Investor Presentaiton
En+
GROUP
FINANCIAL STATEMENTS
En+ Group Annual Report 2021
STRATEGIC REPORT
CORPORATE GOVERNANCE
EN+ GROUP IPJSC
Notes to the Consolidated Financial Statements
for the year ended 31 December 2021
Derivative financial instruments are recorded at their fair value at each reporting date. Fair value is estimated
in accordance with Level 3 of the fair value hierarchy based on management estimates and consensus
economic forecasts of relevant future prices, net of valuation allowances to accommodate liquidity,
modelling and other risks implicit in such estimates. The Group's policy is to recognise transfers between
levels of fair value hierarchy as at the date of the event or change in circumstances that caused the transfer.
The following significant assumptions were used in estimating derivative instruments:
LME Al Cash, USD per tonne
Platt's FOB Brent, USD per barrel
2022
2,795
76
2023
2,658
71
2024
2,466
68
2025
2026
2,315
66
2,272
The movement in the balance of Level 3 fair value measurements of derivatives is as follows:
Balance at the beginning of the year
Unrealised changes in fair value recognised in statement of profit
or loss (finance expense) during the year
65
(226)
EN+ GROUP IPJSC
Notes to the Consolidated Financial Statements
for the year ended 31 December 2021
Long-term loans and borrowings, other non-current liabilities: the fair values of other non-current
liabilities are based on the present value of the anticipated cash flows and approximate carrying value, other
than Eurobonds and RUSAL Bratsk bonds issued. The fair value of the loans and borrowings with fixed and
floating interest rate as at 31 December 2021 and 31 December 2020 was calculated based on the
present value
of future principal and interest cash flows, using discount interest rate that take into account the currency of the
debt, expected maturity dates and credit risks associated with the Group that existed at the reporting date.
Derivatives: the fair value of derivative financial instruments, including embedded derivatives, is based on
quoted market prices. Where no price information is available from a quoted market source, alternative
market mechanisms or recent comparable transactions, fair value is estimated based on the Group's views on
relevant future prices, net of valuation allowances to accommodate liquidity, modelling and other risks
implicit in such estimates. Option-based derivatives are valued using Black-Scholes models and Monte-Carlo
simulations. The derivative financial instruments are recorded at their fair value at each reporting date.
The following table presents the fair value of Group's financial instruments measured at the end of the
reporting period on a recurring basis, categorised into the three-level fair value hierarchy as defined by
IFRS 13, Fair Value Measurement. The level into which a fair value measurement is classified is determined
with reference to the observability and significance of the inputs used in the valuation technique as follows:
31 December
2021
2020
USD million
USD million
(135)
54
(352)
Unrealised changes in fair value recognised in other comprehensive
•
income (cash flow hedge) during the year
(28)
(53)
Realised portion of electricity, coke and raw material contracts and
cross currency swap
451
90
Balance at the end of the year
(64)
(135)
During the year 2021 there have been no changes in valuation techniques used to calculate the derivative
financial instruments compared to prior year.
Management believes that the values assigned to the key assumptions and estimates represented the most
realistic assessment of future trends. The results for the derivative instruments are not particularly sensitive
to any factors other than the assumptions disclosed above.
UC RUSAL entered into various petroleum coke supply contracts and other raw materials where the price of
coke is determined with reference to the Brent oil price, LME aluminium price and average monthly
aluminium quotations. UC RUSAL also sells products to various third parties at prices that are influenced by
changes in London Metal Exchange aluminium prices. From time to time UC RUSAL enters into forward
sales and purchase contracts for a portion of its anticipated primary aluminium sales and purchases to reduce
the risk of fluctuating prices on these sales. During the year ended 31 December 2021 the Group recognised
a total net loss of USD 352 million in relation to the above contracts (31 December 2020: loss of
USD 226 million). Unrealised changes in fair value recognised in other comprehensive income (cash flow
hedge) during the period are fully attributable to cross currency swaps (note 17(b)).
Financial risk management and fair values
Level 1 valuations: Fair value measured using only Level 1 inputs i.e. unadjusted quoted prices in
active markets for identical assets or liabilities at the measurement date.
Level 2 valuations: Fair value measured using Level 2 inputs i.e. observable inputs which fail to meet
Level 1, and not using significant unobservable inputs. Unobservable inputs are inputs for which
market data are not available.
• Level 3 valuations: Fair value measured using significant unobservable inputs.
20.
(a)
Fair values
Management believes that the fair values of financial assets and liabilities approximate their carrying
amounts.
The methods used to estimate the fair values of the financial instruments are as follows:
Trade and other receivables, short-term investments, cash and cash equivalents, current loans and
borrowings and trade and other payables: the carrying amounts approximate fair value because of the
short maturity period of the instruments.
Investments in equity securities: measured at fair value through profit and loss, so, its carrying amount is
equal its fair value.
198
FINANCIAL STATEMENTS
Appendices
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