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Financial risk management and financial instruments | 12 Months Ended
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Jun. 30, 2023
Financial risk management and financial instruments |
Financial risk management and financial instruments |
37 | Financial risk management and financial instruments
37.1 Financial instruments classification and fair value measurement The following table shows the classification, carrying amounts and fair values of financial assets and financial liabilities, including their levels in the fair value hierarchy. When measuring the fair value of an asset or a liability, the Group uses observable market data as far as possible. Fair values are categorised into different levels in a fair value hierarchy based on the inputs used in the valuation techniques as follows: Level 1Quoted prices in active markets for identical assets or liabilities. Level 2Inputs other than quoted prices that are observable for the asset or liability (directly or indirectly). Level 3Inputs for the asset or liability that are unobservable. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ |  | Carrying |  | ​ |  | Carrying |  | ​ |  | ​
​ | ​ | ​ | ​ | value | ​ | Fair value | ​ | value | ​ | Fair value | ​ | Fair value
​ | ​ | ​ | ​ | 2023 | ​ | 2023 | ​ | 2022 | ​ | 2022 | ​ | hierarchy
Financial instrument | ​ | Note | ​ | Rm | ​ | Rm | ​ | Rm | ​ | Rm | ​ | of inputs
Financial assets |  | ​ |  |  |  |  |  |  |  |  |  |
At amortised cost |  | ​ |  |  |  |  |  |  |  |  |  |
Long-term restricted cash6 |  | ​ |  | 1 447 |  | 1 447 |  | 1 531 |  | 1 531 |  | Level 11
Long-term receivables |  | 18 |  | 2 803 |  | 2 803 |  | 3 023 |  | 3 023 |  | Level 32
Trade and other receivables |  | 23 |  | 30 915 |  | 30 915 |  | 38 936 |  | 38 936 |  | Level 33
Cash and cash equivalents |  | 26 |  | 53 926 |  | 53 926 |  | 43 140 |  | 43 140 |  | Level 11
At fair value through profit or loss |  | ​ |  |  |  |  |  |  |  |  |  |
Long-term and short-term financial assets |  | ​ |  | 2 225 |  | 2 225 |  | 868 |  | 868 |  |
Commodity and currency derivative assets |  | ​ |  | 472 |  | 472 |  | 247 |  | 247 |  | Level 2
Oxygen supply contract embedded derivative assets |  | ​ |  | 516 |  | 516 |  | 621 |  | 621 |  | Level 3
Other short-term investments | ​ | ​ | ​ | 1 237 | ​ | 1 237 | ​ | — | ​ | — | ​ | Level 11
Designated at fair value through other comprehensive income |  | ​ |  |  |  |  |  |  |  |  |  |
Investments in listed securities6 |  | ​ |  | 701 |  | 701 |  | 480 |  | 480 |  | Level 14
Investments in unlisted securities6 |  | ​ |  | 12 |  | 12 |  | 13 |  | 13 |  | Level 35
Financial liabilities |  | ​ |  |  |  |  |  |  |  |  |  |
At amortised cost |  | ​ |  |  |  |  |  |  |  |  |  |
Total long-term debt |  | 14 |  | 124 068 |  | 116 533 |  | 104 834 |  | 98 491 |  |
Listed long-term debt (Bonds issued)7 |  | ​ |  | 90 248 |  | 82 768 |  | 78 076 |  | 71 667 |  | Level 14
Listed convertible bonds | ​ | ​ | ​ | 12 238 | ​ | 12 072 | ​ | — | ​ | — | ​ | Level 38
Unlisted long-term debt7 |  | ​ |  | 21 582 |  | 21 693 |  | 26 758 |  | 26 824 |  | Level 32
Lease liabilities |  | 15 |  | 16 297 |  | ​ |  | 16 034 |  |  |  |
Short-term debt and bank overdraft |  | ​ |  | 238 |  | 238 |  | 255 |  | 255 |  | Level 33
Trade and other payables |  | 24 |  | 35 118 |  | 35 118 |  | 39 873 |  | 39 873 |  | Level 33
At fair value through profit or loss |  | ​ |  |  |  |  |  |  |  |  |  |
Long-term and short-term financial liabilities |  | ​ |  | 3 397 |  | 3 397 |  | 7 127 |  | 7 127 |  |
Commodity and currency derivative liabilities |  | ​ |  | 1 102 |  | 1 102 |  | 6 845 |  | 6 845 |  | Level 2
Convertible bond embedded derivative liability |  | ​ |  | 1 302 |  | 1 302 |  | — |  | — |  | Level 3
Oxygen supply contract embedded derivative liabilities |  | ​ |  | 993 |  | 993 |  | 282 |  | 282 |  | Level 3
| 1 | The carrying value of cash, other short-term deposits and other short-term investments is considered to reflect its fair value.
​
37 | Financial risk management and financial instruments continued
37.1 Financial instruments classification and fair value measurement continued
| 2 | Determined with a discounted cash flow model using market related interest rates.
| 3 | The fair value of these instruments approximates their carrying value, due to their short-term nature.
| 4 | Based on quoted market price for the same instrument.
| 5 | Determined using discounted cash flows modelling forecasted earnings, capital expenditure and debt cash flows of the underlying business, based on the forecasted assumptions of inflation, exchange rates, commodity prices and an appropriate WACC for the region.
| 6 | Presented as part of Other long-term investments on the Statement of financial position.
| 7 | Includes unamortised loan costs.
| 8 | The fair value of the amortised cost component of the US$Convertible Bond is based on the quoted price of the instrument after separating the fair value of the derivative component.
There were no transfers between levels for recurring fair value measurements during the year. Commodity and currency derivative assets and liabilities Valued using forward rate interpolator model, appropriate currency specific discount curve, discounted expected cash flows and numerical approximation as appropriate. Significant inputs include forward exchange contracted rates, market foreign exchange rates, forward contract rates and market commodity prices such as crude oil prices, coal prices and ethane prices. A weakening of the assumed rand/US$ exchange rate will result in additional losses of R964 million. ​ Oxygen supply contract embedded derivative assets and liabilities Relates to the US labour and inflation index and ZAR/EUR exchange rate embedded derivatives contained in the SO long-term gas supply agreements. The following table reconciles the opening and closing balance of the net embedded derivative asset/(liability): ​
​ | ​ | ​ | ​ | ​
​ |  | 2023 |  | 2022
for the year ended 30 June | ​ | Rm | ​ | Rm
Balance at the beginning of the year |  | 339 |  | 373
Amounts settled during the year | ​ | (22) | ​ | (98)
Fair value loss recognised in other operating expenses and income | ​ | (794) | ​ | 64
Balance at the end of the year |  | (477) |  | 339
​ ​
37 | Financial risk management and financial instruments continued
37.1 Financial instruments classification and fair value measurement continued The fair value of the embedded derivative is impacted by a number of observable and unobservable variables at valuation date. The embedded derivative was valued using a forward rate interpolator model, discounted expected cash flows and numerical approximation, as appropriate. Significant inputs include US PPI index, US labour index, US dollar and ZAR treasury curves, Rand zero swap discount rate, and interpolated EUR/ZAR forward rate. The sensitivities provided below reflect the impact on fair value through profit or loss as a result of movements in the significant input variables utilised for valuation purposes: ​
​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | Increase/(decrease) in profit or
​ | ​ | ​ | loss
​ | ​ | Change | ​ | 2023 | ​ | 2022
Input |  | in input |  | Rm |  | Rm
Rand/US$ Spot price | ​ | +R1/US$ | ​ | (478) | ​ | (513)
​ |  | -R1/US$ |  | 478 |  | 513
US$ Swap curve |  | +0,10 | % | 87 |  | 86
​ |  | -0,10 | % | (89) |  | (87)
Rand Swap curve |  | +1,00 | % | (734) |  | (786)
​ |  | -1,00 | % | 848 |  | 911
​ Convertible bond embedded derivative liability Relates to the embedded derivative contained in the US$750 million convertible bond issued on 8 November 2022. The following table reconciles the opening and closing balance of the embedded derivative liability: ​
​ | ​ | ​ | ​ | ​
​ |  | 2023 |  | 2022
for the year ended 30 June | ​ | Rm | ​ | Rm
Recognition of embedded derivative upon issue of bond |  | 2 089 |  | —
Fair value loss recognised in other operating expenses and income |  | (867) |  | —
Translation of foreign operations |  | 80 |  | —
Balance at the end of the year |  | 1 302 |  | —
​ The embedded derivative was valued at 30 June 2023 and at inception date using quoted bond market prices and binomial tree approach. Significant inputs include conversion price (US$19,86; inception: US$20,39), spot share price (R233,26; inception R285,95), converted to USD at the prevailing USD/ZAR FX spot rate (R18,83/US$; inception: R18,23/US$), observable bond market price (94,7% of par; inception: 100% of par), credit spread (460bps; inception: 427bps) and volatility (27,84%; inception 28,44%). Although many inputs into the valuation are observable, the valuation method separates the fair value of the derivative from the quoted fair value of the US$ Convertible Bond by adjusting certain observable inputs. These adjustments require the application of judgement and certain estimates. Changes in the relevant inputs impact the fair value gains and losses recognised. This instrument is most sensitive to changes in the calibrated volatility and credit spread. The sensitivities provided below reflect the impact on fair value through profit or loss as a result of movements in key inputs: ​
​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | Increase/(decrease) in profit or
​ | ​ | ​ | ​ | loss
​ | ​ | Change | ​ | 2023 | ​ | 2022
Input |  | in input |  | Rm |  | Rm
Credit spread |  | +100bps | ​ | (433) |  | —
​ |  | -100bps | ​ | 455 |  | —
Calibrated volatility | ​ | +5 | % | (377) | ​ | —
​ | ​ | -5 | % | 364 | ​ | —
​ There was no change in valuation techniques compared to the previous financial year.
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management
​ The Group is exposed in varying degrees to a number of financial instrument related risks. The Group Executive Committee (GEC) has the overall responsibility for the establishment and oversight of the Group’s risk management framework. The GEC established the Safety Committee, which is responsible for providing the Board with the assurance that significant business risks are systematically identified, assessed and reduced to acceptable levels. A comprehensive risk management process has been developed to continuously monitor and assess these risks. Based on the risk management process Sasol refined its hedging policy and the Board appointed a subcommittee, the Audit Committee, that meets regularly to review and, if appropriate, approve the implementation of hedging strategies for the effective management of financial market related risks. The Group has a central treasury function that manages the financial risks relating to the Group’s operations. Capital allocation The Group’s objectives when managing capital (which includes share capital, borrowings, working capital and cash and cash equivalents) is to maintain a flexible capital structure that reduces the cost of capital to an acceptable level of risk and to safeguard the Group’s ability to continue as a going concern while taking advantage of strategic opportunities in order to grow shareholder value sustainably. The Group manages the capital structure and makes adjustments to it in light of changes in economic conditions and the risk characteristics of the underlying assets. In order to maintain the capital structure, the Group may adjust the amount of dividends paid to shareholders, return capital to shareholders, repurchase shares currently issued, issue new shares, issue new debt, issue new debt to replace existing debt with different characteristics and/or sell assets to reduce debt. The Group monitors capital utilising a number of measures, including the gearing ratio (net debt to shareholders’ equity). Gearing takes into account the Group’s substantial capital investment and susceptibility to external market factors such as crude oil prices, exchange rates and commodity chemical prices. The Group’s gearing level for 2023 increased to 44,7% (2022 – 41,7%; 2021 – 61,5%) largely due to the weaker closing exchange rate. Financing risk Financing risk refers to the risk that financing of the Group’s net debt requirements and refinancing of existing borrowings could become more difficult or more costly in the future. This risk can be decreased by managing the Group within the targeted gearing ratio, maintaining an appropriate spread of maturity dates, and managing short-term borrowings within acceptable levels. The Group’s target for long-term borrowings include an average time to maturity of at least two years, and an even spread of maturities. ​ Credit rating ​
​ | ​ | ​ | ​ | ​
​ | ​ | Credit rating
Agency | ​ | 2023 | ​ | 2022
S&P |  | BB+ (stable) |  | BB (positive)
Moody’s |  | Ba2 (positive) |  | Ba2 (positive)
​ On 28 October 2022, S&P upgraded Sasol’s rating from BB to BB+ on the back of debt reduction, and improved cash flow generation supported by stronger commodity prices and improved efficiency; revising the outlook from positive to stable. The stable outlook reflects that recent debt reduction and supportive oil prices will offset near-term headwinds and allow Sasol to maintain Funds From Operations to debt above 45% on average in the coming years. ​
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management continued
Risk profile Risk management and measurement relating to each of these risks is discussed under the headings below (sub-categorised into credit risk, liquidity risk, and market risk) which entails an analysis of the types of risk exposure, the way in which such exposure is managed and quantification of the level of exposure in the statement of financial position. Credit risk Credit risk is the risk of financial loss due to counterparties not meeting their contractual obligations. Credit risk is deemed to be low when, based on the forward available information, it is highly probable that the customer will service its debt in accordance with the agreement throughout the period. How we manage the risk The risk is managed by the application of credit approvals, limits and monitoring procedures. Where appropriate, the Group obtains security in the form of guarantees to mitigate risk. Counterparty credit limits are in place and are reviewed and approved by the respective subsidiary credit management committees. The central treasury function provides credit risk management for the group-wide exposure in respect of a diversified group of banks and other financial institutions. These are evaluated regularly for financial robustness especially in the current global economic environment. Management has evaluated treasury counterparty risk and does not expect any treasury counterparties to fail in meeting their obligations. The Group maximum exposure is the outstanding carrying amount of the financial asset. For all financial assets measured at amortised cost, the Group calculates the expected credit loss based on contractual payment terms of the asset. The contractual payment terms for receivables vary from 30 days to 120 days. The exposure to credit risk is influenced by the individual characteristics, the industry and geographical area of the counterparty with whom we have transacted. Financial assets at amortised cost are carefully monitored and reviewed on a regular basis for expected credit loss and impairment based on our credit risk policy. Expected Credit Loss (ECL) is calculated as a function of probability of default, loss given default and exposure at default. The Group allocates probability of default based on external and internal information. The major portion of the financial assets at amortised cost consists of externally rated customers and the Group uses the average of Moody’s, Fitch and S&P Corporate and Sovereign probability of defaults, depending on whether the customer or holder of the financial asset is corporate or government related. For customers or debtors that are not rated by a formal rating agency, the Group allocates internal credit ratings and default rates taking into account forward looking information, based on the debtors profile and financial status. Loss given default (LGD) is based on the Basel model. World-wide, and especially in South Africa, economies have faced a series of global and local disruptions, including price volatility, elevated energy costs, high inflation, higher cost of debt, etc. As a result the Group applied the Board of Governors of the Federal Reserve System’s formula to derive a downturn LGD to be used for 2023 and 2022, namely 50% for unsecured financial assets and 40% for secured financial assets. Credit enhancement is only taken into account if it is integral to the asset. Trade receivables expected credit loss is calculated over lifetime. Other financial assets expected credit loss is measured over 12 months when the credit risk is low and over lifetime where the credit risk has increased significantly. The Group considers credit risk to have increased significantly when the customer’s credit rating has been downgraded to a lower grade (e.g. A grade to B grade). The Group considers customers to be in default when the receivable is more than 30 days overdue or the customer has failed to honour a repayment arrangement. ​ 37Financial risk management and financial instruments continued
37.2 | Financial risk management continued
No single customer represents more than 10% of the Group’s total turnover or more than 10% of total trade receivables for the years ended 30 June 2023, 2022 and 2021. Approximately 49% (2022 — 48%; 2021 — 42%) of the Group’s total turnover is generated from sales within South Africa, while about 19% (2022 — 21%; 2021 — 24%) relates to European sales and 16% (2022 — 16%; 2021 — 18%) relates to sales within the US. The concentration of credit risk within geographic regions is largely aligned with the geographic regions in which the turnover was earned. Detail of allowances for credit losses: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ |  | 12-month |  |
​ | ​ | Lifetime ECL | ​ | ECL | ​ |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | No | ​ | ​
​ | ​ | Significant | ​ | ​ | ​ | ​ | ​ | ​ | ​ | significant | ​ | ​
​ | ​ | increase in | ​ | Simplified | ​ | ​ | ​ | ​ | ​ | increase in | ​ | ​
​ | ​ | credit risk | ​ | approach | ​ | ​ | ​ | ​ | ​ | credit risk | ​ | Total
​ | ​ | since initial | ​ | for trade | ​ | Credit- | ​ | Total lifetime | ​ | since initial | ​ | expected
​ | ​ | recognition | ​ | receivables | ​ | impaired | ​ | ECL | ​ | recognition | ​ | credit loss
​ |  | Rm |  | Rm |  | Rm |  | Rm |  | Rm |  | Rm
2023 |  |  |  |  |  |  |  |  |  |  |  |
Long-term receivables |  | — |  | — |  | 49 |  | 49 |  | 62 |  | 111
Trade receivables |  | — |  | 34 |  | 227 |  | 261 |  | — |  | 261
Other receivables |  | 102 |  | — |  | 385 |  | 487 |  | 4 |  | 491
​ |  | 102 |  | 34 |  | 661 |  | 797 |  | 66 |  | 863
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ |  | 12-month |  |
​ | ​ | Lifetime ECL | ​ | ECL | ​ |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | No | ​ | ​
​ | ​ | Significant | ​ | ​ | ​ | ​ | ​ | ​ | ​ | significant | ​ | ​
​ | ​ | increase in | ​ | Simplified | ​ | ​ | ​ | ​ | ​ | increase in | ​ | ​
​ | ​ | credit risk | ​ | approach | ​ | ​ | ​ | ​ | ​ | credit risk | ​ | Total
​ | ​ | since initial | ​ | for trade | ​ | Credit- | ​ | Total lifetime | ​ | since initial | ​ | expected
​ | ​ | recognition | ​ | receivables | ​ | impaired | ​ | ECL | ​ | recognition | ​ | credit loss
​ |  | Rm |  | Rm |  | Rm |  | Rm |  | Rm |  | Rm
2022 |  |  |  |  |  |  |  |  |  |  |  |
Long-term receivables |  | — |  | — |  | 41 |  | 41 |  | 44 |  | 85
Trade receivables |  | — |  | 30 |  | 101 |  | 131 |  | — |  | 131
Other receivables |  | 1 |  | — |  | 272 |  | 273 |  | 58 |  | 331
​ |  | 1 |  | 30 |  | 414 |  | 445 |  | 102 |  | 547
​ The ECL relating to trade and other receivables increased despite decreases in their respective carrying amounts mainly due to allowances against specific defaulting customers. Overview of the credit risk profile of financial assets measured at amortised cost is as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | 2023 |  | 2022
​ | ​ | Low risk | ​ | Medium risk | ​ | High risk | ​ | Low risk | ​ | Medium risk | ​ | High risk
​ | ​ | ​ | ​ | ​ | ​ | CCC+ and | ​ | ​ | ​ | ​ | ​ | CCC+ and
​ | ​ | AAA to A- | ​ | BBB+ to B- | ​ | below | ​ | AAA to A- | ​ | BBB+ to B- | ​ | below
​ |  | % |  | % |  | % |  | % |  | % |  | %
Long-term receivables |  | 29 | ​ | 59 | ​ | 12 |  | 51 | ​ | 43 | ​ | 6
Trade receivables |  | 77 | ​ | 18 | ​ | 5 |  | 73 | ​ | 24 | ​ | 3
Other receivables | ​ | 82 | ​ | 15 | ​ | 3 | ​ | 83 | ​ | 15 | ​ | 2
Cash and cash equivalents* |  | 20 | ​ | 78 | ​ | 2 |  | 18 | ​ | 81 | ​ | 1
| * | Includes long-term restricted cash.
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management continued
Liquidity risk Liquidity risk is the risk that an entity in the Group will be unable to meet its obligations as they become due. The global economic landscape remains volatile, including fluctuating oil and petrochemical prices, an unstable product demand environment and inflationary pressure. In South Africa, the underperformance of state-owned enterprises and socio-economic challenges continues to impact volumes, margins and resultant profitability. How we manage the risk The Group manages liquidity risk by effectively managing its working capital, capital expenditure and cash flows, making use of a central treasury function to manage pooled business unit cash investments and borrowing requirements. Currently the Group is maintaining a positive liquidity position, conserving the Group’s cash resources through continued focus on working capital improvement, cost savings and capital reprioritisation. The Group meets its financing requirements through a mixture of cash generated from its operations and, short and long-term borrowings and strives to maintain adequate banking facilities and reserve borrowing capacities. Adequate banking facilities and reserve borrowing capacities are maintained. The Group has refinanced its existing banking facilities, due to mature in calendar year 2024, into a new banking facility totaling nearly USD3 billion comprising of a revolving credit facility and term loan facility, both with a five-year maturity and with two extension options of one year each. Refer to note 14. The Group is in compliance with all of the financial covenants per its loan agreements, none of which are expected to present a material restriction on funding or its investment policy in the near future. Protection of downside risk for the balance sheet was a key priority for the Group during volatile times, resulting in the execution of our hedging programme to address oil price, ethane price and currency exposure. The net debt to EBITDA (bank definition) at 30 June 2023 was 1,2 times (2022 – 0,8 times), significantly below the covenant threshold level of 3 times. ​
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management continued
Our exposure to and assessment of the risk The maturity profile of the undiscounted contractual cash flows of financial instruments at 30 June were as follows:
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ |  | Carrying |  | Contractual |  | Within one | ​ | One to | ​ | Three to |  | More than
​ | ​ | ​ | ​ | amount | ​ | cash flows* | ​ | year | ​ | three years | ​ | five years | ​ | five years
​ | ​ | Note | ​ | Rm | ​ | Rm | ​ | Rm |  | Rm | ​ | Rm | ​ | Rm
2023 |  |  |  |  |  |  |  |  | ​ |  | ​ | ​ |  |
Financial assets |  |  |  |  |  |  |  |  | ​ |  | ​ | ​ |  |
Non-derivative instruments |  |  |  |  |  |  |  |  | ​ |  | ​ | ​ |  |
Long-term receivables |  | 18 |  | 2 803 |  | 3 105 |  | — | ​ | 1 119 | ​ | 273 |  | 1 713
Trade and other receivables |  | 23 |  | 30 915 |  | 30 915 |  | 30 915 | ​ | — | ​ | — |  | —
Cash and cash equivalents |  | 26 |  | 53 926 |  | 53 926 |  | 53 926 | ​ | — | ​ | — |  | —
Investments through other comprehensive income |  |  |  | 713 |  | 713 |  | 713 | ​ | — | ​ | — |  | —
Investments through profit or loss | ​ | ​ | ​ | 1 237 | ​ | 1 237 | ​ | 1 237 | ​ | — | ​ | — | ​ | —
Long-term restricted cash |  |  |  | 1 447 |  | 1 447 |  | — | ​ | — | ​ | — |  | 1 447
​ | ​ | ​ |  | 91 041 |  | 91 343 |  | 86 791 | ​ | 1 119 | ​ | 273 |  | 3 160
Derivative instruments |  |  |  | ​ |  |  |  | ​ | ​ |  | ​ | ​ |  |
Forward exchange contracts |  |  |  | 133 | ​ | 17 866 | ​ | 17 866 | ​ | — | ​ | — |  | —
Crude oil put options |  |  |  | 253 | ​ | 253 | ​ | 253 | ​ | — | ​ | — |  | —
Foreign exchange zero cost collars | ​ | ​ | ​ | 76 | ​ | 76 | ​ | 76 | ​ | — | ​ | — | ​ | —
Other commodity derivatives |  |  |  | 10 | ​ | 10 | ​ | 10 | ​ | — | ​ | — |  | —
Oxygen supply contract embedded derivative | ​ | ​ | ​ | 516 | ​ | 891 | ​ | 69 | ​ | 138 | ​ | 138 | ​ | 546
​ | ​ | ​ |  | 92 029 |  | 110 439 |  | 105 065 | ​ | 1 257 | ​ | 411 |  | 3 706
Financial liabilities |  |  |  |  |  |  |  |  | ​ |  | ​ | ​ |  |
Non-derivative instruments |  |  |  |  |  |  |  |  | ​ |  | ​ | ​ |  |
Long-term debt** |  | 14 |  | (124 068) |  | (160 266) |  | (36 198) | ​ | (13 241) | ​ | (56 442) |  | (54 385)
Lease liabilities |  | 15 |  | (16 297) |  | (34 111) |  | (3 261) | ​ | (5 364) | ​ | (3 559) |  | (21 927)
Short-term debt |  | 16 |  | (79) |  | (79) |  | (79) | ​ | — | ​ | — |  | —
Trade and other payables |  | 24 |  | (35 118) |  | (35 118) |  | (35 118) | ​ | — | ​ | — |  | —
Bank overdraft |  | 26 |  | (159) |  | (159) |  | (159) | ​ | — | ​ | — |  | —
​ | ​ | ​ |  | (175 721) |  | (229 733) |  | (74 815) | ​ | (18 605) | ​ | (60 001) |  | (76 312)
Derivative instruments |  |  |  |  |  | ​ |  | ​ | ​ |  | ​ | ​ |  |
Forward exchange contracts |  |  |  | (353) |  | (18 086) |  | (18 086) | ​ | — | ​ | — |  | —
Foreign exchange zero cost collars | ​ | ​ | ​ | (579) | ​ | (579) | ​ | (579) | ​ | — | ​ | — | ​ | —
Ethane swap options | ​ | ​ | ​ | (158) | ​ | (158) | ​ | (158) | ​ | — | ​ | — | ​ | —
Crude oil futures |  |  |  | (12) |  | (12) |  | (12) | ​ | — | ​ | — |  | —
Oxygen supply contract embedded derivative |  |  |  | (993) |  | (3 606) |  | (64) | ​ | (109) | ​ | (101) |  | (3 332)
​ | ​ | ​ |  | (177 816) |  | (252 174) |  | (93 714) | ​ | (18 714) | ​ | (60 102) |  | (79 644)
| * | Contractual cash flows include interest payments.
​
| ** | The repayment of the notional amount of the convertible bonds is included in the one to three years category, in line with the contractual maturity date. The convertible bonds are convertible into ordinary shares of Sasol at the election of the holders if the Sasol share price appreciates above a specified conversion price. Refer to note 14 for more information.
The impact of the refinancing activities can be seen in the significant increase in contractual payments due beyond three years. Current financial assets are sufficient to cover financial liabilities for the next year. The shortfall beyond one year will be funded through cash generated from operations, utilisation of available facilities and the refinancing of existing debt. ​
37 | Financial risk management and financial instruments continued
​
37.2 | Financial risk management continued
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ |  | Carrying |  | Contractual |  | Within one | ​ | One to |  | Three to | ​ | More than
​ | ​ | ​ | ​ | amount | ​ | cash flows* | ​ | year | ​ | three years | ​ | five years | ​ | five years
​ | ​ | Note | ​ | Rm | ​ | Rm | ​ | Rm |  | Rm | ​ | Rm | ​ | Rm
2022 |  |  |  |  |  |  |  |  | ​ | ​ |  | ​ | ​ |
Financial assets |  |  |  |  |  |  |  |  | ​ | ​ |  | ​ | ​ |
Non-derivative instruments |  |  |  |  |  |  |  |  | ​ | ​ |  | ​ | ​ |
Long-term receivables |  | 18 |  | 3 023 |  | 3 316 |  | — | ​ | 1 447 |  | 777 | ​ | 1 092
Trade and other receivables |  | 23 |  | 38 936 |  | 38 936 |  | 38 936 | ​ | — |  | — | ​ | —
Cash and cash equivalents |  | 26 |  | 43 140 |  | 43 140 |  | 43 140 | ​ | — |  | — | ​ | —
Investments through other comprehensive income |  |  |  | 493 |  | 493 |  | 493 | ​ | — |  | — | ​ | —
Long-term restricted cash |  |  |  | 1 531 |  | 1 531 |  | — | ​ | — |  | — | ​ | 1 531
​ | ​ | ​ |  | 87 123 |  | 87 416 |  | 82 569 | ​ | 1 447 |  | 777 | ​ | 2 623
Derivative instruments |  |  |  | ​ |  | ​ |  | ​ | ​ | ​ |  | ​ | ​ |
Forward exchange contracts |  |  |  | 68 |  | 9 005 |  | 9 005 | ​ | — |  | — | ​ | —
Crude oil futures |  |  |  | 25 |  | 25 |  | 25 | ​ | — |  | — | ​ | —
Foreign exchange zero cost collars |  |  |  | 76 | ​ | 76 |  | 76 | ​ | — |  | — | ​ | —
Crude oil zero cost collars |  |  |  | 17 |  | 17 |  | 17 | ​ | — |  | — | ​ | —
Other commodity derivatives |  |  |  | 61 |  | 61 |  | 61 | ​ | — |  | — | ​ | —
Oxygen supply contract embedded derivative | ​ | ​ | ​ | 621 | ​ | 1 236 | ​ | 69 | ​ | 135 | ​ | 142 | ​ | 890
​ | ​ | ​ |  | 87 991 |  | 97 836 |  | 91 822 | ​ | 1 582 |  | 919 | ​ | 3 513
Financial liabilities |  |  |  | ​ |  | ​ |  | ​ | ​ | ​ |  | ​ | ​ |
Non-derivative instruments |  |  |  | ​ |  | ​ |  | ​ | ​ | ​ |  | ​ | ​ |
Long-term debt |  | 14 |  | (104 834) |  | (123 107) |  | (25 980) | ​ | (51 730) |  | (14 527) | ​ | (30 870)
Lease liabilities** |  | 15 |  | (16 034) |  | (31 386) |  | (2 941) | ​ | (4 778) |  | (3 550) | ​ | (20 117)
Short-term debt |  | 16 |  | (82) |  | (82) |  | (82) | ​ | — |  | — | ​ | —
Trade and other payables |  | 24 |  | (39 873) |  | (39 873) |  | (39 873) | ​ | — |  | — | ​ | —
Bank overdraft |  | 26 |  | (173) |  | (173) |  | (173) | ​ | — |  | — | ​ | —
​ | ​ | ​ |  | (160 996) |  | (194 621) |  | (69 049) | ​ | (56 508) |  | (18 077) | ​ | (50 987)
Derivative instruments |  |  |  |  |  |  |  |  | ​ | ​ |  | ​ | ​ |
Forward exchange contracts |  |  |  | (50) |  | (8 986) |  | (8 986) | ​ | — |  | — | ​ | —
Foreign exchange zero cost collars | ​ | ​ | ​ | (454) | ​ | (454) | ​ | (454) | ​ | — | ​ | — | ​ | —
Crude oil zero cost collar | ​ | ​ | ​ | (6 176) | ​ | (6 176) | ​ | (6 176) | ​ | — | ​ | — | ​ | —
Coal swap options |  |  |  | (112) |  | (112) |  | (112) | ​ | — |  | — | ​ | —
Oxygen supply contract embedded derivative |  |  |  | (282) |  | (1 850) |  | (6) | ​ | — |  | — | ​ | (1 844)
Other commodity derivatives |  |  |  | (53) |  | (53) |  | (53) | ​ | — |  | — | ​ | —
​ | ​ | ​ |  | (168 123) |  | (212 252) |  | (84 836) | ​ | (56 508) |  | (18 077) | ​ | (52 831)
| * | Contractual cash flows include interest payments.
| ** | During the year a misstatement was identified in the calculation of the contractual cash flows in relation to certain lease liabilities. Contractual cash flows presented as R27 107 million have been revised by R4 279 million to R31 386 million for 2022. The maturity profile was also adjusted accordingly.
​
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management continued
Market risk Market risk is the risk arising from possible market price movements and their impact on the future cash flows of the business. The market price movements that the Group is exposed to: Foreign currency risk Foreign currency risk is a risk that earnings and cash flows will be affected due to changes in exchange rates. How we manage the risk The Audit Committee sets broad guidelines in terms of tenor and hedge cover ratios specifically to assess future currency exposure, which have the potential to materially affect our financial position. These guidelines and our hedging policy are reviewed from time to time. This hedging strategy enables us to better predict cash flows and thus manage our liquidity and key financial metrics more effectively. Foreign currency risks are managed through the Group’s hedging policy and financing policies and the selective use of various derivatives. Our exposure to and assessment of the risk The Group’s transactions are predominantly entered into in the respective functional currency of the individual operations. The construction of the LCCP has largely been financed through funds obtained in US dollar, with a small portion of funds obtained from Rand sources. A large portion of our turnover and capital investments are significantly impacted by the rand/US$ and rand/EUR exchange rates. Some of our fuel products are governed by the BFP, of which a significant variable is the rand/US$ exchange rate. Our export chemical products are mostly commodity products whose prices are largely based on global commodity and benchmark prices quoted in US dollars and consequently are exposed to exchange rate fluctuations that have an impact on cash flows. These operations are exposed to foreign currency risk in connection with contracted payments in currencies not in their individual functional currency. The most significant exposure for the Group exists in relation to the US dollar and the Euro. The translation of foreign operations to the presentation currency of the Group is not taken into account when considering foreign currency risk. Zero-cost collars In line with the risk mitigation strategy, the Group hedges a significant portion of its estimated foreign currency exposure in respect of forecast sales and purchases over the following 12 months. The Group mainly uses zero-cost collars to hedge its currency risk, most with a maturity of less than one year from the reporting date. Forward exchange contracts Forward exchange contracts (FECs) are utilised throughout the Group to hedge the risk of currency depreciation on committed and highly probable forecast transactions. Transactions hedged with FECs include capital and goods purchases (imports) and sales (exports). Refer to the summary of our derivatives below. ​
37 | Financial risk management and financial instruments continued
37.2 Financial risk management continued The following significant exchange rates were applied during the year: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Average rate | ​ | Closing rate
​ |  | 2023 |  | 2022 |  | 2023 |  | 2022
​ | ​ | Rand | ​ | Rand | ​ | Rand | ​ | Rand
Rand/Euro |  | 18,62 |  | 17,15 |  | 20,55 |  | 17,07
Rand/US$ |  | 17,77 |  | 15,21 |  | 18,83 |  | 16,28
​ The table below shows the significant currency exposure where entities within the Group have monetary assets or liabilities that are not in their functional currency, have exposure to the US dollar or the Euro. The amounts have been presented in rand by converting the foreign currency amount at the closing rate at the reporting date. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2023 | ​ | 2022
​ |  | Euro |  | US dollar |  | Euro |  | US dollar
​ |  | Rm | ​ | Rm |  | Rm | ​ | Rm
Long-term receivables |  | — |  | 339 |  | — |  | 336
Trade and other receivables1 |  | 544 |  | 3 520 |  | 739 |  | 4 961
Cash and cash equivalents1 |  | 2 835 |  | 1 872 |  | 2 158 |  | 3 359
Net exposure on assets |  | 3 379 |  | 5 731 |  | 2 897 |  | 8 656
Trade and other payables2 |  | (302) |  | (2 129) |  | (166) |  | (4 552)
Net exposure on liabilities |  | (302) |  | (2 129) |  | (166) |  | (4 552)
Exposure on external balances |  | 3 077 |  | 3 602 |  | 2 731 |  | 4 104
Net exposure on balances between Group companies |  | (2 323) |  | 8 484 |  | 1 981 |  | 8 286
Total net exposure |  | 754 |  | 12 086 |  | 4 712 |  | 12 390
| 1 | The US$ amounts in 2022 related to proceeds generated through exports from South Africa.
| 2 | The above-average US$ amount in 2022 was due to purchases of crude oil at higher prices which normalised in the current year.
Sensitivity analysis The following sensitivity analysis is provided to show the foreign currency exposure of the individual entities at the end of the reporting period. This analysis is prepared based on the statement of financial position balances that exist at year-end, for which there is currency risk, before consideration of currency derivatives, which exist at that point in time. The effect on equity is calculated as the effect on profit and loss. The effect of translation of results into presentation currency of the Group is excluded from the information provided. ​
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management continued
A 10% weakening in the Group’s significant exposure to the foreign currency at 30 June would have increased either the equity or the profit by the amounts below, before the effect of tax. This analysis assumes that all other variables, in particular, interest rates, remain constant, and has been performed on the same basis for 2022. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 2023 | ​ | 2022
​ | ​ | Euro | ​ | US dollar | ​ | Euro | ​ | US dollar
​ |  | Rm |  | Rm |  | Rm |  | Rm
Equity |  | 75 |  | 1 209 |  | 325 |  | 1 239
Income statement |  | 75 |  | 1 209 |  | 325 |  | 1 239
​ A 10% movement in the opposite direction in the Group’s exposure to foreign currency would have an equal and opposite effect to the amounts disclosed above. Interest rate risk Interest rate risk is the risk that the value of short-term investments and financial activities will change as a result of fluctuations in the interest rates. Fluctuations in interest rates impact on the value of short-term investments and financing activities, giving rise to interest rate risk. The Group has significant exposure to interest rate risk due to the volatility in South African, European and US interest rates. How we manage the risk Our debt is comprised of different instrument notes, which by their nature either bear interest at a floating or a fixed rate. We monitor the ratio of floating and fixed interest in our loan portfolio and manage this ratio, by electing to incur either bank loans, bearing a floating interest rate, or bonds, which bear a fixed interest rate. We may also use interest rate swaps, where appropriate, to convert some of our debt into either floating or fixed rate debt to manage the composition of our portfolio. There were no open interest rate swaps at 30 June 2023 and consequently no hedge accounting was applied in the current year. In respect of financial assets, the Group’s policy is to invest cash at floating rates of interest and cash reserves are to be maintained in short-term investments (less than one year) in order to maintain liquidity, while achieving a satisfactory return for shareholders. ​
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management continued
Our exposure to and assessment of the risk At the reporting date, the interest rate profile of the Group’s interest-bearing financial instruments, including the effect of the interest rate swap was: ​
​ | ​ | ​ | ​ | ​
​ | ​ | Carrying value
​ | ​ | 2023 | ​ | 2022
​ |  | Rm |  | Rm
Variable rate instruments |  |  |  |
Financial assets |  | 50 123 |  | 40 250
Financial liabilities |  | (20 911) |  | (26 094)
​ |  | 29 212 |  | 14 156
Fixed rate instruments |  | ​ |  | ​
Financial assets |  | 7 005 |  | 7 121
Financial liabilities* |  | (103 317) |  | (78 913)
​ |  | (96 312) |  | (71 792)
Interest profile (variable: fixed rate as a percentage of total financial assets) |  | 88:12 |  | 85:15
Interest profile (variable: fixed rate as a percentage of total financial liabilities) |  | 17:83 |  | 25:75
| * | The increase in fixed exposure is due to the issuance of additional fixed-rate debt in the current period.
Cash flow sensitivity for variable rate instruments Financial instruments affected by interest rate risk include borrowings, deposits, trade receivables and trade payables. A change of 1% in the prevailing interest rate in a particular currency at the reporting date would have increased/(decreased) earnings by the amounts shown below before the effect of tax. The sensitivity analysis has been prepared on the basis that all other variables, in particular foreign currency rates, remain constant and has been performed on the same basis for 2022. Interest is recognised in the income statement using the effective interest rate method. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Income statement — 1% increase
​ |  | ​ |  | ​ |  | United States |  | ​
​ | ​ | South Africa | ​ | Europe | ​ | of America | ​ | Other
​ |  | Rm |  | Rm |  | Rm |  | Rm
30 June 2023 |  | 300 |  | 28 |  | (63) |  | 26
30 June 2022 |  | 257 |  | 22 |  | (153) |  | 16
​ A 1% decrease in interest rates would have an equal and opposite effect to the amounts disclosed above. The Group had exposure to the variable US dollar London Interbank Overnight Rate (LIBOR) through the USD term loan and revolving credit facilities. In the prior period, the Group has entered into USD interest rate swaps to convert a portion of the Group’s exposure to the variable LIBOR to a fixed rate. The swaps were designated as hedging instruments in a cash flow hedge. ​
37. | Financial risk management and financial instruments continued
37.2 Financial risk management continued Effective 15 March 2022, the term loan and revolving credit facilities as well as two of the swaps were transitioned to the Secured Overnight Financing Rate (SOFR). The transition also entailed the addition of a fixed credit adjustment spread to the SOFR and new fallback clauses. The fixed credit adjustment spread is based on the rate published by Bloomberg Index Services Limited following the Financial Conduct Authority’s Cessation Announcement on 5 March 2021. The Group qualified for and has applied the reliefs provided by IBOR reform Phase 2 that allowed the Group’s hedging relationships to continue. For the remaining swaps, the Phase 1 amendments allowed hedge accounting to continue for affected hedges during the period of uncertainty before the hedged items or hedging instruments are amended as a result of the interest rate benchmark reform. Throughout 2022, the Group has continued to make significant progress in repaying variable USD debt, to the extent that the forecasted future interest payments over the remaining term of the interest rate swap are largely no longer probable. Hedge accounting was discontinued prospectively from 30 April 2022 and the remaining balance of R1,1 billion in the hedge reserve was reclassified to profit as a derivative gain included in other operating expenses. The Group’s remaining exposure to IBORs relate mainly to loans denominated in JIBAR. Refer to note 1. Commodity price risk Commodity price risk is the risk of fluctuations in our earnings as a result of fluctuation in the price of commodities. ​ How we manage the risk The Group makes use of derivative instruments, including options and commodity swaps as a means of mitigating price movements and timing risks on crude oil purchases and sales and ethane purchases and export coal sales. The Group entered into hedging contracts which provide downside protection against decreases in commodity prices. Refer to the summary of our derivatives below. Our exposure to and assessment of the risk A substantial proportion of our turnover is derived from sales of petroleum and petrochemical products. Market prices for crude oil fluctuate because they are subject to international supply and demand and political factors. Our exposure to the crude oil price centres primarily around the selling price of the fuel marketed by our Energy business which is governed by the Basic Fuel Price (BFP) formula, the crude oil related raw materials used in our Natref refinery and certain of our offshore operations including where chemical prices are linked to the crude oil price. Key factors in the BFP are the Mediterranean and Singapore or Mediterranean and Arab Gulf product prices for petrol and diesel, respectively. Dated Brent crude oil prices applied during the year: ​
​ | ​ | ​ | ​ | ​
​ |  | Dated Brent Crude
​ | ​ | 2023 | ​ | 2022
​ | ​ | US$ | ​ | US$
High | ​ | 124,79 | ​ | 137,64
Average |  | 87,34 |  | 92,06
Low |  | 71,70 |  | 66,17
​ ​
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management continued
Summary of our derivatives In the normal course of business, the Group enters into various derivative transactions to mitigate our exposure to foreign exchange rates, interest rates and commodity prices. Derivative instruments used by the Group in hedging activities include swaps, options, forwards and other similar types of instruments.
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Financial | ​ | Financial | ​ | Financial | ​ | Financial | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | asset | ​ | liability | ​ | asset | ​ | liability | ​ | Income statement gain/(loss)
​ |  | 2023 |  | 2023 |  | 2022 |  | 2022 | ​ | 2023 | ​ | 2022 | ​ | 2021
​ |  | Rm |  | Rm |  | Rm |  | Rm |  | Rm |  | Rm |  | Rm
Commodity and currency derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swap options |  | — |  | — |  | — | ​ | — | ​ | — | ​ | 1 029 | ​ | (37)
Crude oil put options | ​ | 253 | ​ | — | ​ | — | ​ | — | ​ | (507) | ​ | — | ​ | (1 545)
Crude oil zero cost collars | ​ | — | ​ | — | ​ | 17 | ​ | (6 176) | ​ | 3 953 | ​ | (11 349) | ​ | (1 871)
Crude oil swap options | ​ | — | ​ | — | ​ | — | ​ | — | ​ | — | ​ | (5 140) | ​ | (1 267)
Crude oil futures | ​ | — | ​ | (12) | ​ | 25 | ​ | — | ​ | 401 | ​ | (1 049) | ​ | (774)
Ethane swap options | ​ | — | ​ | (158) | ​ | — | ​ | — | ​ | (272) | ​ | 279 | ​ | 680
Coal swap options | ​ | — | ​ | — | ​ | — | ​ | (112) | ​ | 1 099 | ​ | 691 | ​ | —
Other commodity derivatives | ​ | 10 | ​ | — | ​ | 61 | ​ | (53) | ​ | 180 | ​ | (593) | ​ | —
Forward exchange contracts | ​ | 133 | ​ | (353) | ​ | 68 | ​ | (50) | ​ | (1 339) | ​ | (677) | ​ | 1 011
Foreign exchange zero cost collars |  | 76 |  | (579) |  | 76 | ​ | (454) | ​ | (301) | ​ | (1 580) | ​ | 4 027
Embedded derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Convertible bond embedded derivative | ​ | — | ​ | (1 302) | ​ | — | ​ | — | ​ | 867 | ​ | — | ​ | —
Oxygen supply contract embedded derivatives* | ​ | 516 | ​ | (993) | ​ | 621 | ​ | (282) | ​ | (794) | ​ | 64 | ​ | 2 058
Non-derivative financial instruments |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investments at fair value through profit or loss** | ​ | 1 237 | ​ | — | ​ | — | ​ | — | ​ | — | ​ | — | ​ | —
​ | ​ | 2 225 | ​ | (3 397) | ​ | 868 | ​ | (7 127) | ​ | 3 287 | ​ | (18 325) | ​ | 2 282
| * | Relates to a US dollar derivative that is embedded in long-term oxygen supply contracts to our SO.
​
| ** | Fair value gains and losses are presented in other operating income and expenses, separately from derivative gains and losses.
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | Contract/Notional amount* | ​ | ​ | ​ | Average price**
​ | ​ | ​ | ​ | Open | ​ | Settled | ​ | Open | ​ | Settled | ​ | ​ | ​ | Floor | ​ | Cap | ​ | Floor | ​ | Cap
​ |  | ​ | ​ | 2023 | ​ | 2023 | ​ | 2022 | ​ | 2022 | ​ | ​ | ​ | 2023 | ​ | 2023 | ​ | 2022 | ​ | 2022
​ | ​ | ​ |  | Million |  | Million |  | Million |  | Million |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
Fair value hedges | ​ | ​ | ​ |  | ​ |  |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Crude oil put options purchased*** | ​ | barrels | ​ | 16,3 | ​ | — | ​ | — | ​ | 10,0 | ​ | US$/bbl | ​ | 49,4 | ​ | — | ​ | — | ​ | —
Crude oil put options sold | ​ | barrels | ​ | — | ​ | — | ​ | — | ​ | 10,0 | ​ | US$/bbl | ​ | — | ​ | — | ​ | — | ​ | —
Crude oil zero cost collars | ​ | barrels |  | — |  | 29,0 | ​ | 29,0 | ​ | 24,0 | ​ | US$/bbl | ​ | — | ​ | — | ​ | 63,3 | ​ | 96,6
Crude oil swap options | ​ | barrels | ​ | — | ​ | — | ​ | — | ​ | 18,0 | ​ | US$/bbl | ​ | — | ​ | ​ | ​ | — | ​ | ​
Crude oil futures | ​ | US$ |  | 2 |  | 21 | ​ | 1 | ​ | 29 | ​ | US$/bbl | ​ | 75,0 | ​ | ​ | ​ | 109,9 | ​ | ​
Ethane swap options | ​ | barrels |  | 3,6 |  | 1,3 | ​ | — | ​ | 4,0 | ​ | US$ c/gal | ​ | 30,1 | ​ | — | ​ | — | ​ | —
Coal swaps | ​ | ton | ​ | — | ​ | 0,9 | ​ | 0,4 | ​ | 1,0 | ​ | US$/ton | ​ | — | ​ | — | ​ | 293,7 | ​ | —
Forward exchange contracts | ​ | US$ |  | 836 |  | — | ​ | 334 | ​ | — | ​ | R/US$ | ​ | 18,61 | ​ | ​ | ​ | 16,24 | ​ | ​
Forward exchange contracts | ​ | EUR | ​ | 30 | ​ | — | ​ | 70 | ​ | — | ​ | US$/EUR | ​ | 1,10 | ​ | ​ | ​ | 1,07 | ​ | ​
Foreign exchange zero cost collars | ​ | US$ |  | 2 760 |  | 4 400 | ​ | 4 400 | ​ | 3 900 | ​ | R/US$ | ​ | 16,72 | ​ | 20,71 | ​ | 15,04 | ​ | 18,06
* The notional amount is the sum of the absolute value of all contracts for both derivative assets and liabilities. ** For open positions. *** Total premium paid for contracts entered into in the year US$42,0 million (2022: US$nil million).
37 | Financial risk management and financial instruments continued
37.2 | Financial risk management continued
Accounting policies: Derivative financial instruments and hedging activities The Group is exposed to market risks from changes in interest rates, foreign exchange rates and commodity prices. The Group uses derivative instruments to hedge its exposure to these risks. Additionally, there are embedded derivatives that have been bifurcated in certain of the Group’s long-term supply agreements and borrowings. All derivative financial instruments are initially recognised at fair value and are subsequently stated at fair value at the reporting date. Attributable transaction costs are recognised in the income statement when incurred. Resulting gains or losses on derivative instruments, excluding designated and effective hedging instruments, are recognised in the income statement. To the extent that a derivative instrument has a maturity period of longer than one year, the fair value of these instruments will be reflected as a non-current asset or liability. Contracts to buy or sell non-financial items (e.g. gas or electricity) that were entered into and continue to be held for the purpose of the receipt of the non‑financial items in accordance with the Group’s expected purchase or usage requirements are not accounted for as derivative financial instruments. Purchase commitments relating to these contracts are disclosed in note 3. Hedge accounting The Group continues to apply the hedge accounting requirements of IAS 39 ‘Financial Instruments: Recognition and Measurement’. Where a derivative instrument is designated as a cash flow hedge of an asset, liability or highly probable forecast transaction that could affect the income statement, the effective part of any gain or loss arising on the derivative instrument is recognised as other comprehensive income and is classified as a cash flow hedge accounting reserve until the underlying transaction occurs. The ineffective part of any gain or loss is recognised in the income statement. If the hedging instrument no longer meets the criteria for cash flow hedge accounting, expires or is sold, terminated, exercised, or the designation is revoked, then hedge accounting is discontinued prospectively. If the forecast transaction results in the recognition of a non-financial asset or non-financial liability, the associated gain or loss is transferred from the cash flow hedge accounting reserve, as other comprehensive income, to the underlying asset or liability on the transaction date. If the forecast transaction is no longer expected to occur, then the cumulative balance in other comprehensive income is recognised immediately in the income statement as reclassification adjustments. Other cash flow hedge gains or losses are recognised in the income statement at the same time as the hedged transaction occurs. Economic hedges When derivative instruments, including forward exchange contracts, are entered into as fair value hedges, no hedge accounting is applied. All gains and losses on fair value hedges are recognised in the income statement.

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