Structure of financial instruments subject to risk of interest rates changes as at 31 December 2022

Structure of financial instruments subject to risk of interest rates changes as at 31 December 2021

As at 31 December 2022 and as at 31 December 2021, the Group had commodity futures and forwards concerning CO₂ and electricity in the net amount of PLN 424 million and PLN 812 million, respectively, which are not sensitive to interest rate changes. The carrying amounts of these items are presented in the note 14.10.

The ORLEN Group is exposed to risk of cash flows changes in interest rates arising from owned assets and liabilities, for which interest gains or losses are depend on floating interest rates.

The ORLEN Group hedges partially the consolidated exposure to volatility of cash flows due to changes in interest rates. For this purpose, Interest Rate Swap (IRS) and Currency and Interest Rate Swap (CIRS) are used.

Measurement of risk is based on total gross debt to positions for which interest costs are depend on floating interest rates.

Sensitivity analysis for the interest rates changes

At variation of interest rates by (-) 0,5 p.p. the sensitive analysis presents variations of the same value as in the above table but with the opposite sign.

The above interest rates variations were calculated based on observations of average interest rates fluctuations in 2022 and 2021.

The influence of interest rates changes was presented on annual basis.

For derivatives in sensitivity analysis for the risk of interest rates changes interest rate curve displacement due to potential reference rate change was used, provided that other risk factors remain constant.

Sensitivity analysis to commodity risk, exchange rates changes and to the risk of interest rates changes was carried out based on the same methodology.