Annual Financial Statements for the year ended 30 June 2021 0 - Book - Page 141
466
498
8
13
–
1 422
3 879
25
1 390
5 799
1 436
645
887
–
27 218
31 231
22 066
34 739
Listed long-term debt
72 226
50 701
Unlisted long-term debt
Short-term debt and bank
overdraft
Trade and other payables
34 274
303
109 724
22 533
22 637
Commodity and currency
derivative liabilities
Interest rate swap
Financial instrument
Valuation method
Significant inputs
Quoted market price for
the same instrument
Discounted cash flow
Quoted market price for the
same instrument
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.
Market related interest rates.
²
Market related interest rates.
Fair value
hierarchy
of inputs
Financial assets
Non-derivative
instruments
Investments in listed
securities
Investments in unlisted
securities
Other long-term
investments
Long-term receivables
Discounted cash flow
²
Discounted cash flow
Level 1
Level 3
Level 3
Level 1²
Level 3
Derivative instruments
Commodity and currency
derivative assets
Embedded derivative³,⁴
Trade and other receivables
Cash and cash equivalents
Forward rate interpolator
model, appropriate
currency specific discount
curve, discounted expected
cash flows, numerical
approximation
Forward rate interpolator
model, , discounted
expected cash flows,
numerical approximation,
as appropriate
Discounted cash flow
²
Forward exchange contracted
Level 2
rates, market foreign exchange
rates, forward contract rates,
market commodity prices, crude
oil prices
Quoted market price for
the same instrument
Discounted cash flow
Discounted cash flow
Quoted market price for the
same instrument
Market related interest rates
Market related interest rates
Level 1
21 164
Discounted cash flow
Market related interest rates
Level 3¹
2 456
3 435
Forward exchange contracted
Level 2
rates, coal prices, market foreign
exchange rates
2 103
4 143
514
2 183
Forward rate interpolator
model, discounted
expected cash flows,
numerical approximation
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,
as appropriate
US PPI index, US labour index, US Level 3
Dollar and ZAR treasury curves,
Rand zero swap discount rate,
interpolated EUR/ZAR forward
rate
Market related interest rates.
Level 3¹
²
Level 1²
SASOL LIMITED GROUP
CONSOLIDATED FINANCIAL STATEMENTS
Fair value
30 June
2020
NOTES TO THE FINANCIAL STATEMENTS
Fair value
30 June
2021
Derivative instruments
Embedded derivatives³
US$ Overnight Indexed
Swap (OIS) curve, recovery
probabilities
Level 2
US PPI, US labour index, US
Dollar and ZAR treasury curves,
Rand zero swap discount rate
Level 3
1 The fair value of these instruments approximates their carrying value, due to their short-term nature.
2 The carrying value of cash is considered to reflect its fair value.
3 The group entered into two long-term gas supply agreements to our Secunda Operations commencing in 2018 and 2021 respectively. In terms of
these agreements, Sasol pays a fixed fee over the duration of the agreement for the supply of oxygen and other gasses. A portion of the fixed fee is
payable in US dollar and escalates based on US labour and inflation indices. This resulted in two embedded derivatives being separately recognised
as a financial asset (R256 million) and financial liability (R514 million; 2020 – R2 183 million) measured at fair value through profit or loss. The
decrease in the derivative liability compared to 2020 is as a result of the strengthening of the rand.
4 Relating to the long-term gas supply agreement entered into in 2021, a portion of this fixed fee is determined with reference to the ZAR/EUR
exchange rate on the effective date of the agreement. Thereafter this fixed fee does not escalate and it will be payable in rand over the term of
the contract. Sasol's exposure to foreign currency fluctuations from the date of signing the sales agreement up to the effective date of the sale
when the EUR fixed fee was fixed is separately recognised as an embedded derivative at fair value through profit or loss. The carrying value of the
derivative at 30 June 2021 was R631 million.
There were no transfers between levels for recurring fair value measurements during the year. There was no change in valuation
techniques compared to the previous financial year.
139
Sasol Annual Financial Statements 2021
OTHER
Level 3
Level 3¹
SASOL LIMITED COMPANY
Financial liabilities
Non-derivative
instruments