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EXPLANATIONS to the accounting (financial) statements of JSC “INTER RAO UES” for the year 2012 As of the reporting date of December 31, 2012 the off-balance-sheet items of the Company reflected security of Company’s obligations under forward contracts in the amount of 7,723,891 thousand rubles, calculated on the basis of the exchange rate of the Central Bank of the Russian Federation as of December 31, 2012, as well as the security of obligations of counteragent banks in the amount of 8,450,530 thousand rubles, calculated at the rate of forward deals. All deals will be executed in 2013. Net fair value of forward contracts as of December 31, 2012 is equal to 179,086 thousand rubles (45,761 thousand rubles – as of December 31, 2011). When assessing the fair value, Bloomberg analytical system data were used. Interest Swap In order to minimize potential financial losses, in consequence of the growth of LIBOR6m floating rate index, the Company entered into a transaction — interest-rate swap to hedge changes in future interest payments on the loan received. The financial result of the Transaction is reflected by the Company in the structure of interests received/paid. Fulfilment of obligations under the transaction occurs once in half a year until the end of the interest rate swap -November 12, 2013. Under the terms of Transaction the Company effects payments to the Bank-counteragent based on a fixed rate and receives payments based on LIBOR6m floating rate index calculated similarly to the interests on the loan received on the basis of the LIBOR6m floating rate index. This hedging transaction allows, in terms of established share of hedging, insurance against the fall of cash flows of the Company in consequence of the growth of LIBOR6m floating rate index. When assessing the efficiency, the Company uses retrospective and perspective hedge efficiency analyses. Based on the results of perspective and retrospective analyses, as of December 31, 2012, hedging of interest rate risks with the use of the said interest rate swap transaction has been found efficient. Net negative fair value (loss) of interest swap as of December 31, 2012 is equal to 68,649 thousand rubles (121,288 thousand rubles – as of December 31, 2011). When assessing the fair value, Bloomberg analytical system data were used. Futures Contracts at the Energy Exchange 98
EXPLANATIONS to the accounting (financial) statements of JSC “INTER RAO UES” for the year 2012 Futures used for Hedging Purposes The Company uses futures as a price risk hedging instrument at the DAM (Day-Ahead Market). Unfavourable changes in electricity prices at the DAM may reduce the profit margin relative to a margin profit indicator, approved in the Company's business plan. The purpose of entering into hedging futures is the reduction in price risk at the DAM and the achievement of profit margin indicator, approved in the Company's business plan. As of December 31, 2012, the Company reflects on the off-balance-sheeet items open long futures positions on futures in order to hedge the risk of increase in the electricity prices at the Day-Ahead Market at market valuation of 61,847 thousand rubles. For the purposes of assessing the hedging efficiency with the use of these instruments, the Company uses the retrospective and prospective analyzes using a hypothetical derivative method. According to the said method it is defined how the actual change in the fair value of net cash flows of hypothetical derivative is compensated with the actual change in the fair value of net cash flows of hedging instruments. Based on the retrospective and prospective hedging efficiency analysis as of December 31, 2012, the hedging of obligations on purchase of electricity in a free sector of Wholesale Electricity and Power Market (WEPM) for ensuring the electricity supplies for export at the price prevailing in the market for each hour (date) during the period of supply with the help of transactions with futures contracts on the average price index can be considered efficient, since at the time of decision on hedging, a prospective analysis of its efficiency has been positive. Other futures As of December 31, 2012, the market valuation of forward transactions open positions is reflected on the off-balance accounts of the Company, and namely: • Transactions aimed at speculation for a purchase of futures contracts in the quantity of 316 at market valuation of 56,001 thousand rubles with the purpose of its further resale (execution) at the market price. • Transactions aimed at speculation for a sale of futures contracts in the quantity of 528 at market valuation of 23,462 thousand rubles with the purpose of its further purchase (execution) at the market price. 99
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