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v3.22.2.2

Risk management (Tables) | 6 Months Ended
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Jun. 30, 2022
Risk Management |
Schedule of statement of financial position | 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 | 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 | 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 | 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: | 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)
Schedule of expected reclassifications to the statement of income of cumulative losses | 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
Schedule of cumulative foreign exchange losses recognized | 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)
Schedule of reclassification of cumulative foreign exchange losses recognized | 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)
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: | 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
Schedule of sensitivity analysis for foreign exchange risk on financial instruments | 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.
Schedule of interest rate risk management | 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.

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