR/PLN | 2,500,000 | 4.0 | (10,118,250) | (211) |
| Grupa LOTOS S.A. | Currency forward | Aug 10 2010 | May 16 2011 | EUR/PLN | 4,500,000 | 4.0 | (18,204,750) | (230) |
| Grupa LOTOS S.A. | Currency forward | Aug 10 2010 | May 17 2011 | EUR/USD | 2,500,000 | 1.3 | (3,284,500) | 160 |
| Grupa LOTOS S.A. | Currency forward | Aug 10 2010 | Jun 15 2011 | EUR/PLN | 10,000,000 | 4.1 | (40,510,000) | (482) |
| Grupa LOTOS S.A. | Currency forward | Sep 28 2010 | Jan 10 2011 | EUR/PLN | 9,000,000 | 4.0 | (36,013,500) | (357) |
| Grupa LOTOS S.A. | Currency forward | Oct 1 2010 | Apr 1 2011 | EUR/USD | 9,000,000 | 1.4 | (12,330,000) | (914) |
| Grupa LOTOS S.A. | Currency forward | Nov 9 2010 | Jan 13 2011 | EUR/USD | 15,000,000 | 1.4 | (20,830,650) | (2,338) |
| Grupa LOTOS S.A. | Currency forward | Nov 9 2010 | Mar 15 2011 | EUR/USD | 10,000,000 | 1.4 | (13,866,000) | (1,504) |
| Grupa LOTOS S.A. | Currency forward | Nov 9 2010 | Apr 15 2011 | EUR/USD | 15,000,000 | 1.4 | (20,808,480) | (2,291) |
| Grupa LOTOS S.A. | Currency forward | Nov 9 2010 | May 6 2011 | EUR/USD | 10,000,000 | 1.4 | (13,855,000) | (1,480) |
| Grupa LOTOS S.A. | Currency forward | Nov 9 2010 | Jul 11 2011 | EUR/USD | 15,000,000 | 1.4 | (20,777,250) | (2,221) |
| Grupa LOTOS S.A. | Currency forward | Nov 9 2010 | Sep 9 2011 | EUR/USD | 20,000,000 | 1.4 | (27,647,000) | (2,814) |
| Grupa LOTOS S.A. | Currency forward | Dec 3 2010 | Feb 14 2011 | USD/PLN | 31,000,000 | 3.0 | (93,889,700) | (1,745) |
| Grupa LOTOS S.A. | Currency forward | Dec 3 2010 | May 16 2011 | USD/PLN | (42,000,000) | 3.0 | 127,785,000 | 2,152 |
| Grupa LOTOS S.A. | Currency forward | Dec 3 2010 | Jun 15 2011 | USD/PLN | 42,000,000 | 3.0 | (128,076,900) | (2,156) |
| Grupa LOTOS S.A. | Currency forward | Dec 3 2010 | Jul 11 2011 | USD/PLN | 7,000,000 | 3.1 | (21,466,200) | (436) |
| Grupa LOTOS S.A. | Currency forward | Dec 3 2010 | Jul 11 2011 | USD/PLN | 10,000,000 | 3.1 | (30,622,000) | (580) |
| Grupa LOTOS S.A. | Currency forward | Dec 3 2010 | Sep 12 2011 | USD/PLN | (31,000,000) | 3.1 | 95,154,500 | 1,620 |
| Grupa LOTOS S.A. | Currency forward | Dec 6 2010 | Aug 10 2011 | USD/PLN | (38,000,000) | 3.1 | 116,557,400 | 2,160 |
| Grupa LOTOS S.A. | Currency forward | Dec 7 2010 | Aug 11 2011 | USD/PLN | (19,800,000) | 3.1 | 60,489,000 | 883 |
| Grupa LOTOS S.A. | Currency forward | Dec 9 2010 | Aug 10 2011 | EUR/PLN | 21,000,000 | 4.1 | (85,915,200) | (1,530) |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Jan 10 2011 | USD/PLN | (34,100,000) | 3.0 | 103,916,340 | 2,803 |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | May 16 2011 | USD/PLN | (30,000,000) | 3.1 | 92,001,000 | 2,255 |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Jun 06 2011 | USD/PLN | (30,000,000) | 3.1 | 92,215,500 | 2,324 |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Jun 13 2011 | EUR/PLN | 8,000,000 | 4.0 | (32,352,000) | (335) |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Jun 22 2011 | USD/PLN | (40,000,000) | 3.1 | 122,960,000 | 2,956 |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Jul 12 2011 | EUR/PLN | 5,000,000 | 4.1 | (20,256,000) | (205) |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Oct 5 2011 | EUR/USD | 10,000,000 | 1.3 | (13,129,300) | 634 |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Oct 17 2011 | EUR/USD | 10,000,000 | 1.3 | (13,147,500) | 578 |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Nov 07 2011 | EUR/USD | 20,000,000 | 1.3 | (26,259,000) | 1,254 |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Dec 12 2011 | USD/PLN | 30,000,000 | 3.1 | (93,460,500) | (2,321) |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Dec 13 2011 | USD/PLN | 30,000,000 | 3.1 | (93,426,000) | (2,281) |
| Grupa LOTOS S.A. | Currency forward | Dec 20 2010 | Dec 22 2011 | EUR/PLN | 20,000,000 | 4.1 | (81,820,000) | (749) |
| Grupa LOTOS S.A. | Currency forward | Dec 21 2010 | Jan 24 2011 | USD/PLN | (34,000,000) | 3.0 | 103,436,500 | 2,527 |
| Grupa LOTOS S.A. | Currency forward | Dec 21 2010 | Apr 04 2011 | USD/PLN | 20,000,000 | 3.1 | (61,160,000) | (1,514) |
| Grupa LOTOS S.A. | Currency forward | Dec 21 2010 | May 10 2011 | USD/PLN | (20,000,000) | 3.1 | 61,298,000 | 1,495 |
| Grupa LOTOS S.A. | Currency forward | Dec 21 2010 | Aug 5 2011 | USD/PLN | (15,000,000) | 3.1 | 46,260,000 | 1,114 |
| Grupa LOTOS S.A. | Currency forward | Dec 21 2010 | Nov 10 2011 | USD/PLN | 15,000,000 | 3.1 | (46,605,000) | (1,144) |
| Grupa LOTOS S.A. | Currency forward | Dec 22 2010 | Jul 7 2011 | USD/PLN | 7,000,000 | 3.1 | (21,514,500) | (490) |
| Grupa LOTOS S.A. | Currency forward | Dec 22 2010 | Jul 8 2011 | USD/PLN | 10,000,000 | 3.1 | (30,734,000) | (696) |
| Grupa LOTOS S.A. | Currency forward | Dec 23 2010 | Feb 18 2011 | EUR/USD | 4,000,000 | 1.3 | (5,259,400) | 250 |
| Grupa LOTOS S.A. | Currency forward | Dec 23 2010 | Jul 11 2011 | USD/PLN | 5,000,000 | 3.1 | (15,368,000) | (346) |
| Grupa LOTOS S.A. | Currency forward | Dec 23 2010 | Jul 12 2011 | USD/PLN | 8,000,000 | 3.1 | (24,588,800) | (552) |
| Grupa LOTOS S.A. | Currency forward | Dec 27 2010 | Jan 12 2011 | EUR/USD | 10,000,000 | 1.3 | (13,166,000) | 578 |
| Grupa LOTOS S.A. | Currency forward | Dec 27 2010 | Jan 12 2011 | USD/PLN | (10,000,000) | 3.0 | 30,223,000 | 567 |
| Grupa LOTOS S.A. | Currency forward | Dec 28 2010 | Jan 31 2011 | EUR/USD | 3,500,000 | 1.3 | (4,630,815) | 134 |
| Grupa LOTOS S.A. | Currency forward | Dec 28 2010 | Jan 31 2011 | USD/PLN | (1,000,000) | 3.0 | 3,016,000 | 47 |
| Grupa LOTOS S.A. | Currency forward | Dec 28 2010 | Jul 13 2011 | USD/PLN | 13,000,000 | 3.1 | (39,679,900) | (622) |
| Grupa LOTOS S.A. | Currency forward | Dec 28 2010 | Dec 1 2011 | USD/PLN | (13,000,000) | 3.1 | 40,033,500 | 586 |
| Grupa LOTOS S.A. | Currency spot | Dec 30 2010 | Jan 3 2011 | USD/PLN | 3,000,000 | 3.0 | (8,998,500) | (106) |
| Grupa LOTOS S.A. | Currency spot | Dec 30 2010 | Jan 3 2011 | USD/PLN | 10,000,000 | 3.0 | (29,979,000) | (339) |
| Grupa LOTOS S.A. | Currency spot | Dec 30 2010 | Jan 3 2011 | USD/PLN | 4,000,000 | 3.0 | (12,000,400) | (144) |
| Grupa LOTOS S.A. | Currency spot | Dec 31 2010 | Jan 4 2011 | EUR/PLN | 1,000,000 | 4.0 | (3,957,000) | 3 |
| Grupa LOTOS S.A. | Currency spot | Dec 31 2010 | Jan 4 2011 | EUR/PLN | 2,000,000 | 4.0 | (7,909,000) | 12 |
| Grupa LOTOS S.A. | Currency spot | Dec 31 2010 | Jan 4 2011 | EUR/PLN | 1,000,000 | 4.0 | (3,950,000) | 10 |
| Grupa LOTOS S.A. | Currency spot | Dec 31 2010 | Jan 4 2011 | EUR/PLN | 600,000 | 4.0 | (2,382,600) | (6) |
| Grupa LOTOS S.A. | Currency spot | Dec 31 2010 | Jan 4 2011 | USD/PLN | 10,000,000 | 3.0 | (29,642,000) | (1) |
| Grupa LOTOS S.A. | Currency spot | Dec 31 2010 | Jan 4 2011 | USD/PLN | 5,000,000 | 3.0 | (14,820,500) | - |
| Grupa LOTOS S.A. | Currency spot | Dec 31 2010 | Jan 4 2011 | USD/PLN | 4,000,000 | 3.0 | (11,901,200) | (45) |
| Grupa LOTOS S.A. | Currency spot | Dec 31 2010 | Jan 4 2011 | USD/PLN | 5,000,000 | 3.0 | (14,821,500) | (1) |
|
TOTAL, including: |
(4,114) | |||||||
| positive | 37,540 | |||||||
| negative | (41,654) |
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).
Total currency position of the Parent as at December 31st 2011:
| Period | USD/PLN position | EUR/PLN position | ||||
| Underlying | Transaction | Total | Underlying | Transaction | Total | |
| 2012 | 468,678,817 | (457,600,674) | 11,078,143 | (254,123,754) | 245,450,000 | (8,673,754) |
Total currency position of the Parent as at December 31st 2010:
| Period | USD/PLN position | EUR/PLN position | ||||
| Underlying | Transaction | Total | Underlying | Transaction | Total | |
| 2011 | 322,577,414 | (320,281,395) | 2,296,019 | (266,115,943) | 268,600,000 | 2,484,057 |
The LOTOS Group companies executed transactions to hedge their currency risk and transactions to hedge the USD exchange rate in connection with the purchase of notes from a LOTOS Group member.
Open currency transactions as at December 31st 2011:
| Company | Type of transaction | Transaction execution date | Transaction settlement date | Currency pair | Amount in base currencyj | Rate | Amount in quote currency |
Fair value as at Dec 31 2011 (PLN ‘000) 3 |
| LOTOS Asfalt Sp. z o.o. | Currency swap | Nov 10 2010 | May 14 2012 | USD/PLN | (49,284,000) | 3.2610 | 160,715,124 | (9,588) |
|
TOTAL, including: |
(9,588) | |||||||
| positive | - | |||||||
| negative | (9,588) |
| 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 2011 (PLN ‘000) 3 |
|
Grupa Kapitałowa LOTOS Petrobaltic S.A. |
Currency forward | Nov 30 2011 | Jan 23 2012 | USD/NOK | (6,700) | 5.758187 | 38,580 | (1,032) |
|
Grupa Kapitałowa LOTOS Petrobaltic S.A. |
Currency forward | Dec 22 2011 | Feb 22 2012 | USD/NOK | (8,500) | 5.964480 | 50,698 | (360) |
|
TOTAL, including: |
(1,392) | |||||||
| positive | - | |||||||
| negative | (1,392) |
Open currency transactions as at December 31st 2010:
| 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 2010 (PLN ‘000) 3 |
| LOTOS Asfalt Sp. z o.o. | Currency swap | Nov 9 2010 | Feb 10 2011 | USD/PLN | (41,100,000) | 2.8272 | 116,197,920 | (5,936) |
|
TOTAL, including: |
(5,936) | |||||||
| positive | - | |||||||
| negative | (5,936) |
| 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 2010 (PLN ‘000) 3 |
| LOTOS Parafiny Sp. z o.o. | Currency forward | Apr 28 2010 | Jan 28 2011 | EUR/PLN | (74,500) | 3.9860 | 296,957 | 1 |
|
TOTAL, including: |
1 | |||||||
| positive | 1 | |||||||
| negative | - |
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).
Interest rate risk
The base map of interest rate positions is related to the cash flows which depend on future interest rates; in particular it is based on the planned schedule of repayments under the facility for financing of inventories and implementation of the 10+ Programme and the associated interest calculated on the basis of a floating LIBOR USD rate. 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 term facility granted to finance the 10+ Programme described in Note 34.
The obligation to maintain a specified hedge ratio for the interest rate risk connected with the LIBOR USD floating interest rate on the facility contracted to finance the 10+ Programme expired on June 30th 2011 as per the agreement on the financing of the 10+ Programme,
Underlying interest rate position as at December 31st 2011 (USD ’000):
| Period | Underlying position |
|---|---|
| 2012 | (1,864,944) |
| 2013 | (1,373,687) |
| 2014 | (1,267,629) |
| 2015 | (1,143,396) |
| 2016 | (1,012,073) |
| 2017 | (876,641) |
| 2018 | (728,733) |
| 2019 | (562,495) |
| 2020 | (395,211) |
Underlying interest rate position as at December 31st 2010 (USD ’000):
| Period | Underlying position |
|---|---|
| 2011 | (1,913,471) |
| 2012 | (1,831,610) |
| 2013 | (1,373,687) |
| 2014 | (1,267,629) |
| 2015 | (1,143,396) |
| 2016 | (1,012,072) |
| 2017 | (876,641) |
| 2018 | (728,732) |
| 2019 | (562,495) |
| 2020 | (395,211) |
As at December 31st 2011, the Company holds open hedging transactions executed in 2008 and 2009 to partially mitigate the interest rate risk which is not covered by mandatory hedges.
Open interest rate transactions as at December 31st 2011:
| Company | Type of transaction | Transaction execution date | Beginning of period | End of period | Notional amount (USD) | Company pays | Company receives |
Fair value as at Dec 31 2011 (PLN '000) 4 |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 5 2008 | Oct 15 2008 | Jan 15 2013 | 100,000,000 | 3.8% | 6M Libor | (22,535) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 16 2008 | Jan 15 2009 | Jan 15 2013 | 100,000,000 | 3.5% | 6M Libor | (20,643) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 19 2008 | Jan 15 2009 | Jan 15 2013 | (100,000,000) | 6M Libor | 4.0% | 23,738 |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Oct 7 2008 | Jan 15 2009 | Jan 15 2013 | 100,000,000 | 3.5% | 6M Libor | (20,437) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Oct 8 2008 | Jul 15 2011 | Jan 15 2013 | 100,000,000 | 4.2% | 6M Libor | (18,262) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Mar 19 2009 | Jul 15 2011 | Jan 15 2018 | 100,000,000 | 3.3% | 6M Libor | (40,338) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Apr 15 2009 | Jul 15 2011 | Jan 15 2018 | 50,000,000 | 3.5% | 6M Libor | (22,009) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | May 8 2009 | Jul 15 2011 | Jan 15 2018 | 50,000,000 | 4.0% | 6M Libor | (27,910) |
|
TOTAL, including: |
(148,396) | |||||||
| positive | 23,738 | |||||||
| negative | (172,134) |
Open interest rate transactions as at December 31st 2010:
| Company | Type of transaction | Transaction execution date | Beginning of period | End of period | Notional amount (USD) | Company pays | Company receives |
Fair value as at Dec 31 2010 (PLN '000) 4 |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | May 9 2008 | Oct 15 2008 | Jun 30 2011 | 50,000,000 | 3.4% | 6M LIBOR | (6,650) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | May 13 2008 | Oct 15 2008 | Jun 30 2011 | 50,000,000 | 3.6% | 6M LIBOR | (6,908) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | May 16 2008 | Oct 15 2008 | Jun 30 2011 | 100,000,000 | 3.7% | 6M LIBOR | (14,220) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 4 2008 | Jul 15 2009 | Jun 30 2011 | 122,000,000 | 4.1% | 6M LIBOR | (19,599) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 4 2008 | Oct 15 2008 | Jun 30 2011 | 208,000,000 | 3.8% | 6M LIBOR | (30,735) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 26 2008 | Jan 15 2009 | Jun 30 2011 | 100,000,000 | 4.3% | 6M LIBOR | (16,943) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Jun 27 2008 | Jul 15 2009 | Jun 30 2011 | 150,000,000 | 4.3% | 6M LIBOR | (25,768) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 5 2008 | Oct 15 2008 | Jan 15 2013 | 100,000,000 | 3.8% | 6M LIBOR | (27,521) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 16 2008 | Jan 15 2009 | Jan 15 2013 | 100,000,000 | 3.5% | 6M LIBOR | (25,060) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Sep 19 2008 | Jan 15 2009 | Jan 15 2013 | (100,000,000) | 6M LIBOR | 4.0% | 29,087 |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Oct 7 2008 | Jan 15 2009 | Jan 15 2013 | 100,000,000 | 3.5% | 6M LIBOR | (24,792) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Oct 8 2008 | Jul 15 2011 | Jan 15 2013 | 100,000,000 | 4.2% | 6M LIBOR | (14,102) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Mar 19 2009 | Jul 15 2011 | Jan 15 2018 | 100,000,000 | 3.3% | 6M LIBOR | (3,860) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | Apr 15 2009 | Jul 15 2011 | Jan 15 2018 | 50,000,000 | 3.5% | 6M LIBOR | (3,444) |
| Grupa LOTOS S.A. | Interest rate swap (IRS) | May 8 2009 | Jul 15 2011 | Jan 15 2018 | 50,000,000 | 4.0% | 6M LIBOR | (8,295) |
|
TOTAL, including: |
(198,810) | |||||||
| positive | 29,087 | |||||||
| negative | (227,897) |
| Company | Type of transaction | Transaction execution date | Beginning of period | End of period | Notional amount (USD) | Company pays | Company receives |
Fair value as at Dec 31 2010 (PLN '000) 4 |
| Grupa LOTOS S.A. | Forward rate agreement (FRA) | Jan 19 2010 | Jan 18 2011 | Apr 15 2011 | (100,000,000) | 3M LIBOR | 1.2250% | 655 |
| Grupa LOTOS S.A. | Forward rate agreement (FRA) | Apr 19 2010 | Jan 18 2011 | Apr 15 2011 | 100,000,000 | 0.8% | LIBOR 3M | (340) |
|
TOTAL, including: |
315 | |||||||
| positive | 655 | |||||||
| negative | (340) |
4 Fair value of IRSs/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 (Level 2 in the fair value hierarchy).
Total interest rate position as at December 31st 2011:
| Period | Underlying position (USD) | Fixed interest rate borrowings (USD) | Transaction position (USD) | Total position (USD) | Hedge ratio (USD) | Period |
| 2012 | (1,864,943,750) | 401,678,125 | 500,000,000 | 75,863,870 | (887,401,755) | 52% |
| 2013 | (1,373,687,500) | 376,656,250 | 200,000,000 | 75,707,285 | (721,323,965) | 47% |
| 2014 | (1,267,628,750) | 347,575,625 | 200,000,000 | 93,595,493 | (626,457,632) | 51% |
| 2015 | (1,143,396,250) | 313,511,875 | 200,000,000 | 96,284,191 | (533,600,184) | 53% |
| 2016 | (1,012,072,500) | 277,503,750 | 200,000,000 | 102,199,230 | (432,369,520) | 57% |
| 2017 | (876,641,250) | 240,369,375 | 200,000,000 | 102,124,180 | (334,147,695) | 62% |
| 2018 | (728,732,500) | 199,813,750 | - | 113,673,611 | (415,245,139) | 43% |
| 2019 | (562,495,000) | 154,232,500 | - | 115,396,189 | (292,866,311) | 48% |
| 2020 | (395,211,250) | 108,364,375 | - | 111,293,408 | (175,553,467) | 56% |
Total interest rate position as at December 31st 2010:
| Period | Underlying position (USD) | Fixed interest rate borrowings (USD) | Transaction position (USD) | Total position (USD) | Hedge ratio (USD) | Period |
| 2011 | (1,913,471,448) | 415,619,121 | 740,000,000 | 27,709,808 | (730,142,519) | 62% |
| 2012 | (1,831,610,416) | 401,678,125 | 500,000,000 | 68,602,578 | (861,329,713) | 53% |
| 2013 | (1,373,687,500) | 376,656,250 | 200,000,000 | 72,506,923 | (724,524,327) | 47% |
| 2014 | (1,267,628,750) | 347,575,625 | 200,000,000 | 89,910,022 | (630,143,103) | 50% |
| 2015 | (1,143,396,250) | 313,511,875 | 200,000,000 | 92,393,815 | (537,490,560) | 53% |
| 2016 | (1,012,072,500) | 277,503,750 | 200,000,000 | 94,878,009 | (439,690,741) | 57% |
| 2017 | (876,641,250) | 240,369,375 | 200,000,000 | 94,354,545 | (341,917,330) | 61% |
| 2018 | (728,732,500) | 199,813,750 | - | 101,292,185 | (427,626,565) | 41% |
| 2019 | (562,495,000) | 154,232,500 | - | 102,468,228 | (305,794,272) | 46% |
| 2020 | (395,211,250) | 108,364,375 | - | 74,265,210 | (212,581,665) | 46% |
To optimise the interest balance, the cash-pooling service for the LOTOS Group 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.
Liquidity risk
The liquidity risk management process in Grupa LOTOS S.A. consists in monitoring forecast cash flows and the portfolio of financial assets and liabilities, matching maturities of assets and liabilities, analysing working capital, optimising flows within the Group and close cooperation with business areas in order to safely and effectively allocate the liquidity.
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 to develop a long-term financial strategy.
In the area of financial risk, in addition to an active management of market risk, the Company applies the following liquidity management rules:
- no margins in derivatives trading on the OTC market,
- limited possibility of early termination of financial transactions,
- limits for low-liquidity spot financial instruments,
- credit limits for counterparties in financial and non-financial transactions,
- ensuring adequate quality and diversification of available financing sources,
- internal control processes and organisational efficiency facilitating prompt contingency response.
Contractual maturities of financial liabilities as at December 31 2011 and December 31 2010 are presented below.
Maturity structure of financial liabilities as at December 31st 2011:
| PLN '000 | Note | Carrying amount | Contractual cash flows | Up to 6 months | 6-12 months | 1-2 years | 2-5 years | Over 5 years |
| Secured bank borrowings and other debt instruments (other than overdraft facilities) | 34 | 7,083,442 | 7,344,207 | 348,463 | 1,933,482 | 363,759 | 1,424,509 | 3,273,994 |
| Overdraft facilities | 34 | 308,187 | 308,187 | 224,976 | 83,211 | - | - | - |
| Notes | 35 | - | - | - | - | - | - | - |
| Finance lease liabilities | 37.3 | 197,000 | 197,000 | 10,663 | 8,752 | 18,965 | 72,392 | 86,228 |
| Trade and other payables (net of public creditors) | 37.1 | 3,054,041 | 3,054,041 | 2,940,861 | 97,986 | 14,515 | 679 | - |
| Total | 10,642,670 | 10,903,435 | 3,524,963 | 2,123,431 | 397,239 | 1,497,580 | 3,360,222 |
Maturity structure of financial liabilities as at December 31st 2010:
|
(restated) PLN '000 |
Note | Carrying amount | Contractual cash flows | Up to 6 months | 6-12 months | 1-2 years | 2-5 years | Over 5 years |
| Secured bank borrowings and other debt instruments (other than overdraft facilities) | 34 | 6,051,963 | 6,144,837 | 75,277 | 1,576,180 | 359,355 | 1,009,547 | 3,124,478 |
| Overdraft facilities | 34 | 274,831 | 275,548 | 255,198 | 20,350 | - | - | - |
| Notes | 35 | 52,670 | 52,670 | 52,670 | - | - | - | - |
| Finance lease liabilities | 37.3 | 74,255 | 74,255 | 1,250 | 1,446 | 5,693 | 27,081 | 38,785 |
| Trade and other payables (net of public creditors) | 37.1 | 2,061,584 | 2,061,584 | 2,012,750 | 22,623 | 24,918 | 1,293 | - |
| Total | 8,515,303 | 8,608,894 | 2,397,145 | 1,620,599 | 389,966 | 1,037,921 | 3,163,263 |
Maturity structure of derivative financial instruments as at December 31st 2011:
| PLN '000 | Note | Carrying amount * | Contractual cash flows | Up to 6 months | 6-12 months | 1-2 years | 2-5 years | Over 5 years |
| Commodity swap | 28, 37.2 | - | - | - | - | - | - | - |
| Futures (CO2emissions) | 23, 28, 37.2 | 7,303 | 7,303 | - | 7,303 | - | - | - |
| Currency forward and spot contracts | 28, 37.2 | 53,191 | 53,191 | 55,915 | (2,724) | - | - | - |
| Forward rate agreements (FRAs) | 28, 37.2 | - | - | - | - | - | - | - |
| Interest rate swap (IRS) | 28, 23, 37.2 | 148,396 | 148,396 | 40,013 | (6,884) | 51,538 | 43,112 | 20,617 |
| Currency swap | 37.2 | 9,588 | 9,588 | 9,588 | - | - | - | - |
| Total | 218,478 | 218,478 | 105,516 | (2,305) | 51,538 | 43,112 | 20,617 |
* Carrying amount (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 2010:
|
(restated) PLN '000 |
Note | Carrying amount * | Contractual cash flows | Up to 6 months | 6-12 months | 1-2 years | 2-5 years | Over 5 years |
| Commodity swap | 28, 37.2 | (2,045) | (2,045) | (423) | (1,622) | - | - | - |
| Futures (CO2emissions) | 23, 28, 37.2 | 152 | 152 | - | 35 | 117 | - | - |
| Currency forward and spot contracts | 28, 37.2 | (4,113) | (4,113) | 4,045 | (8,158) | - | - | - |
| Forward rate agreements (FRAs) | 28, 37.2 | 315 | 315 | 315 | - | - | - | - |
| Interest rate swap (IRS) | 28, 23, 37.2 | (198,810) | (198,810) | (139,329) | 1,335 | (25,386) | (39,215) | 3,785 |
| Currency swap | 37.2 | (5,936) | (5,936) | (5,936) | - | - | - | - |
| Total | (210,437) | (210,437) | (141,328) | (8,410) | (25,269) | (39,215) | 3,785 |
* Carrying amount (positive valuation of derivative financial instruments less negative valuation of derivative financial instruments) represents the fair value of derivative financial instruments.
Credit risk
Management of credit risk related to counterparties in financial transactions consists in the verification of creditworthiness of the current and potential counterparties and monitoring of credit exposure against the granted limits. The counterparties must have an appropriate credit rating, assigned by leading rating agencies, or hold guarantees from institutions meeting the minimum rating requirement. The Group enters into financial transactions with reputable firms with sound credit standing, and diversifies the group of institutions with which it cooperates.
As at December 31st 2011, the concentration of credit risk with respect to a single counterparty in financial transactions did not exceed 0.015% of the Group's balance-sheet total.
Given that sales are executed on a deferred-payment basis, the Group may be exposed to risk of non-payment for products and services provided to its counterparties. As regards management of counterparty risk in non-financial transactions, all customers who request trading on credit terms are subject to credit assessment, whose results determine the level of possible credit limits.
Credit risk is measured by the maximum exposure to risk of individual classes of financial assets. Carrying amounts of financial assets represent the maximum credit risk exposure.
The maximum credit risk exposures as at the balance-sheet date:
| PLN '000 | 23Note | Dec 31 2011 |
Dec 31 2010 (restated) |
| Shares: | 9,746 | 9,927 | |
| - long-term | 23 | 9,746 | 9,915 |
| - short-term | 28 | - | 12 |
| Decommissioning fund | 23 | 24,491 | 21,668 |
| Deposits: | 78,671 | 5,932 | |
| - non-current | 23 | 38,106 | - |
| - current | 28 | 40,565 | 5,932 |
| Security deposits (margins) | 23 | 11,748 | 3,108 |
| Non-bank borrowings | 1,614 | - | |
| - non-current | 23 | - | - |
| - current | 28 | 1,614 | - |
| Derivative financial instruments: | 49,300 | 69,370 | |
| - long-term | 23 | 12,098 | 19,408 |
| - short-term | 28 | 37,202 | 49,962 |
| Trade and other receivables (net of receivables from the state budget): | 2,170,484 | 1,810,637 | |
| - long-term | 25 | 33,313 | 28,612 |
| - short-term | 26 | 2,137,171 | 1,782,025 |
| Cash and cash equivalents | 30 | 383,680 | 382,601 |
| Total | 2,729,734 | 2,303,243 |
In the Management Board’s opinion, the risk related to non-performing financial assets is reflected by recognised impairment losses. For more information on impairment losses on financial assets, see Note 12.3, 12.5 and 12.6.
For information on impairment losses on receivables, the age analysis of unimpaired past due receivables, as well as the analysis of concentration of credit risk related to trade receivables as at December 31st 2011 and December 31st 2010, see Note 26.
This is a translation of a document originally issued in Polish.