XML 234 R93.htm IDEA: XBRL DOCUMENT v3.20.2
Financial risk management and financial instruments (Tables)
 12 Months Ended
Jun. 30, 2020
Financial risk management and financial instruments  
Financial instruments

 

The following table summarises the group’s classification of financial instruments.

 

 

 

 

 

Carrying value

 

 

 

 

 

Note

 

At fair value
through
profit and
loss
Rm

 

Designated at
fair value through
other
comprehensive
income
Rm

 

Amortised
cost
Rm

 

Fair value
Rm

 

2020

 

 

 

 

 

 

 

 

 

 

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

Investments in listed securities

 

 

 

—

 
498

 

—

 
498

 

Investments in unlisted securities

 

 

 

—

 
13

 

—

 
13

 

Other long-term investments

 

 

 

—

 

—

 

1 415

 

1 415

 

Long-term receivables

 
23

 

—

 

—

 

5 799

 

5 799

 

Long- and short-term financial assets

 

 

 
645

 

—

 

—

 
645

 

Trade and other receivables**

 
28

 

—

 

—

 

22 066

 

22 066

*

Cash and cash equivalents*

 
31

 

—

 

—

 

34 739

 

34 739

*

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

Listed long-term debt (Bonds issued)+

 
17

 

—

 

—

 

56 760

 

50 701

 

Unlisted long-term debt+

 
17

 

—

 

—

 

110 437

 

109 724

 

Lease liabilities

 
18

 

—

 

—

 

17 719

 

—

 

Short-term debt and bank overdraft

 

 

 

—

 

—

 

22 533

 

22 533

*

Long- and short-term financial liabilities

 

 

 

9 891

 

—

 

—

 

9 891

 

Trade and other payables+

 
29

 

—

 

—

 

21 164

 

21 164

*

 

110

 

 

 

 

 

 

Carrying value

 

 

 

 

 

Note

 

At fair value
through
profit and
loss
Rm

 

Designated
at fair value
through other
comprehensive
income
Rm

 

Amortised
cost
Rm

 

Fair value
Rm

 

2019

 

 

 

 

 

 

 

 

 

 

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

Investments in listed securities

 

 

 

—

 
830

 

—

 
830

 

Investments in unlisted securities

 

 

 

—

 
393

 

—

 
393

 

Other long-term investments

 

 

 

—

 

—

 
25

 
25

 

Long-term receivables

 
23

 

—

 

—

 

5 582

 

5 582

 

Long- and short-term financial assets

 

 

 
645

 

—

 

—

 
645

 

Trade and other receivables**

 
28

 

—

 

—

 

25 611

 

25 611

*

Cash and cash equivalents

 
31

 

—

 

—

 

15 877

 

15 877

*

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

Listed long-term debt (Bonds issued)+

 
17

 

—

 

—

 

46 060

 

49 421

 

Unlisted long-term debt+

 
17

 

—

 

—

 

83 509

 

84 007

 

Lease liabilities

 
18

 

—

 

—

 

7 770

 

—

 

Short-term debt and bank overdraft

 

 

 

—

 

—

 

1 297

 

1 297

*

Long- and short-term financial liabilities

 

 

 

2 205

 

—

 

—

 

2 205

 

Trade and other payables+

 
29

 

—

 

—

 

28 501

 

28 501

*

 

*The fair value of these instruments approximates carrying value, due to their short-term nature.

** Trade and other receivables includes employee-related and insurance-related receivables.

+Includes unamortised loan costs.

 

 

Schedule of expected credit losses recognised

 

 

 

Lifetime ECL

 

12-month
ECL

 

 

 

 

 

Significant
increase in
credit risk
since initial
recognition
Rm

 

Simplified
approach for
trade
receivables
Rm

 

Credit-
impaired
Rm

 

Total
lifetime ECL
Rm

 

No
significant
increase in
credit risk
since initial
recognition
Rm

 

Total expected
credit loss
Rm

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term receivables

 
349

 

—

 
47

 
396

 
46

 
442

 

Trade receivables

 

—

 
64

 
299

 
363

 

—

 
363

 

Other receivables

 
12

 

—

 
330

 
342

 
1

 
343

 

 

 
361

 
64

 
676

 
1101

 
47

 
1148

 

 

 

 

Lifetime ECL

 

12-month
ECL

 

 

 

 

 

Significant
increase in
credit risk
since initial
recognition
Rm

 

Simplified
approach
for trade
receivables
Rm

 

Credit- impaired
Rm

 

Total lifetime
ECL
Rm

 

No
significant
increase in
credit risk
since initial
recognition
Rm

 

Total expected
credit loss
Rm

 

2019

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term receivables

 
121

 

—

 
38

 
159

 
52

 
211

 

Trade receivables

 

—

 
77

 
148

 
225

 

—

 
225

 

Other receivables

 
3

 

—

 
223

 
226

 
2

 
228

 

 

 
124

 
77

 
409

 
610

 
54

 
664

 

 

 

Schedule of credit risk profile of financial assets at amortised cost

 

 

 

2020
%

 

2019
%

 

AAA to A-

 
39

 
85

 

BBB to B-

 
54

 
8

 

CCC+ and — below

 
7

 
7

 

 

 

Maturity profile of the undiscounted cash flows of derivative and non-derivative financial instruments

 

The maturity profile of the undiscounted contractual cash flows of financial instruments at 30 June were as follows:

 

 

 

Note

 

Contractual
cash flows*
Rm

 

Within one
year****
Rm

 

One to
five years
Rm

 

More than
five years
Rm

 

2020

 

 

 

 

 

 

 

 

 

 

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

Non-derivative instruments

 

 

 

 

 

 

 

 

 

 

 

Long-term receivables

 

23

 

5 799

 

—

 

3 255

 

2 544

 

Trade and other receivables

 

28

 

22 090

 

22 090

 

—

 

—

 

Cash and cash equivalents (excluding restricted cash)

 

31

 

32 932

 

32 932

 

—

 

—

 

Investments through other comprehensive income

 

 

 
511

 
511

 

—

 

—

 

Other long-term investments

 

 

 

1 415

 

1 415

 

—

 

—

 

 

 

 

 

62 747

 

56 948

 

3 255

 

2 544

 

Derivative instruments

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

9 185

 

9 185

 

—

 

—

 

Crude oil put options

 

 

 
113

 
113

 

—

 

—

 

Ethane swap options

 

 

 
104

 
104

 

—

 

—

 

Other commodity derivatives

 

 

 
11

 
11

 

—

 

—

 

 

 

 

 

72 160

 

66 361

 

3 255

 

2 544

 

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

Non-derivative instruments

 

 

 

 

 

 

 

 

 

 

 

Long-term debt***

 

17

 

(188 940

)

(24 213

)

(147 859

)

(16 868

)

Lease liabilities

 

18

 

(38 187

)

(3 051

)

(9 319

)

(25 817

)

Short-term debt

 

17

 

(21 888

)

(21 888

)

—

 

—

 

Trade and other payables

 

29

 

(21 164

)

(21 164

)

—

 

—

 

Bank overdraft

 

31

 
(645

)
(645

)

—

 

—

 

Financial guarantees**

 

 

 
(913

)
(913

)

—

 

—

 

 

 

 

 

(271 737

)

(71 874

)

(157 178

)

(42 685

)

Derivative instruments

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

(8 770

)

(8 770

)

—

 

—

 

Interest rate swap options

 

 

 

(4 143

)
(780

)

(2 631

)
(732

)

Foreign exchange zero cost collars

 

 

 

(2 861

)

(2 861

)

—

 

—

 

Crude oil zero cost collar

 

 

 
(174

)
(174

)

—

 

—

 

Ethane swap options

 

 

 
(230

)
(230

)

—

 

—

 

Crude oil futures

 

 

 
(66

)
(66

)

—

 

—

 

Other currency derivatives

 

 

 

(2 183

)
(53

)
(129

)

(2 001

)

Other commodity derivatives

 

 

 
(103

)
(103

)

—

 

—

 

 

 

 

 

(290 267

)

(84 911

)

(159 938

)

(45 418

)

 

*Contractual cash flows include interest payments.

 

** Issued financial guarantees contracts are all repayable on default, however the likelihood of default is considered remote.

 

*** Of the amounts due in one to five years, R126 billion relates to the capital repayment of the bonds, the revolving credit facility and the term loan.

 

**** Refer to note 2 Going concern assessment.

 

111

 

 

 

 

Note

 

Contractual
cash flows*
Rm

 

Within one
year
Rm

 

One to
five years
Rm

 

More than
five years
Rm

 

2019

 

 

 

 

 

 

 

 

 

 

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

Non-derivative instruments

 

 

 

 

 

 

 

 

 

 

 

Long-term receivables

 

23

 

5 582

 

—

 

4 203

 

1 379

 

Trade and other receivables

 

28

 

25 611

 

25 611

 

—

 

—

 

Cash and cash equivalents (excluding restricted cash)

 

31

 

13 397

 

13 397

 

—

 

—

 

Investments through other comprehensive income

 

 

 

1 223

 
680

 
543

 

—

 

Other long-term investments

 

 

 
25

 

—

 
25

 

—

 

 

 

 

 

45 838

 

39 688

 

4 771

 

1 379

 

Derivative instruments

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

2 161

 

2 161

 

—

 

—

 

Interest rate swap options

 

 

 
15

 

—

 
8

 
7

 

Foreign exchange zero cost collars

 

 

 
582

 
582

 

—

 

—

 

Ethane swap options

 

 

 
2

 
2

 

—

 

—

 

Other commodity derivatives

 

 

 
31

 
31

 

—

 

—

 

 

 

 

 

48 629

 

42 464

 

4 779

 

1 386

 

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

Non-derivative instruments

 

 

 

 

 

 

 

 

 

 

 

Long-term debt***

 

17

 

(157 965

)

(7 025

)

(134 318

)

(16 622

)

Lease liabilities

 

18

 

(25 480

)

(1 207

)

(4 135

)

(20 138

)

Short-term debt

 

17

 

(1 239

)

(1 239

)

—

 

—

 

Trade and other payables

 

29

 

(28 501

)

(28 501

)

—

 

—

 

Bank overdraft

 

31

 
(58

)
(58

)

—

 

—

 

Financial guarantees**

 

 

 

(1 326

)

(1 326

)

—

 

—

 

 

 

 

 

(214 569

)

(39 356

)

(138 453

)

(36 760

)

Derivative instruments

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

(2 190

)

(2 190

)

—

 

—

 

Interest rate swap options

 

 

 

(1 488

)
(213

)

(1 029

)
(246

)

Foreign exchange zero cost collars

 

 

 
(3

)
(3

)

—

 

—

 

Ethane swap options

 

 

 
(456

)
(456

)

—

 

—

 

Crude oil futures

 

 

 
(27

)
(27

)

—

 

—

 

Other commodity derivatives

 

 

 
(10

)
(10

)

—

 

—

 

 

 

 

 

(218 743

)

(42 255

)

(139 482

)

(37 006

)

 

*Contractual cash flows include interest payments.

 

** Issued financial guarantees contracts are all repayable on default, however the likelihood of default is considered remote.

 

*** Of the amounts due in one to five years, R131 billion relates to the repayment of the bonds, the revolving credit facility and the term loan.

 

 

Schedule of foreign exchange rates

 

 

 

Average rate

 

Closing rate

 

 

 

2020
Rand

 

2019
Rand

 

2020
Rand

 

2019
Rand

 

Rand/Euro

 
17,34

 
16,19

 
19,46

 
16,01

 

Rand/US dollar

 
15,69

 
14,20

 
17,33

 
14,08

 

 

 

Summary of interest rate profile of interest-bearing financial instruments including the effect of the interest rate swap

 

 

 

 

Carrying value

 

 

 

2020

 

2019

 

 

 

Rm

 

Rm

 

Variable rate instruments    

 

 

 

 

 

Financial assets

 

36 140

 

16 663

 

Financial

 

(97 531

)

(54 542

)

liabilities

 

(61 391

)

(37 879

)

Fixed rate instruments

 

 

 

 

 

Financial assets

 
525

 
197

 

Financial liabilities

 

(109 919

)

(83 151

)

 

 

(109 394

)

(82 954

)

Interest profile (variable: fixed rate as a percentage of total financial assets)

 

99:1

 

99:1

 

Interest profile (variable: fixed rate as a percentage of total financial liabilities)

 

47:53

 

40:60

 

 

 

Schedule of derivative transactions

 

Income statement impact

 

2020
Rm

 

2019
Rm

 

2018
Rm

 

Financial instruments

 

 

 

 

 

 

 

Net (loss)/gain on derivative instruments

 

 

 

 

 

 

 

Foreign exchange zero cost collars

 

(4 298

)
323

 
936

 

Other foreign exchange derivatives*

 

(1 562

)
85

 

—

 

Ethane swap options

 
(732

)
(462

)
29

 

Foreign exchange contracts (losses)/gains

 
(372

)
(794

)
121

 

Crude oil swap options

 
(160

)

—

 

—

 

Crude oil zero cost collars

 
(157

)

—

 

—

 

Crude oil put options

 
(153

)
(498

)

(3 303

)

Interest rate swap options

 
(101

)

(1 475

)
52

 

Coal swap options

 

—

 
91

 

(1 024

)

Crude oil futures

 
538

 
265

 
(687

)

 

 

(6 997

)

(2 465

)

(3 876

)

 

*Mainly relates to a US dollar derivative that is embedded in a long-term oxygen supply contract to our Secunda Synfuels Operations that was recognised on adoption of IFRS 16.

 

Statement of financial position impact

 

2020
Rm

 

2019
Rm

 

Financial instrument

 

 

 

 

 

Derivative financial assets

 

 

 

 

 

Foreign exchange contracts

 
417

 
15

 

Crude oil put options

 
113

 

—

 

Ethane swap options

 
104

 
2

 

Other commodity derivatives

 
11

 
31

 

Foreign exchange zero cost collars

 

—

 
582

 

Interest rate swap options

 

—

 
15

 

 

 
645

 
645

 

Derivative financial liabilities

 

 

 

 

 

Interest rate swap options

 

(4 143

)

(1 488

)

Foreign exchange zero cost collars

 

(2 861

)
(3

)

Other foreign exchange derivatives**

 

(2 183

)

—

 

Ethane swap options

 
(230

)
(456

)

Crude oil zero cost collars

 
(174

)

—

 

Other commodity derivatives

 
(103

)
(10

)

Crude oil futures

 
(66

)
(27

)

Foreign exchange contracts

 
(1

)
(44

)

 

 

(9 761

)

(2 028

)

Non-derivative financial liabilities

 

 

 

 

 

Financial guarantees

 
(130

)
(177

)

 

 

(9 891

)

(2 205

)

 

** Mainly relates to a US dollar derivative that is embedded in a long-term oxygen supply contract to our Secunda Synfuels Operations that was recognised on adoption of IFRS 16.

 

 

The other derivatives within the group are economic hedges to our exposure to the rand/US$ exchange rates and commodity prices that have not been classified as cash flow hedges.

 

 

 

Fair value
of assets/
(liabilities)
2020
Rm

 

Fair value
of assets/
(liabilities)
2019
Rm

 

Interest rate swap derivatives — cash flow hedge (2019 — held for trading)

 

(4 143

)

(1 473

)

 

 

 

Fair value
of assets
2020
Rm

 

Fair value
of assets
2019
Rm

 

Fair value
of liabilities
2020
Rm

 

Fair value
of liabilities
2019
Rm

 

Contract/
Notional
amount*
2020

 

Contract/
Notional
amount*
2019

 

Derivatives held for trading

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

417 

 

15

 
(1

) 
(44

)

US$m

481 

 

146

 

Crude oil futures

 

 

 

—

 
(66

)
(27

)

US$m
36

 

 

 

 

 
417

 
15

 
(67

)
(71

)

 

 

 

 

 

* The notional amount is the sum of the absolute value of all contracts for both derivative assets and liabilities.

 

112

 

 

In addition to foreign exchange contract utilised in normal operating activities, the following derivatives were entered into to mitigate the risks associated with the crude oil price, the rand/US$ exchange rate, ethane price and the coal price.

 

 

 

 

 

 

2020

 

2019

 

 

Brent crude oil — Put options

 

 

 

 

 

 

 

 

 

Premium paid

 

 

US$m

 
17,4

 

—

 

 

Number of barrels

 

 

million

 
6,5

 
48,0

 

 

Open positions

 

 

million

 
5,5

 

—

 

 

Settled

 

 

million

 
1,0

 
48,0

 

 

Average Brent crude oil price floor, net of costs (open positions)

 

 

US$/bbl

 
34,49

 

—

 

 

Losses recognised in the income statement

 

 

Rm

 
(153

)
(498

)

 

Amount included in the statement of financial position

 

 

Rm

 
113

 

—

 

 

 

 

 

 

 

 

 

 

 

 

Rand/US$ currency — Zero-cost collar instruments

 

 

 

 

 

 

 

 

 

US$ exposure — open positions

 

 

US$bn

 
5,4

 
4,3

 

 

Annual average floor

 

 

R/US$

 
14,80

 
13,84

 

 

Annual average cap

 

 

R/US$

 
17,77

 
16,63

 

 

(Losses)/gains recognised in the income statement

 

 

Rm

 

(4 298

)
323

 

 

Amount included in the statement of financial position

 

 

Rm

 

(2 861

)
579

 

 

 

 

 

 

 

 

 

 

 

 

Brent crude oil — Zero-cost collar instruments

 

 

 

 

 

 

 

 

 

Number of barrels — open positions

 

 

million

 
3,1

 

—

 

 

Annual average floor

 

 

R/US$

 
31,79

 

—

 

 

Annual average cap

 

 

R/US$

 
39,88

 

—

 

 

Losses recognised in the income statement

 

 

Rm

 
(157

)

—

 

 

Amount included in the statement of financial position

 

 

Rm

 
(174

)

—

 

 

 

 

 

 

 

 

 

 

 

 

Brent crude oil — Swap options

 

 

 

 

 

 

 

 

 

Number of tons — settled during year

 

 

million

 
5,0

 

—

 

 

Losses recognised in the income statement

 

 

Rm

 
(160

)

—

 

 

 

 

 

 

 

 

 

 

 

 

Export coal — Swap options

 

 

 

 

 

 

 

 

 

Number of tons — settled during year

 

 

million

 

—

 
1,4

 

 

Gains recognised in the income statement

 

 

Rm

 

—

 
91

 

 

 

 

 

 

 

 

 

 

 

 

Ethane — Swap options

 

 

 

 

 

 

 

 

 

Number of barrels

 

 

million

 
38,9

 
16,0

 

 

Open positions

 

 

million

 
21,5

 
12,5

 

 

Settled

 

 

million

 
17,4

 
3,5

 

 

Average ethane swap price (open positions)

 

 

US$c/gal

 
20

 
28

 

 

Losses recognised in the income statement

 

 

Rm

 
(732

)
(462

)

 

Amount included in the statement of financial position

 

 

Rm

 
(126

)
(454

)

 

 

 

Sensitivity analysis of derivative transactions

 

 

 

 

 

Volatility

 

Ethane price

 

Crude oil price

 

Rand/US$ spot
price

 

US$
Libor
curve**

 

30 June 2020

 

 

 

+2%

 

-2%

 

+USD 2
c/gal

 

-USD 2
c/gal

 

+USD 2/
bbl

 

-USD 2/
bbl

 

-R1/
US$

 

+R1/
US$*

 

+0,5%

 

Crude oil put options

 

Rm

 

 

 

 

 

 

 

 

 
(45

)
55

 

 

 

 

 

 

 

Ethane swap options

 

Rm

 

 

 

 

 
329

 
(329

)

 

 

 

 

 

 

 

 

 

 

Foreign exchange zero cost collars

 

Rm

 
(196

)
209

 

 

 

 

 

 

 

 

 

2 172

 

(2 504

)

 

 

Crude oil zero-cost collar

 

Rm

 
(12)

 
14

 

 

 

 

 
(81

)
72

 

 

 

 

 

 

 

Interest rate swap

 

Rm

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
811

 

 

 

 

 

 

Volatility

 

Ethane price

 

Crude oil price

 

Rand/US$ spot
price

 

US$
Libor
curve**

 

30 June 2020

 

 

 

+2%

 

-2%

 

+USD 2
c/gal

 

-USD 2
c/gal

 

+USD 2/
bbl

 

-USD 2/
bbl

 

-R1/
US$*

 

+0,5%

 

+0,5%

 

Ethane swap options

 

Rm

 

 

 

 

 
146

 
(146

)

 

 

 

 

 

 

 

 

 

 

Foreign exchange zero cost collars

 

Rm

 
115

 
(125

)

 

 

 

 

 

 

 

 

2 495

 

 

 

 

 

Interest rate swap

 

Rm

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
754

 
(748

)

 

* A weakening of the Rand/US$ spot exchange rate of R0,44 will likely result in the spot price falling within the corridor of the cap and floor rates of the zero-cost collars. No gain or loss will be made if these derivatives are settled at a spot price between the cap and floor. The exchange rate would have to weaken by at least R0,44/US$, up to the cap of R17,77, before losses are incurred on the derivatives.

 

** Sensitivities on the downward shift has been limited by the low US$ Libor at 30 June 2020.

 

 

 

 

 

US$/Rand Spot price

 

US$ Swap curve

 

Rand Swap curve

 

30 June 2020

 

 

 

+R1/US$

 

-R1/US$

 

+0,1%

 

-0,1%

 

+1,0%

 

-1,0%

 

Oxygen supply contract embedded derivative

 

Rm

 
(506

)
506

 
117

 
(120

)
(724

)
860

 

 

 

Schedule of assets and liabilities measured at fair value

 

 

Financial instrument

 

Fair value
30 June
2020

 

Fair value 30
June
2019

 

 Valuation method

 

Significant inputs

 

Fair value
hierarchy
of inputs

Financial assets

 

 

 

 

 

 

 

 

 

 

Investments in listed securities

 
498

 
830

 

Quoted market price for the same instrument

 

Quoted market price for the same instrument

 

Level 1

Investments in unlisted securities

 
13

 
393

 

Discounted cash flow

 

Forecasted earnings, capital expenditure and debt cash flows of the underlying business, based on the forecasted assumptions of inflation, exchange rates,
commodity prices etc. Appropriate WACC for the region.

 

Level 3

Other long-term investments

 
25

 
25

 

Discounted cash flow

 

Market related interest rates.

 

Level 3

 

 

1 390

 

—

**

 

 

**

 

Level 1

Long-term receivables

 

5 799

 

5 582

 

Discounted cash flow

 

Market related interest rates.

 

Level 3

Derivative assets

 
645

 
645

 

Forward rate
interpolator model, appropriate currency specific discount curve, discounted expected cash flows, numerical approximation

 

Forward exchange contracted rates, market foreign exchange rates, forward contract rates, market commodity prices, coal prices, crude oil prices

 

Level 2

Trade and other receivables

 

22 066

 

25 611

 

Discounted cash flow

 

Market related interest rates.

 

Level 3*

Cash and cash equivalents

 

34 739

 

15 877

**

 

 

**

 

Level 1**

Financial liabilities

 

 

 

 

 

 

 

 

 

 

Listed long-term debt

 

50 701

 

49 421

 

Quoted market price for the same instrument

 

Quoted market price for the same instrument

 

Level 1

Unlisted long-term debt

 

109 724

 

91 777

 

Discounted cash flow

 

Market related interest rates

 

Level 3

Short-term debt and bank overdraft

 

22 533

 

1 297

 

Discounted cash flow

 

Market related interest rates

 

Level 3*

Derivative liabilities

 

7 723

 

2 205

 

Discounted net cash flows, using a swap curve to infer the future floating cash flows, forward rate interpolator model, discounted expected cash flows, numerical approximation

 

US$Overnight Indexed Swap (OIS) curve, recovery probabilities, forward exchange contracted rates, coal prices, market foreign exchange rates

 

Level 2

 

 

2 168

 

—

 

Forward rate interpolator model, discounted expected cash flows, numerical approximation, as appropriate***

 

US PPI, US labour index, US Dollar and ZAR treasury curves, Rand zero swap discount rate***

 

Level 3***

Trade and other payables

 

21 164

 

28 501

 

Discounted cash flow

 

Market related interest rates

 

Level 3*

 

*The fair value of these instruments approximates their carrying value, due to their short-term nature.

 

** The carrying value of cash is considered to reflect its fair value.

 

*** Relates to the embedded derivative contained in the long-term oxygen supply contract to our Secunda Synfuels Operations. On initial application of IFRS 16 on 1 July 2019, the IAS 17 finance lease relating to the contract was derecognised as the arrangement did not meet the revised definition of a lease under IFRS 16, and an embedded derivative was recognised. The monthly payments consist of fixed fees which are denominated in USD and ZAR and increase in line with US and ZAR labour and inflation indices. This resulted in the presence of an embedded derivative in the arrangement, which has been separately recognised as a financial instrument measured at fair value through profit or loss. The initial impact of recognising the embedded derivative of R624 million was recognised directly in retained earnings while subsequent fair value adjustments of R1,6 billion were recognised in other operating expenses in the income statement.

 

 

 

Foreign currency risk  
Financial risk management and financial instruments  
Schedules of information related to foreign currency risk and commodity price risk

 

 

 

 

2020

 

2019

 

 

 

Euro Rm

 

US dollar
Rm

 

Euro Rm

 

US dollar
Rm

 

Long-term receivables

 

—   

 
427

 

—  

 

—

 

Trade and other receivables

 
394

 

3 218 

 

515

 

2 375

 

Cash and cash equivalents

 

1 476

 
964

 

1 470

 

1 256

 

Net exposure on assets

 

1 870

 

4 609

 

1 985

 

3 631

 

Long-term debt (including lease liabilities)

 
(119

)
(718

)
(122

)

(1 851

)

Trade and other payables

 
(268

)

(1 674

)
(186

)

(1 077

)

Net exposure on liabilities

 
(387

)

(2 392

)
(308

)

(2 928

)

Exposure on external balances

 

1 483

 

2 217

 

1 677

 
703

 

Net exposure on balances between group companies*

 

(2 046

)

(31 894

)

(1 135

)

(22 132

)

Total net exposure

 
(563

)

(29 677

)
542

 

(21 429

)

 

* The US$ increase relates to additional funding provided to the LCCP by Sasol Investment Company.

 

 

Schedule of sensitivity analysis

 

 

 

2020

 

2019

 

 

 

Equity
Rm

 

Income
statement
Rm

 

Equity
Rm

 

Income
statement
Rm

 

Euro

 
(56

)
(56

)
54

 
54

 

US dollar

 

(2 968

)

(2 968

)

(2 143

)

(2 143

)

 

 

Interest rate risk  
Financial risk management and financial instruments  
Schedule of sensitivity analysis

 

 

 

Income statement — 1% increase

 

 

 

South Africa
Rm

 

Europe
Rm

 

United States of
America
Rm

 

Other
Rm

 

30 June 2020

 
110

 
15

 
(761

)
21

 

30 June 2019

 
27

 
15

 
(433

)
12

 

 

 

 

 

 

Income statement — 1% decrease

 

 

 

South Africa
Rm

 

Europe*
Rm

 

United States of
America*
Rm

 

Other*
Rm

 

30 June 2020

 
(110

)
(15

)
761

 
(21

)

30 June 2019

 
(27

)
(15

)
433

 
(12

)

 

*A decrease of 1% in interest rates for the United States of America and Europe will not have an effect on the income statement as it is not considered reasonably possible that the repo interest rates will decrease below 0%.

 

 

Schedule of information about cash flow hedges

 

 

 

 

Average
fixed
rate

 

 

 

Fair value loss
recognised in
other
comprehensive
income
2020

 

Fair value loss
recognised in
other
comprehensive
income
2019

 

Recognised in
profit and loss
2020

 

Recognised
in profit
and loss
2019

 

 

 

%

 

Expiry

 

Rm

 

Rm

 

Rm

 

Rm

 

Interest rate swap derivatives US$ — pay fixed rate receive floating rate

 

 

 

 

 

 

 

 

 

 

 

 

 

North America**

 
2,82

 

December
2026

 

(2 192

)
(285

)
(4

)

(1 485

)  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mozambique

 
2,80

 

February 2030

 

—

 

—

 
(97

)
10

 

 

** The interest rate swap was redesignated as a hedging instrument in a cash flow hedge during the current year, with hedge accounting resumed. Losses incurred on the movement in the swap derivative are recognised in other comprehensive income. 2019 also included a gain of R115 million relating to the reclassification of the swap to profit and loss on termination of the hedge relationship.

 

 

Commodity price risk - crude oil  
Financial risk management and financial instruments  
Schedules of information related to foreign currency risk and commodity price risk

 

 

 

 

Dated Brent Crude

 

 

 

2020
US$

 

2019
US$

 

High

 
69,96

 
86,16

 

Average

 
51,22

 
68,63

 

Low

 
13,24

 
50,21

 

 

The following futures were in place at 30 June:

 

 

 

Contract
amount
2020
Rm

 

Fair value
2020
Rm

 

Within
one year
2020
Rm

 

Contract
amount
2019
Rm

 

Fair value
2019
Rm

 

Within
one year
2019
Rm

 

Crude oil futures

 
716

 
(66

)
(66

)

1 521

 
(27

)
(27

)

Other commodity derivatives

 
109

 
(92

)
(92

)
254

 
21

 
21

 

 

 

Schedule of sensitivity analysis

 

 

 

2020
Rm

 

2019
Rm

 

Crude oil

 
(81

)
(193

)