Annual Financial Statements for the year ended 30 June 2021 0 - Book - Page 140
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SASOL LIMITED GROUP
Other disclosures continued
40 Financial risk management and financial instruments continued
40.1 Financial risk management continued
Contract/Notional amount*
Open Settled
2021
2021
Million Million
Open
2020
Million
Average price**
Settled
2020
Million
Floor
2021
Cap
2021
Floor
2020
Cap
2020
40,5
43,2
60,1
67,2
–
–
72,0
34,5
–
31,8
–
–
39,9
23,2
–
19,8
–
14,54
17,52
14,80
17,77
Derivatives financial
instruments
Crude oil put options
purchased***
Crude oil put options sold****
Crude oil zero cost collars
Crude oil swap options
Crude oil futures
Ethane swap options
Foreign exchange contracts
Foreign exchange zero cost
collars
*
**
***
****
barrels
barrels
barrels
barrels
US$
barrels
US$
US$
10,0
(10,0)
24,0
18,0
108
4,0
262
2 800
(32,5)
–
5,1
–
–
26,2
–
5 370
5,5
–
3,1
–
36
21,5
481
5 370
1,0 US$/bbl
– US$/bbl
– US$/bbl
5,0 US$/bbl
–
17,4 US$ c/gal
–
4 725
R/US$
The notional amount is the sum of the absolute value of all contracts for both derivative assets and liabilities.
For open positions,
Total premium paid for contracts entered into in the year US$93,8 million (2020: US$17,4).
Oil put hedges of 23,5 million barrels for financial year 2022 have been restructured and replaced by a zero cost collar hedging structure. Put
options for 13,5 million barrels have been terminated while put options for 10,0 million barrels have been sold.
40.2 Fair value
Various valuation techniques and assumptions are utilised for the purpose of calculating fair value.
The group does not hold any financial instruments traded in an active market, except for the investment in listed equity instruments.
Fair value is determined using valuation techniques as outlined below. Where possible, inputs are based on quoted prices and other
market determined variables.
Fair value hierarchy
The following table is provided representing the assets and liabilities measured at fair value at reporting date, or for which fair value
is disclosed at reporting date.
The calculation of fair value requires various inputs into the valuation methodologies used.
The source of the inputs used affects the reliability and accuracy of the valuations. Significant inputs have been classified into the
hierarchical levels in line with IFRS 13, as shown below.
There have been no transfers between levels in the current year. Transfers between levels are considered to have occurred at the date
of the event or change in circumstances.
Level 1
Quoted prices in active markets for identical assets or liabilities.
Level 2 Inputs other than quoted prices that are observable for the asset or liability (directly or indirectly).
Level 3 Inputs for the asset or liability that are unobservable.
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Sasol Annual Financial Statements 2021