Derivative contracts Petroleum Fund Annual Report 2015

Notes to the financial statements for the year ended 31 December 2015 42

12. Financial risk and management objectives and policies continued

a Market risk continued ii Interest rate risk continued As at 31122015 USD FINANCIAL ASSETS Statement of financial position Non-interest sensitive 6 months or less 6 to 12 months 1 to 2 years 2 to 5 years 5- 10 years Over 10 years Cash and cash equivalents 135,176,810 - 135,176,810 - - - - - Other receivables 26,890,851 26,890,851 - - - - - - Financial assets at fair value through profit or loss 16,076,302,454 6,424,393,754 34,277,333 60,988,132 180,339,784 6,991,075,286 1,944,583,922 440,644,243 Total assets 16,238,370,115 6,451,284,605 169,454,143 60,988,132 180,339,784 6,991,075,286 1,944,583,922 440,644,243 Weighted average interest rate 0.81 1.76 2.47 1.59 1.80 0.69 As at 31122014 USD FINANCIAL ASSETS Statement of financial position Non-interest sensitive 6 months or less 6 to 12 months 1 to 2 years 2 to 5 years 5- 10 years Over 10 years Cash and cash equivalents 66,842,141 - 66,842,141 - - - - - Other receivables 20,063,101 20,063,101 - - - - - - Financial assets at fair value through profit or loss 16,466,483,685 6,579,664,007 44,222,766 50,606,515 92,779,228 7,197,227,704 2,073,355,264 428,628,201 Total assets 16,553,388,927 6,599,727,108 111,064,907 50,606,515 92,779,228 7,197,227,704 2,073,355,264 428,628,201 Weighted average interest rate 2.46 3.42 2.44 1.25 1.90 0.64 Summarised sensitivity analysis The following table summarises the sensitivity of the Funds operating profit and net assets attributable to interest rate risk. The analysis is based on reasonably possible movements in the benchmark with all other variables held constant and the fair value of the Funds portfolio moving according to the movement in the benchmark. The reasonably possible movements in the risk variables have been determined based on the investment managers’ best estimates, having regard to a number of factors, including historical levels of interest rates. However, actual movements in the risk variables may be greater or less than anticipated due to a number of factors, including unusually large market shocks resulting from changes in the performance of the economies, markets and securities to which the variable is exposed. As a result, historic variations in risk variables are not a definitive indicator of future variations in the risk variables. Interest rate risk Impact on operating profit Net assets -1.00 +1.00 31 December 2015 463,597,009 463,597,009 31 December 2014 469,201,057 469,201,057 The Petroleum Fund has determined that a fluctuation in interest rates of 1 is reasonably possible within a given one-year time period, given the economic environment in which the Fund operates. In determining the impact of an increasedecrease in net assets arising from market risk, management of the Fund has considered prior period and expected future movements of the portfolio based on market information. Notes to the financial statements for the year ended 31 December 2015 43

12. Financial risk and management objectives and policies continued

a Market risk continued iii Currency risk Currency risk is the risk that the value of a financial instrument will fluctuate due to changes in foreign exchange rates. The Petroleum Fund invests in fixed income and equity securities that are denominated in currencies other than the United States dollar. Accordingly, the Fund’s assets may be affected favourably or unfavourably by fluctuations in currency rates. Therefore, the Fund is necessarily subject to foreign exchange risks. The Funds assets are 74 2014: 74 in US Dollars, therefore exposure to currency movements are limited. The assets of the Petroleum Fund to which the Fund had significant currency exposure at balance date, reported in United States Dollar equivalents, are set out in the following table: As at 31122015 USD USD EUR AUD GBP JPY Other Currencies Total Cash and cash equivalents 93,125,682 6,739,595 1,703,043 1,337,560 1,102,465 31,168,465 135,176,810 Equity securities 3,784,991,393 734,478,624 162,983,537 485,484,977 579,451,558 676,772,309 6,424,162,398 Interest bearing securities 8,069,211,368 487,196,026 177,167,232 155,324,504 154,358,289 608,651,281 9,651,908,700 Receivables 5,074,427 6,993,763 449,699 1,133,159 774,704 12,465,099 26,890,851 Payables 5,476,730 188,468 1,992,105 10,986,901 51,904 2,101,502 20,797,610 Total physical exposure 11,946,926,140 1,235,219,540 340,311,406 632,293,299 735,635,112 1,326,955,652 16,217,341,149 Forward exchange contracts - buy foreign currency 56,344,283 11,393,418 1,991,859 17,874,536 18,287,053 25,474,946 131,366,095 - sell foreign currency 55,845,905 14,438,034 16,435,649 16,914,010 9,268,735 18,232,406 131,134,739 Total derivative exposure 498,378 3,044,616 14,443,790 960,526 9,018,318 7,242,540 231,356 Total net exposure 11,947,424,518 1,232,174,924 325,867,616 633,253,825 744,653,430 1,334,198,192 16,217,572,505 Exposure of Fund net assets 73.67

7.60 2.01

3.90 4.59

8.23 100

As at 31122014 USD USD EUR AUD GBP JPY Other Currencies Total Cash and cash equivalents 28,863,537 1,653,773 2,390,163 2,266,378 13,391,329 18,276,961 66,842,141 Equity securities 3,856,201,783 740,570,166 176,209,987 532,166,374 531,978,919 742,812,061 6,579,939,290 Interest bearing securities 8,311,880,936 454,765,394 163,501,748 193,285,097 147,261,709 616,124,794 9,886,819,678 Receivables 5,498,556 4,300,673 442,602 4,608,640 1,389,759 3,822,871 20,063,101 Payables 3,685,773 - 2,204,328 50,352 1,683,120 7,147,894 14,771,467 Total physical exposure 12,198,759,039 1,201,290,006 340,340,172 732,276,137 692,338,596 1,373,888,793 16,538,892,743 Forward exchange contracts Options - - - - - 18,075 18,075 - buy foreign currency 48,966,260 36,716,048 4,574,608 2,569,365 12,152,678 36,596,184 141,575,143 - sell foreign currency 48,606,135 37,274,235 4,578,906 2,568,965 12,292,038 36,548,222 141,868,501 Total derivative exposure 360,125 558,187 4,298 400 139,360 66,037 275,283 Total net exposure 12,199,119,164 1,200,731,819 340,335,874 732,276,537 692,199,236 1,373,954,830 16,538,617,460 Exposure of Fund net assets 73.76

7.26 2.06

4.43 4.19

8.30 100