25.5 Market (financial) risk – sensitivity analysis
The PGE Capital Group is mainly exposed to the EUR/PLN exchange rate risk and the risk of changes in reference interest rates of PLN and EUR. It also has positions exposed to interest rate risk in USD, EUR and foreign exchange risk in EUR, USD and DKK, which are smaller in scale and therefore low in risk to the Group. 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 examine 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 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 31 December 2023 and as at 31 December 2022 respectively, without discount. The book value of derivative instruments is the result of valuation to fair value.
Currency exchange risk sensitivity analysis
The table below shows the sensitivity of financial instruments to reasonably possible changes in exchange rates, with all other risk factors remaining unchanged.
| CLASSES OF FINANCIAL INSTRUMENTS | Value in statements in PLN | CURRENCY EXCHANGE RISK SENSITIVITY ANALYSIS AS AT 31 DECEMBER 2023 | ||||||
|---|---|---|---|---|---|---|---|---|
| Value exposed to risk | EUR/PLN | DKK/PLN | USD/PLN | |||||
| impact on profit or loss/equity | impact on profit or loss/equity | impact on profit or loss/equity | ||||||
| +10% | -10% | +10% | -10% | +10% | -10% | |||
| Trade receivables and other financial receivables | 10,770 | 802 | 80 | (80) | – | – | – | – |
| Cash and cash equivalents | 6,033 | 1.292 | 123 | (123) | 6 | (6) | – | – |
| Derivatives measured at fair value | 159 | 1,396 | – | – | – | – | 130 | (130) |
| Hedging derivatives | 204 | 661 | 62 | (62) | – | – | – | – |
| Interest-bearing credits and loans | (11,394) | (151) | – | – | (15) | 15 | ||
| Bonds issued | (2,017) | (608) | (61) | 61 | – | – | – | – |
| Lease liabilities | (1,486) | – | – | – | – | – | – | – |
| Trade payables and other financial liabilities | (8,133) | (278) | (28) | 28 | – | – | – | – |
| Derivatives measured at fair value | (468) | (3.281) | 21 | (21) | – | – | (276) | 276 |
| IMPACT ON FINANCIAL RESULT | 197 | (197) | 6 | (6) | (161) | 161 | ||
| Hedging instruments | (20,462) | 2,400 | (2,400) | – | – | – | – | |
| IMPACT ON REVALUATION RESERVE | 2,400 | (2,400) | – | – | – | – | ||
| CLASSES OF FINANCIAL INSTRUMENTS | Value in statements in PLN | CURRENCY EXCHANGE RISK SENSITIVITY ANALYSIS AS AT 31 DECEMBER 2022 | ||||||
|---|---|---|---|---|---|---|---|---|
| Value exposed to risk | EUR/PLN | DKK/PLN | USD/PLN | |||||
| impact on profit or loss/equity | impact on profit or loss/equity | impact on profit or loss/equity | ||||||
| +10% | -10% | +10% | -10% | +10% | -10% | |||
| Trade receivables and other financial receivables | 9,306 | 1,329 | 133 | (133) | – | – | – | – |
| Cash and cash equivalents | 11,887 | 1,926 | 186 | (186) | 6 | (6) | 1 | (1) |
| Derivatives measured at fair value | 771 | 1,514 | – | – | – | – | 151 | (151) |
| Hedging derivatives | 736 | 680 | 67 | (67) | – | – | – | – |
| Interest-bearing credits and loans | (5,870) | (40) | – | – | – | – | (4) | 4 |
| Bonds issued | (2,067) | (655) | (66) | 66 | – | – | – | – |
| Lease liabilities | (999) | (6) | (1) | 1 | – | – | – | – |
| Trade payables and other financial liabilities | (7,185) | (2,298) | (178) | 178 | – | – | (51) | 51 |
| Derivatives measured at fair value | (1,230) | (4,662) | – | – | – | – | (319) | 319 |
| IMPACT ON FINANCIAL RESULT | 141 | (141) | 6 | (6) | (222) | 222 | ||
| Hedging instruments | 32 | (9,167) | 2,694 | (2,694) | – | – | 46 | (46) |
| IMPACT ON REVALUATION RESERVE | 2,694 | (2,694) | – | – | 46 | (46) | ||
Interest rate risk sensitivity analysis
The Group identifies its exposure to the risk of changes in the WIBOR, EURIBOR and LIBOR 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.
| FINANCIAL ASSETS AND LIABILITIES | Value in statements in PLN | INTEREST RATE RISK SENSITIVITY ANALYSIS AS AT 31 DECEMBER 2023 | ||||||
|---|---|---|---|---|---|---|---|---|
| Value exposed to risk | WIBOR | EURIBOR | LIBOR | |||||
| impact on profit or loss/equity | impact on profit or loss/equity | impact on profit or loss/equity | ||||||
| +50% | -50% | +25% | -25% | +25% | -25% | |||
| Trade receivables and other financial receivables | 10,770 | 5 | – | – | – | – | – | – |
| Derivatives at fair value through profit or loss – assets | 159 | 159 | – | – | – | – | – | – |
| Interest-bearing credits and loans | (11,394) | (6,679) | (33) | 33 | – | – | – | – |
| Bonds issued | (2,017) | (1,409) | (7) | 7 | – | – | – | – |
| Leases | (1,486) | (314) | (2) | 2 | – | – | – | – |
| Derivatives – liabilities | (468) | (468) | (2) | 2 | – | – | – | – |
| IMPACT ON FINANCIAL RESULT | (44) | 44 | – | – | – | – | ||
| Hedging instruments | (1,361) | (1,361) | 43 | (45) | (9) | 9 | – | – |
| IMPACT ON REVALUATION RESERVE | 43 | (45) | (9) | 9 | – | – | ||
| FINANCIAL ASSETS AND LIABILITIES | Value in statements in PLN | INTEREST RATE RISK SENSITIVITY ANALYSIS AS AT 31 DECEMBER 2022 | ||||||
|---|---|---|---|---|---|---|---|---|
| Value exposed to risk | WIBOR | EURIBOR | LIBOR | |||||
| impact on profit or loss/equity | impact on profit or loss/equity | impact on profit or loss/equity | ||||||
| +50% | -50% | +25% | -25% | +25% | -25% | |||
| Derivatives at fair value through profit or loss – assets | 771 | 766 | – | – | – | – | 2 | (2) |
| Interest-bearing credits and loans | (5,870) | (3,587) | (18) | 18 | – | – | – | – |
| Bonds issued | (2,067) | (1,412) | (7) | 7 | – | – | – | – |
| Derivatives – liabilities | (1,230) | (1,229) | (2) | 2 | – | – | (2) | 2 |
| IMPACT ON FINANCIAL RESULT | (27) | 27 | – | – | – | – | ||
| Hedging instruments | 32 | 32 | 58 | (58) | (12) | 12 | ||
| IMPACT ON REVALUATION RESERVE |
|
58 | (58) | (12) | 12 | |||
Commodity price change risk sensitivity analysis
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:
TOCOMMODITYWAR AS AT 31 DECEMBER 2023 AS AT 31 DECEMBER 2022 Commodity purchase cost Impact on profit or loss Commodity purchase cost Impact on profit or loss +10% -10% +10% -10% Coal 8,942 894 (894) 8,085 809 (809) CO2
emission allowances for captive use28,605 2,861 (2,861) 11,765 1,177 (1,177) Natural gas [thousand m3] 2,584 258 (258) 1,570 157 (157) Biomass 386 39 (39) 196 20 (20) Heating oil 188 19 (19) 272 27 (27)
TOTAL 40,705 4,071 (4,071) 21,888 2,190 (2,190)