11.2.2.1 Sensitivity analysis: risk of movements in prices of carbon dioxide (CO2) emission allowances
The analysis of sensitivity of CO2 contracts’ fair value as at December 31st 2021 and December 31st 2020 is presented below:
| Dec 31 2021 | Dec 31 2020 | |||||
|---|---|---|---|---|---|---|
| Carrying amount | Change* | Carrying amount | Change** | |||
| + implied volatility | – implied volatility | + implied volatility | – implied volatility | |||
| Financial assets | 176.9 | 262.0 | (262.0) | 14.8 | 109.4 | (109.4) |
| Financial liabilities | 0.5 | (50.9) | 50.9 | – | – | – |
| Effect on profit/loss | 312.9 | (312.9) | 109.4 | (109.4) | ||
*With respect to instruments held as at December 31st 2021, the above deviations of prices of CO2 emission allowances were calculated based on the implied annual volatility of EUA futures contracts of December 31st 2021, as published by SuperDerivatives; the implied volatility was 47.5%.
**With respect to instruments held as at December 31st 2020, the above deviations of prices of CO2 emission allowances were calculated based on the implied annual volatility of EUA futures contracts of December 31st 2020, as published by SuperDerivatives; the implied volatility was 46.79%.
**With respect to instruments held as at December 31st 2020, the above deviations of prices of CO2 emission allowances were calculated based on the implied annual volatility of EUA futures contracts of December 31st 2020, as published by SuperDerivatives; the implied volatility was 46.79%.