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Financial and capital risk management | 6 Months Ended
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Jun. 30, 2021
Financial and capital risk management |
Financial and capital risk management |
16. | Financial and capital risk management
a) Effects of derivatives on the balance sheet ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Assets
​ | ​ | June 30, 2021 | ​ | December 31, 2020
​ |  | Current |  | Non-current |  | Current |  | Non-current
Foreign exchange and interest rate risk |  |  |  |  |  |  |  |
CDI & TJLP vs. US$ fixed and floating rate swap |  | 1 |  | 1 |  | — |  | —
IPCA swap |  | 9 |  | 42 |  | 7 |  | 38
Eurobonds swap |  | — |  | — |  | — |  | 3
Pre-dollar swap and forward (NDF) |  | 98 |  | 144 |  | — |  | 9
Libor swap |  | — |  | 5 |  | — |  | —
​ |  | 108 |  | 192 |  | 7 |  | 50
Commodities price risk |  |  |  |  |  |  |  |
Base metals products |  | 6 |  | 1 |  | 30 |  | —
Gasoil, Brent and freight |  | 100 |  | — |  | 97 |  | —
​ |  | 106 |  | 1 |  | 127 |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Others |  | — |  | 15 |  | — |  | 16
​ |  | — |  | 15 |  | — |  | 16
Total |  | 214 |  | 208 |  | 134 |  | 66
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Liabilities
​ | ​ | June 30, 2021 | ​ | December 31, 2020
​ |  | Current |  | Non-current |  | Current |  | Non-current
Foreign exchange and interest rate risk |  |  |  |  |  |  |  |
CDI & TJLP vs. US$ fixed and floating rate swap |  | 96 |  | 408 |  | 111 |  | 525
IPCA swap |  | — |  | 92 |  | 72 |  | 100
Eurobonds swap |  | — |  | — |  | 4 |  | —
Pre-dollar swap and forward (NDF) |  | 48 |  | 9 |  | 63 |  | 58
Libor swap |  | 2 |  | 2 |  | 1 |  | 6
​ |  | 146 |  | 511 |  | 251 |  | 689
Commodities price risk |  |  |  |  |  |  |  |
Base metals products |  | 46 |  | — |  | 46 |  | —
Gasoil, Brent and freight |  | — |  | — |  | 13 |  | —
Thermal coal |  | 2 |  | 10 |  | — |  | —
​ |  | 48 |  | 10 |  | 59 |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Others |  | 10 |  | — |  | 18 |  | —
Total |  | 204 |  | 521 |  | 328 |  | 689
​ a.i) Net exposure ​
​ | ​ | ​ | ​ | ​
​ |  | June 30, 2021 |  | December 31, 2020
Foreign exchange and interest rate risk |  |  |  |
CDI & TJLP vs. US$ fixed and floating rate swap |  | (502) |  | (636)
IPCA swap |  | (41) |  | (127)
Eurobonds swap |  | — |  | (1)
Pre-dollar swap and forward (NDF) |  | 185 |  | (112)
Libor swap (i) |  | 1 |  | (7)
​ |  | (357) |  | (883)
Commodities price risk |  |  |  |
Base metals products |  | (39) |  | (16)
Gasoil, Brent and freight |  | 100 |  | 84
Thermal coal |  | (12) |  | —
​ |  | 49 |  | 68
​ | ​ | ​ | ​ | ​
Others |  | 5 |  | (2)
​ |  | 5 |  | (2)
Total |  | (303) |  | (817)
(i)In July 2017, the U.K. Financial Conduct Authority (FCA), which regulates the London Interbank Offered Rate (‘‘LIBOR’’), announced the effective discontinuation of LIBOR. After June 30, 2023, the FCA will no longer require panel banks to submit quotes for any U.S. dollar LIBOR settings. The Company is currently evaluating the potential impact of the eventual replacement of the LIBOR interest rate. ​ a.ii)Effects of derivatives on the income statement and cash flows ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Gain (loss) recognized in the income statement
​ | ​ | Three-month period ended June 30, | ​ | Six-month period ended June 30,
​ |  | 2021 |  | 2020 |  | 2021 |  | 2020
Foreign exchange and interest rate risk | ​ |  | ​ |  | ​ |  | ​ |
CDI & TJLP vs. US$ fixed and floating rate swap |  | 326 |  | (185) |  | 52 |  | (865)
IPCA swap |  | 54 |  | (24) |  | 69 |  | (256)
Eurobonds swap |  | — |  | 7 |  | (28) |  | (27)
Pre-dollar swap and forward (NDF) |  | 411 |  | (28) |  | 206 |  | (173)
Libor swap |  | (3) |  | ​ |  | 7 |  | —
​ |  | 788 |  | (230) |  | 306 |  | (1,321)
Commodities price risk |  |  |  |  |  |  |  |
Base metals products |  | — |  | — |  | (2) |  | (1)
Gasoil, Brent and freight |  | 64 |  | 99 |  | 108 |  | (246)
​ |  | 64 |  | 99 |  | 106 |  | (247)
Others |  | 4 |  | 45 |  | 5 |  | 98
​ |  | 4 |  | 45 |  | 5 |  | 98
Total |  | 856 |  | (86) |  | 417 |  | (1,470)
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | Financial settlement inflows (outflows)
​ | ​ | Three-month period ended June 30, | ​ | Six-month period ended June 30,
​ | ​ | 2021 |  | 2020 |  | 2021 |  | 2020
Foreign exchange and interest rate risk |  |  |  |  |  |  |  |
CDI & TJLP vs. US$ fixed and floating rate swap |  | (9) |  | (33) |  | (99) |  | (51)
IPCA swap |  | — |  | — |  | (18) |  | —
Eurobonds swap |  | — |  | — |  | (29) |  | (6)
Pre-dollar swap and forward (NDF) |  | (2) |  | 8 |  | (77) |  | (13)
Libor swap |  | — |  | — |  | (1) |  | —
​ |  | (11) |  | (25) |  | (224) |  | (70)
Commodities price risk |  |  |  |  |  |  |  |
Base metals products |  | (1) |  | 38 |  | (8) |  | 292
Gasoil, Brent and freight |  | 72 |  | (129) |  | 92 |  | (130)
​ |  | 71 |  | (91) |  | 84 |  | 162
Others |  | — |  | 2 |  | 1 |  | 67
​ |  | — |  | 2 |  | 1 |  | 67
Total |  | 60 |  | (114) |  | (139) |  | 159
​ a.iii) Hedge accounting ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Gain (loss) recognized in the other comprehensive income
​ | ​ | Three-month period ended June 30, | ​ | Six-month period ended June 30,
​ |  | 2021 |  | 2020 |  | 2021 |  | 2020
Net investments hedge |  | 202 |  | (119) |  | 42 |  | (639)
Thermal Coal Cash flow hedge |  | (7) |  | — |  | (7) |  | —
Cash flow hedge (Nickel and Palladium) |  | (28) |  | (49) |  | (19) |  | 15
​ Net investment hedge: ​ In March 2021, the Company redeemed all its euro bonds (note 19). As a result, the amount of debt designated as a hedge instrument for this investment is US$2,331 as at June 30,2021. ​ Cash flow hedge (Thermal Coal): ​ To reduce the volatility of its cash flow as a result of fluctuations in thermal coal prices, in May 2021, the Company implemented a Thermal Coal Revenue Hedge Program. Under this program, hedge transactions were executed through forward contracts to protect a portion of the projected sales of this product at fluctuating prices that is highly probable to occur. Hedge accounting treatment is being given to the program. The contracts are traded over-the-counter and the cash settlement in/out results are offset by the protected items' loss/gain results due to thermal coal price variations. In July 2021 (subsequent event), the Company also implemented a Metallurgical Coal Revenue Hedge program applying the same strategy. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Financial | ​ | ​ | ​ | ​
​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | settlement |  | ​ |  | ​
​ | ​ | Notional (ton) | ​ | ​ | ​ | ​ | ​ | Fair value | ​ | Inflows | ​ | ​ | ​ | Fair value
​ | ​ | June 30, | ​ | December 31, | ​ | Bought / | ​ | Average strike | ​ | June 30, | ​ | December 31, | ​ | (Outflows) | ​ | Value at Risk | ​ | by year
Flow | ​ | 2021 | ​ | 2020 |  | Sold |  | (US$/t oz) | ​ | 2021 | ​ | 2020 | ​ | June 30, 2021 | ​ | June 30, 2021 |  | 2021
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Coal Revenue Hedging Program | ​ |  | ​ |  |  |  |  |  | ​ |  | ​ |  | ​ |  | ​ |  |  |
Call Options | ​ | 600,000 | ​ | — |  | S |  | 108 | ​ | (10) | ​ | — | ​ | (2) | ​ | 3 |  | (10)
Put Options | ​ | 390,000 | ​ | — |  | B |  | 105 | ​ | (1) | ​ | — | ​ | (1) | ​ | 6 |  | (1)
Total | ​ | ​ | ​ | ​ |  | ​ |  | ​ | ​ | (11) | ​ | — | ​ | (3) | ​ | 9 |  | (11)
​ Cash Flow Hedge (Nickel): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Financial | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | settlement | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Inflows | ​ | ​ | ​ | ​
​ | ​ | Notional (ton) | ​ | ​ | ​ | ​ | ​ | Fair value |  | (Outflows) | ​ | Value at Risk | ​ | Fair value by year
​ |  | June 30, |  | December 31, |  | Bought / | ​ | Average strike |  | June 30, |  | December 31, |  | June 30, |  | June 30, |  | ​
Flow |  | 2021 |  | 2020 |  | Sold |  | (US$/ton) |  | 2021 |  | 2020 |  | 2021 |  | 2021 |  | 2021
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Nickel Revenue Hedging Program (i) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Call options |  | 35,120 |  | 58,620 |  | S | ​ | 17,618 |  | (41) |  | (46) |  | (9) |  | 10 |  | (41)
Put options | ​ | 35,120 | ​ | 58,620 | ​ | B | ​ | 15,000 | ​ | 3 | ​ | 28 | ​ | — | ​ | 1 | ​ | 3
Total |  |  |  |  |  |  | ​ | ​ |  | (38) |  | (18) |  | (9) |  | 11 |  | (38)
(i) With the hedge structure, the company ensures prices between US$15,000/t and US$17,618/t for the program’s sales volume. Cash flow hedge (Palladium): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ | ​ | ​ |  | ​ |  | ​ |  | ​ | ​ | ​ |  | Financial settlement |  | ​ |  | Fair value
​ | ​ | Notional (t oz) | ​ | ​ | ​ | ​ | ​ | Fair value | ​ | Inflows (Outflows) | ​ | Value at Risk | ​ | by year
Flow | ​ | June 30, 2021 | ​ | December 31, 2020 | ​ | Bought / Sold | ​ | Average strike (US$/t oz) | ​ | June 30, 2021 | ​ | December 31, 2020 | ​ | June 30, 2021 | ​ | June 30, 2021 | ​ | 2021
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Palladium Revenue Hedging Program | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Call Options |  | 67,362 |  | 7,200 |  | S |  | 3,437 |  | (11) |  | (1) |  | — |  | 3 |  | (11)
Put Options |  | 67,362 |  | 7,200 |  | B |  | 2,397 |  | 14 |  | — |  | — |  | 3 |  | 14
Total |  | ​ |  | ​ |  | ​ |  | ​ |  | 3 |  | (1) |  | — |  | 6 |  | 3
​ b) Protection programs for the R$ and EUR denominated debt instruments and other liabilities ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Financial | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Settlement | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Inflows | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Notional | ​ | ​ | ​ | ​ | ​ | Fair value | ​ | (Outflows) | ​ | Value at Risk | ​ | Fair value by year
​ |  | June 30, |  | December 31, |  | ​ |  | Average |  | June 30, |  | December 31, |  | June 30, |  | June 30, |  | ​ | ​ | ​ | ​ | ​
Flow |  | 2021 |  | 2020 |  | Index |  | rate |  | 2021 |  | 2020 |  | 2021 |  | 2021 |  | 2021 |  | 2022 |  | 2023+
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
CDI vs. US$ fixed rate swap |  | ​ |  | ​ |  | ​ |  | ​ |  | (368) |  | (473) |  | (30) | ​ | 43 | ​ | (26) | ​ | (78) | ​ | (264)
Receivable |  | R$8,841 |  | R$9,445 |  | CDI |  | 100.53 | % | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Payable |  | US$2.072 |  | US$2.213 |  | Fix |  | 2.57 | % | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
TJLP vs. US$ fixed rate swap |  | ​ |  | ​ |  | ​ |  | ​ |  | (134) |  | (163) |  | (26) | ​ | 8 | ​ | (23) | ​ | (40) | ​ | (71)
Receivable |  | R$1,421 |  | R$1,651 |  | TJLP + |  | 1.12 | % | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Payable |  | US$390 |  | US$460 |  | Fix |  | 3.11 | % | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
R$fixed rate vs. US$ fixed rate swap |  | ​ |  | ​ |  | ​ |  | ​ |  | 62 |  | (111) |  | (85) | ​ | 26 | ​ | 10 | ​ | (26) | ​ | 78
Receivable |  | R$6,671 |  | R$2,512 |  | Fix |  | 3.58 | % | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Payable |  | US$1.265 |  | US$621 |  | Fix |  | (1.60) | % | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
IPCA vs. US$ fixed rate swap |  | ​ |  | ​ |  | ​ |  | ​ |  | (90) |  | (173) |  | (65) | ​ | 9 | ​ | 1 | ​ | — | ​ | (91)
Receivable |  | R$1,617 |  | R$2,363 |  | IPCA + |  | 4.54 | % |  |  |  |  |  |  |  |  |  |  |  |  |
Payable |  | US$400 |  | US$622 |  | Fix |  | 3.88 | % |  |  |  |  |  |  |  |  |  |  |  |  |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
IPCA vs. CDI swap |  | ​ |  | ​ |  | ​ |  | ​ |  | 49 |  | 45 |  | — |  | — |  | 7 |  | 42 |  | —
Receivable |  | R$726 |  | R$694 |  | IPCA + |  | 6.63 | % |  |  |  |  |  |  |  |  |  |  |  |  |
Payable |  | R$1,350 |  | R$550 |  | CDI |  | 98.76 | % |  |  |  |  |  |  |  |  |  |  |  |  |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
EUR fixed rate vs. US$ fixed rate swap |  | ​ |  | ​ |  | ​ |  | ​ |  | — |  | (1) |  | (29) |  | — |  | — |  | — |  | —
Receivable |  | — |  | EUR 500 |  | Fix |  | 0.00 | % |  |  |  |  |  |  |  |  |  |  |  |  |
Payable |  | — |  | US$613 |  | Fix |  | 0.00 | % |  |  |  |  |  |  |  |  |  |  |  |  |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Forward |  | R$7,020 |  | R$916 |  | B |  | 5.98 |  | 122 |  | (1) |  | 13 |  | 23 |  | 17 |  | 64 |  | 41
​ c) Protection program for Libor floating interest rate US$ denominated debt ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Financial | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Settlement | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Inflows | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Notional | ​ | ​ | ​ | ​ | ​ | Fair value | ​ | (Outflows) | ​ | Value at Risk | ​ | Fair value by year
Flow |  | June 30, 2021 |  | December 31, 2020 |  | Index |  | Average rate |  | June 30, 2021 |  | December 31, 2020 |  | June 30, 2021 | ​ | June 30, 2021 |  | 2021 |  | 2022 |  | 2023+
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Libor vs. US$fixed rate swap | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |  | 1 |  | (7) |  | (1) | ​ | 2 |  | (1) |  | — |  | 2
Receivable |  | US$950 |  | US$950 |  | Libor |  | 0.13 | % |  |  |  |  | ​ | ​ |  |  |  |  |  |  |
Payable |  | US$950 |  | US$950 |  | Fix |  | 0.48 | % |  |  |  |  | ​ | ​ |  |  |  |  |  |  |
​ d) Protection program for product prices and input costs ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Financial | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | settlement | ​ | ​ | ​ | Fair
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Inflows | ​ | Value at | ​ | value by
​ | ​ | Notional | ​ | ​ | ​ | ​ | ​ | Fair value | ​ | (Outflows) | ​ | Risk | ​ | year
​ |  | ​ |  | ​ |  | ​ |  | Average |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
​ | ​ | June 30, | ​ | December 31, | ​ | Bought / | ​ | strike | ​ | June 30, | ​ | December 31, | ​ | June 30, | ​ | June 30, | ​ | ​
Flow | ​ | 2021 | ​ | 2020 |  | Sold |  | (US$/bbl) | ​ | 2021 | ​ | 2020 | ​ | 2021 | ​ | 2021 |  | 2021+
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Brent crude oil (bbl) | ​ |  | ​ |  |  |  |  |  | ​ |  | ​ |  | ​ |  | ​ |  |  |
Call options | ​ | 4,488,809 | ​ | 13,746,945 |  | B |  | 55 | ​ | 48 | ​ | 92 | ​ | 119 | ​ | 7 |  | 48
Put options | ​ | 4,488,809 | ​ | 13,746,945 |  | S |  | 29 | ​ | — | ​ | (12) | ​ | — | ​ | — |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Forward Freight Agreement (days) | ​ |  | ​ |  |  |  |  |  | ​ |  | ​ |  | ​ |  | ​ |  |  |
Freight forwards (days) | ​ | 990 | ​ | 1,625 |  | B |  | 23,302 | ​ | 15 | ​ | 4 | ​ | 3 | ​ | 15 |  | —
​ e) Embedded derivatives in contracts ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ | ​ | ​ |  | ​ |  | ​ |  | ​ | ​ |  |  | Financial |  | ​ |  | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | settlement | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Inflows | ​ | ​ | ​ | ​
​ | ​ | National | ​ | ​ | ​ | ​ | ​ | Fair value | ​ | (Outflows) | ​ | Value at Risk | ​ | Fair value
​ | ​ | ​ |  | December 31, | ​ | Bought / | ​ | Average | ​ | June 30, |  | December 31, | ​ | June 30, | ​ | June 30, | ​ | ​
Flow | ​ | June 30, 2021 | ​ | 2020 | ​ | Sold | ​ | strike | ​ | 2021 | ​ | 2020 | ​ | 2021 | ​ | 2021 | ​ | 2021+
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Option related to a Special Purpose Entity “SPE” (quantity) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Call option |  | 137,751,623 |  | 137,751,623 |  | B |  | 3.02 |  | 15 |  | 18 |  | — |  | 2 |  | 15
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Embedded derivatives in contracts for the sale of part of its shareholding (quantity) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Put option |  | 1,105,070,863 |  | 1,105,070,863 |  | S |  | 4.38 |  | (5) |  | (19) |  | — |  | 2 |  | (5)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Embedded Derivative in natural gas purchase agreement (volume/month) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Call options |  | 729,571 |  | 746,667 |  | S |  | 233 |  | (4) |  | — |  | — |  | 3 |  | (4)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Hedge program for finished products | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Nickel forwards |  | 604 |  | — |  | S |  | 18,147 |  | — |  | — |  | — |  | — |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed prices sales protection | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Nickel forwards |  | 626 |  | — |  | B |  | 16,341 |  | 1 |  | — |  | 1 |  | — |  | 1
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Embedded in raw material purchase contract (ton) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Nickel forwards |  | 3,436 |  | 1,979 |  | S |  | 17,120 |  | (3) |  | 2 |  | — |  | 2 |  | (3)
Copper forwards |  | 1,247 |  | 976 |  | S |  | 9,620 |  | — |  | — |  | — |  | — |  | —
​ f) Sensitivity analysis of derivative financial instruments The following tables present the potential value of the instruments given hypothetical stress scenarios for the main market risk factors that impact the derivatives positions. The scenarios were defined as follows: - Probable: the probable scenario was defined as the fair value of the derivative instruments as at June 30, 2021 - Scenario I: fair value estimated considering a 25% deterioration in the associated risk variables - Scenario II: fair value estimated considering a 50% deterioration in the associated risk variables ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Instrument |  | Instrument's main risk events |  | Probable |  | Scenario I |  | Scenario II
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
CDI vs. US$ fixed rate swap |  | R$ depreciation |  | (368) |  | (900) |  | (1,433)
​ |  | US$ interest rate inside Brazil decrease |  | (368) |  | (396) |  | (425)
​ |  | Brazilian interest rate increase |  | (368) |  | (402) |  | (437)
Protected item: R$denominated liabilities |  | R$ depreciation |  | n.a. |  | — |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
TJLP vs. US$ fixed rate swap |  | R$ depreciation |  | (134) |  | (236) |  | (338)
​ |  | US$ interest rate inside Brazil decrease |  | (134) |  | (137) |  | (140)
​ |  | Brazilian interest rate increase |  | (134) |  | (145) |  | (155)
​ |  | TJLP interest rate decrease |  | (134) |  | (141) |  | (149)
Protected item: R$denominated debt |  | R$ depreciation |  | n.a. |  | — |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
R$fixed rate vs. US$ fixed rate swap |  | R$ depreciation |  | 62 |  | (246) |  | (553)
​ |  | US$ interest rate inside Brazil decrease |  | 62 |  | 53 |  | 45
​ |  | Brazilian interest rate increase |  | 62 |  | 19 |  | (21)
Protected item: R$denominated debt |  | R$ depreciation |  | n.a. |  | — |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
IPCA vs. US$ fixed rate swap |  | R$ depreciation |  | (90) |  | (199) |  | (307)
​ |  | US$ interest rate inside Brazil decrease |  | (90) |  | (96) |  | (103)
​ |  | Brazilian interest rate increase |  | (90) |  | (109) |  | (127)
​ |  | IPCA index decrease |  | (90) |  | (101) |  | (112)
Protected item: R$denominated debt |  | R$ depreciation |  | n.a. |  | — |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
IPCA vs. CDI swap |  | Brazilian interest rate increase |  | 49 |  | 46 |  | 44
​ |  | IPCA index decrease |  | 49 |  | 47 |  | 45
Protected item: R$denominated debt linked to IPCA |  | IPCA index decrease |  | n.a. |  | (47) |  | (45)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
US$floating rate vs. US$ fixed rate swap |  | US$ Libor decrease |  | 1 |  | (4) |  | (10)
Protected item: Libor US$ indexed debt |  | US$ Libor decrease |  | n.a. |  | 4 |  | 10
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
NDF BRL/USD |  | R$ depreciation |  | 122 |  | (166) |  | (454)
​ |  | US$ interest rate inside Brazil decrease |  | 122 |  | 116 |  | 110
​ |  | Brazilian interest rate increase |  | 122 |  | 93 |  | 66
Protected item: R$denominated liabilities |  | R$depreciation |  | n.a. |  | — |  | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Instrument |  | Instrument's main risk events |  | Probable |  | Scenario I |  | Scenario II
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fuel oil protection | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Options |  | Price input decrease |  | 48 |  | 18 |  | 14
Protected item: Part of costs linked to fuel oil prices |  | Price input decrease |  | n.a. |  | 18 |  | 14
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Forward Freight Agreement |  |  |  |  |  |  |  |
Forwards |  | Freight price decrease |  | 15 |  | 5 |  | (4)
Protected item: Part of costs linked to maritime freight prices |  | Freight price decrease |  | n.a. |  | (5) |  | 4
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Nickel sales fixed price protection |  |  |  |  |  |  |  |
Forwards |  | Nickel price decrease |  | 1 |  | (2) |  | (5)
Protected item: Part of nickel revenues with fixed prices |  | Nickel price decrease |  | n.a. |  | (2) |  | (5)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Nickel Revenue Hedging Program |  |  |  |  |  |  |  |
Options |  | Nickel price increase |  | (38) |  | (160) |  | (297)
Protected item: Part of nickel future revenues |  | Nickel price increase |  | n.a. |  | 160 |  | 297
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Palladium Revenue Hedging Program |  |  |  |  |  |  |  |
Options |  | Palladium price increase |  | 4 |  | (23) |  | (56)
Protected item: Part of palladium future revenues |  | Palladium price increase |  | n.a. |  | 23 |  | 56
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Thermal Coal Revenue Hedging Program |  |  |  |  |  |  |  |
Options |  | Thermal coal price increase |  | (11) |  | (40) |  | (69)
Protected item: Part of thermal coal future revenues |  | Thermal coal price increase |  | n.a. |  | 40 |  | 69
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Option - SPCs |  | SPCs stock value decrease |  | 15 |  | 5 |  | —
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Instrument |  | Main risks |  | Probable |  | Scenario I |  | Scenario II
Embedded derivatives - Raw material purchase (nickel) |  | Nickel price increase |  | (3) |  | (19) |  | (34)
Embedded derivatives - Raw material purchase (copper) |  | Copper price increase |  | — |  | (3) |  | (6)
Embedded derivatives - Gas purchase |  | Pellet price increase |  | (4) |  | (8) |  | (13)
Embedded derivatives - Guaranteed minimum return |  | Stock value decrease |  | (5) |  | (61) |  | (287)
​ g) Financial counterparties’ ratings The table below presents the ratings published by Moody’s regarding the main financial institutions that we hire derivative instruments, cash and cash equivalents transactions. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Consolidated
​ | ​ | June 30, 2021 |  | December 31, 2020
​ | ​ | Cash and cash equivalents and | ​ | ​ | ​ | Cash and cash equivalents | ​ | ​
​ |  | short-term investment |  | Derivatives |  | and short-term investment |  | Derivatives
Aa1 |  | 94 |  | — |  | 2,210 |  | 36
Aa2 |  | 384 |  | 13 |  | 363 |  | 15
Aa3 |  | 603 |  | 41 |  | 1,681 |  | 41
A1 |  | 4,124 |  | 20 |  | 2,812 |  | 21
A2 |  | 4,429 |  | 130 |  | 4 |  | 20
A3 |  | 1,034 |  | 67 |  | 5 |  | 36
Baa1 |  | — |  | — |  | 4 |  | —
Baa2 |  | 19 |  | — |  | 1 |  | —
Ba1 |  | — |  | 35 |  | 2,986 |  | —
Ba2 |  | 2,551 |  | 51 |  | 4,189 |  | 6
Ba3 |  | 1,279 |  | 13 |  | — |  | —
Others |  | 83 |  | 52 |  | 3 |  | 25
​ |  | 14,600 |  | 422 |  | 14,258 |  | 200
​

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