Annual Financial Statements for the year ended 30 June 2021 0 - Book - Page 142
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SASOL LIMITED GROUP
Other disclosures continued
40 Financial risk management and financial instruments continued
40.2 Fair value continued
Sensitivity analysis
The fair value of significant derivatives held for trading is impacted by a number of market observable variables at valuation date.
The sensitivities provided below reflect the impact on fair value as a result of movements in the significant input variables utilised
for valuation purposes:
Volatility
30 June 2021
Crude oil swap options
Ethane swap options
Foreign exchange zero cost
collars
Crude oil zero-cost collar
Interest rate swap
+2%
Ethane price
-2%
Rm
Rm
Rm
Rm
Rm
30 June 2020
86
(29)
+USD 2
/bbl
-USD 2
/bbl
(385)
385
(382)
382
Rand/US$*
+R1/
US$
-R1/
US$
(1 702)
1 702
US$ Libor
curve**
-0,5%
(14)
(86)
29
559
Ethane price
+2%
-2%
+USD 2
c/gal
Rm
Rm
Rm
Rm
Rm
-USD 2
c/gal
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Volatility
Crude oil put options
Ethane swap options
Foreign exchange zero cost
collars
Crude oil zero-cost collar
Interest rate swap
+USD 2
c/gal
Crude oil price
329
(196)
(12)
Crude oil price
-USD 2
c/gal
+USD 2
/bbl
US$ Libor
curve**
Rand/US$*
-USD 2
/bbl +R1/US$
(45)
55
(81)
72
-R1/US$
-0,5%
(329)
209
14
(2 504)
2 172
811
*
A weakening of the Rand/US$ spot exchange rate of R3,24 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 R3,24/US$, up to the cap of R17,52, before losses are incurred on the derivatives.
** Sensitivities on the downward shift has been limited by the low US$ Libor at 30 June 2021.
US$/Rand Spot price
30 June 2021
Oxygen supply contract
embedded derivative
+R1/US$
Rm
(601)
US$ Swap curve
-R1/US$
+0,1%
601
98
US$/Rand Spot price
30 June 2020
Oxygen supply contract
embedded derivative
+R1/US$
Rm
(506)
Rand Swap curve
-0,1%
(99)
US$ Swap curve
-R1/US$
+0,1%
506
117
+1,0%
-1,0%
(825)
955
Rand Swap curve
-0,1%
(120)
+1,0%
(724)
-1,0%
860
The fair value of the embedded derivative financial instrument contained in a long-term oxygen supply contract to our Secunda
Operations is impacted by a number of observable and unobservable variables at valuation date. The sensitivities provided above
reflect the impact on fair value as a result of movements in the significant input variables utilised for valuation purposes.
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Sasol Annual Financial Statements 2021