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Risk management | 6 Months Ended
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Jun. 30, 2022
Risk Management |
Risk management |
| 27. | Risk management
| 27.1. | Derivative financial instruments
A summary of the positions of the derivative financial instruments held by the Company and recognized in other current assets and liabilities as of June 30, 2022 , as well as the amounts recognized in the statement of income and other comprehensive income and the guarantees given is set out as follows: Schedule of statement of financial position
|  | Statement of Financial Position
|  |  |  | Fair value |
| Notional value | Asset Position (Liability) | Maturity
| 06.30.2022 | 12.31.2021 | 06.30.2022 | 12.31.2021 |
Derivatives not designated for hedge accounting |  |  |  |  |
Future contracts - total (*) | (3,884) | (1,308) | 39 | (1) |
Long position/Crude oil and oil products | 5,242 | 1,380 | - | - | 2022
Short position/Crude oil and oil products | (9,126) | (2,688) | - | - | 2022
Swap (**) |  |  |  |  | −
Long put/ Soybean oil (**) | (13) | (11) | 2 | - | 2022
Options |  |  |  |  |
Long put/ Soybean oil (**) | (25) | − | 2 | - | 2022
Forward contracts |  |  |  |  |
Short position/Foreign currency (BRL/USD) (***) | US$ 64 | US$ 15 | (3) | - | 2022
Short position/Foreign currency (EUR/USD) (***) | EUR 94 | - | (1) | − | 2022
Swap |  |  |  |  |
Foreign currency / Cross-currency Swap (***) | GBP 583 | GBP 583 | (31) | 23 | 2026
Foreign currency / Cross-currency Swap (***) | GBP 442 | GBP 442 | (137) | (50) | 2034
Swap - IPCA | R$ 3,008 | R$ 3,008 | (7) | (1) | 2029/2034
Foreign currency / Cross-currency Swap (***) | US$ 729 | US$ 729 | (102) | (221) | 2024/2029
Total recognized in the Statement of Financial Position |  |  | (238) | (250) |
(*) Notional value in thousands of bbl.
(**) Notional value in thousands of tons.
(***) Amounts in US$, GBP, EUR and R$ are presented in million.
Schedule of Amounts Recognized and Guarantees Given Related to Derivative Financial Instrument
| Gains/ (losses) recognized in the statement of income
| Jan-Jun/2022 | Jan-Jun/2021 | Apr-Jun/2022 | Apr-Jun/2021
Commodity derivatives |  |  |  |
Other commodity derivative transactions - 27.2 (a) | (222) | (42) | (169) | (19)
Recognized in Other Income and Expenses | (222) | (42) | (169) | (19)
Currency derivatives |  |  |  |
Swap Pounds Sterling x Dollar - 27.3 (b) | (156) | (3) | (126) | (32)
NDF – Pounds Sterling x Dollar - 27.3 (b) | − | 9 | − | 5
Swap CDI x Dollar - 27.3 (b) | 147 | 56 | (22) | 84
Others | − | 1 | − | −
| (9) | 63 | (148) | 57
Interest rate derivatives |  |  |  |
Swap - CDI X IPCA | (16) | (10) | (15) | 18
| (16) | (10) | (15) | 18
Cash flow hedge on exports (*) | (2,488) | (2,307) | (1,108) | (1,194)
Recognized in Net finance income (expense) | (2,513) | (2,254) | (1,271) | (1,119)
Total | (2,735) | (2,296) | (1,440) | (1,138)
(*) | As presented in note 27.3
Schedule of Amounts Recognized and Guarantees Given Related to Derivative Financial Instrument of comprehensive income
| Gains/ (losses) recognized in other comprehensive income
| Jan-Jun/2022 | Jan-Jun/2021 | Apr-Jun/2022 | Apr-Jun/2021
Cash flow hedge on exports (*) | 7,561 | 4,758 | (5,415) | 9,236
(*) | As presented in note 27.3 |  |  |  |
Schedule of guarantees given as collateral
|  |  | Guarantees given as collateral
|  |  | 06.30.2022 | 12.31.2021
Commodity derivatives |  |  | 111 | 15
Currency derivatives |  |  | 134 | 27
Total |  |  | 245 | 42
A sensitivity analysis of the derivative financial instruments for the different types of market risks as of June 30, 2022 is set out as follows:
Financial Instruments | Risk | Probable Scenario | Reasonably possible scenario | Remote Scenario
Derivatives not designated for hedge accounting |  |  |  |
Future and forward contracts | Crude oil and oil products - price changes | - | (192) | (384)
Future and forward contracts | Soybean oil - price changes | 2 | 7 | 17
Option | Soybean oil – price changes | 2 | 3 | 141
Non-deliverable forwards (NDF) | Foreign currency - depreciation BRL x USD | (3) | 18 | 33
|  | 1 | (164) | (323)
The probable scenario uses market references, used in pricing models for oil, oil products and natural gas markets, and takes into account the closing price of the asset on June 30, 2022. Therefore, no variation is considered arising from outstanding operations in this scenario. The reasonably possible and remote scenarios reflect the potential effects on the statement of income from outstanding transactions, considering a variation in the closing price of 25% and 50%, respectively. To simulate the most unfavorable scenarios, the variation was applied to each asset according to open transactions: price decrease for long positions and increase for short positions.
| 27.2. | Risk management of products prices
The Company is usually exposed to commodity price cycles, although it may use derivative instruments to hedge exposures related to prices of products purchased and sold to fulfill operational needs and in specific circumstances depending on business environment analysis and assessment of whether the targets of the Strategic Plan are being met.
| a) | Other commodity derivative transactions
Petrobras, by use of its assets, positions and market knowledge from its operations in Brazil and abroad, occasionally seeks to optimize some of its commercial operations in the international market, with the use of commodity derivatives to manage price risk.
| 27.3. | Foreign exchange risk management
| a) | Cash Flow Hedge involving the Company’s future exports
The carrying amounts, the fair value as of June 30, 2022, and a schedule of expected reclassifications to the statement of income of cumulative losses recognized in other comprehensive income (shareholders’ equity) based on a US$ 1.00 / R$ 5.2380 exchange rate are set out below: Schedule of expected reclassifications to the statement of income of cumulative losses
|  |  | Present value of hedging instrument notional value at 06.30.2022
Hedging Instrument | Hedged Transactions | Nature of the Risk | Maturity Date | US$ million | R$ million
Foreign exchange gains and losses on proportion of non-derivative financial instruments cash flows | Foreign exchange gains and losses of highly probable future monthly exports revenues | Foreign Currency – Real vs U.S. Dollar Spot Rate | July 2022 to June 2032 | 64,626 | 338,509
Changes in the present value of hedging instrument notional value | US$ million | R$ million
Amounts designated as of December 31, 2021 | 72,640 | 405,370
Additional hedging relationships designated, designations revoked and hedging instruments re-designated | 6,162 | 32,036
Exports affecting the statement of income | (5,794) | (29,264)
Principal repayments / amortization | (8,382) | (42,533)
Foreign exchange variation | - | (27,100)
Amounts designated as of June 30, 2022 | 64,626 | 338,509
Nominal value of hedging instrument (finance debt and lease liability) at June 30, 2022 | 75,052 | 393,121
In the first half of 2022, the Company recognized a US $83 loss within foreign exchange gains (losses) due to ineffectiveness (a US$ 15 gain in the same period of 2021). The average ratio of future exports for which cash flow hedge accounting was designated to the highly probable future exports is 62.77%. A roll-forward schedule of cumulative foreign exchange losses recognized in other comprehensive income as of June 30, 2022 is set out below: Schedule of cumulative foreign exchange losses recognized
| Exchange rate variation | Tax effect | Total
Balance at December 31, 2021 | (36,621) | 12,452 | (24,169)
Recognized in Other comprehensive income | 5,073 | (1,725) | 3,348
Reclassified to the statement of income - occurred exports | 2,488 | (846) | 1,642
Balance at June 30, 2022 | (29,060) | 9,881 | (19,179)
| Exchange rate variation | Tax effect | Total
Balance at December 31, 2020 | (37,257) | 12,667 | (24,590)
Recognized in Other comprehensive income | 2,451 | (833) | 1,618
Reclassified to the statement of income - occurred exports | 2,307 | (784) | 1,523
Balance at June 30, 2021 | (32,499) | 11,050 | (21,449)
Additional hedging relationships may be revoked or additional reclassification adjustments from equity to the statement of income may occur as a result of changes in forecasted export prices and export volumes following a revision of the Company’s strategic plan. Based on a sensitivity analysis considering a US$ 10/barrel decrease in Brent prices stress scenario, when compared to the Brent price projections in the Strategic Plan 2022-2026, would not indicate a reclassification from equity to the statement of income. A schedule of expected reclassification of cumulative foreign exchange losses recognized in other comprehensive income to the statement of income as of June 30, 2022 is set out below: Schedule of reclassification of cumulative foreign exchange losses recognized
| 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | 2028 a 2031 | Total
Expected realization | (4,281) | (7,051) | (5,289) | (3,329) | (2,828) | (3,040) | (3,242) | (29,060)
| b) | Information on ongoing contracts
As of June 30, 2022, the Company has outstanding swap contracts - IPCA x CDI and CDI x Dollar, as well as Swap - Pound sterling x Dollar. Swap contracts – IPCA x CDI and CDI x Dollar Changes in future interest rate curves (CDI) may have an impact on the Company's results, due to the market value of these swap contracts. The parallel shock was estimated from the average term of swap contracts (25% of the future interest rate). A sensitivity analysis on CDI through a parallel shock keeping all other variables remaining constant, would result in the impacts shown in the following table:
Sensitivity Analysis | Result
Parallel increase of 300 basis points | (29)
Parallel reduction of 300 basis points | 48
| c) | Sensitivity analysis for foreign exchange risk on financial instruments
A sensitivity analysis is set out below, showing the probable scenario for foreign exchange risk on financial instruments, computed based on external data along with reasonably possible and remote scenarios (25% and 50% changes in the foreign exchange rates prevailing on June 30, 2022, respectively), except for assets and liabilities of foreign subsidiaries, when transacted in a currency equivalent to their respective functional currencies. This analysis only covers the exchange rate variation and maintains all other variables constant. Schedule of sensitivity analysis for foreign exchange risk on financial instruments
Financial Instruments | Exposure at 06.30.2022 | Risk | Probable Scenario (*) | Reasonably possible scenario | Remote Scenario
Assets | 4,458 |  | 10 | 1,115 | 2,229
Liabilities | (86,164) | Dollar/Real | (197) | (21,541) | (43,082)
Exchange rate - Cross currency swap | (574) |  | (1) | (144) | (287)
Cash flow hedge on exports | 64,626 |  | 148 | 16,156 | 32,313
| (17,654) |  | (40) | (4,414) | (8,827)
Assets | 3 | Euro/Real | − | 1 | 2
Liabilities | (128) |  | (1) | (32) | (64)
| (125) |  | (1) | (31) | (62)
Assets | 936 | Euro/Dollar | 3 | 234 | 468
Liabilities | (1,869) |  | (6) | (467) | (935)
| (933) |  | (3) | (233) | (467)
Assets | 2 | Pound/Real | − | 1 | 1
Liabilities | (20) |  | − | (5) | (10)
| (18) |  | − | (4) | (9)
Assets | 1,661 | Pound/Dollar | 5 | 415 | 830
Liabilities | (3,267) |  | (9) | (817) | (1,634)
Derivative - cross currency swap | 1,246 |  | 4 | 312 | 623
| (360) |  | − | (90) | (181)
Total at June 30, 2022 | (19,090) |  | (44) | (4,772) | (9,546)
(*) | At June 30, 2022, the probable scenario was computed based on the following risks: R$ x U.S. Dollar - a 0.23% depreciation of the Real; Euro x U.S. Dollar: a 0.3% appreciation of the Euro; Pound Sterling x U.S. Dollar: a 0.29% appreciation of the Pound Sterling; Real x Euro: a 0.5% depreciation of the Real; and Real x Pound Sterling - a 0.5% depreciation of the Real. Source: Focus and Thomson Reuters.
| 27.4. | Interest rate risk management
The Company considers that interest rate risk does not create a significant exposure and therefore, preferably does not use derivative financial instruments to manage interest rate risk, except for specific situations faced by certain subsidiaries of Petrobras. The sensitivity analysis of interest rate risk presented in the table below is carried out for a 12-month term. Amounts referring to reasonably possible and remote scenarios mean the total floating interest expense if there is a variation of 25% and 50% in these interest rates, respectively, maintaining all other variables constant. Schedule of interest rate risk management
Risk |  | Probable Scenario (*) | Reasonably possible scenario | Remote Scenario
LIBOR 3M |  | 9 | 11 | 12
LIBOR 6M |  | 529 | 603 | 677
CDI |  | 138 | 173 | 207
TJLP |  | 69 | 87 | 104
IPCA |  | 89 | 111 | 133
|  | 834 | 985 | 1,133
(*) | The probable scenario was calculated considering the quotations of currencies and floating rates to which the debts are indexed.
| 27.5. | Liquidity risk management
The possibility of a shortage of cash or other financial assets in order to settle the Company’s obligations on the agreed dates is managed by the Company. Following its liability management strategy, the Company regularly evaluates market conditions and may enter into transactions to repurchase its own securities or those of its affiliates, through a variety of means, including tender offers, make whole exercises and open market repurchases, in order to improve its debt repayment profile and cost of debt.

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