ÖBB Annual Report 2023

289 Consolidated Financial Statements Österreichische Bundesbahnen-Holding Aktiengesellschaft Consolidated Financial Statements | Group Management Report 71 29.4. Commodity risks The Energy Plant Management/Energy Management division of ÖBB-Infrastruktur AG is responsible for the procurement of grid-based energy sources and energy-related products (emission certificates, guarantees of origin) in the ÖBB Group. All of these products are either supplied to internal or external customers or used to operate the 16.7 Hz traction current network. Price fluctuations of these products influence the expenses of the ÖBB Group and thus represent a market risk. The ÖBB Group is strongly affected by electricity price volatility, as about two thirds of the required traction current and all the electricity to supply the operating facilities (stations, etc.) are procured on the electric power market. The risk management strategy therefore provides for price hedging. A significant risk in the procurement of energy is the fluctuation of market prices. This is particularly important in view fact that the sales prices for traction current and the tariffs for operating facilities for each calendar year have to be fixed in the fourth quarter before the start of deliveries or the tariffs for the use of the traction current grid need to be announced for the first time at least one year earlier. It is therefore particularly relevant for the ÖBB Group to have already hedged or fixed the prices in advance. Price hedging is effected by concluding forward and futures contracts for the planned purchase volumes for traction current, energy losses and operating equipment. In addition to price hedging, hedging also serves to increase planning security, which is necessary as a basis for price calculation. The ÖBB Group resolved to implement a long-term rolling hedge in view of the procurement strategies and in order to diversify risks. The defined procurement period varies depending on the underlying hedged items (up to three years for energy). A certain percentage of the quantity to be procured (a required coverage, the target purchase quantity) must be purchased at defined points in time for each procurement year by the energy industry portfolio management. An upper and lower quantity corridor has been defined in order to incorporate the price expectation of the portfolio management in the procurement. There is the possibility to hedge more or less quantity than the target purchase quantity within the lower and upper corridors, depending on the price expectation. This corridor ceases to apply at the end of the procurement period, i.e. the target purchase quantity corresponds to 100% coverage. 29.4.1. Cash flow hedges – Electricity The ÖBB-Infrastruktur subgroup has concluded electricity transactions (long-term procurement contracts, electricity forwards and futures on the purchasing side). These electric power transactions serve to hedge the electric power procurement price for the planned purchase volumes, taking into account the management of the generation portfolio and the long-term purchase contracts. The forward transactions are conducted through the OTC market (forwards). The cash flow changes of the planned electric power purchases resulting from the change in the electric power price are offset by the cash flow changes forwards and futures, which were to be classified as derivatives according to IFRS 9. The aim of the hedging measures is to fix the variable electric power prices of the electric power purchases planned. Should purchase contracts be closed by offsetting transactions after the final purchase contracts have been negotiated, both transactions are recognised at fair value through profit or loss. The amount recognised in other comprehensive income until closing is transferred to the income statement upon settlement forward contract (operating facilities closed). ÖBB-Infrastruktur AG only designates the price component of the expected future procurement related to the European Energy Exchange Settlement Price as hedged risk in the case of electricity forward contracts designated as cash flow hedges. The electric power price zone separation into the areas of Germany and Austria as of 01.10.2018 means that the hedge no longer covers the transport surcharge. The ÖBB Group hedges approx. 1,200 GWh per delivery year on a rolling basis over a period of one to three years for the purchase of traction current and energy losses as well as approx. 310 GWh for operating facilities. Derivatives with a positive fair value are reported under current or non-current financial assets, depending on the maturity band (Note 18). Derivatives with a negative fair value are reported in current or non-current financial liabilities depending on the maturity band (Note 25). Power derivatives designated as hedges Dec 31, 2023 Nominal (contract price) Average exercise price Fair value Maturity Number of swaps MWh in EUR million in EUR in EUR million Portfolio 602 2,301,052 279.8 -66.2 thereof maturing 2024 387 1,270,447 154.7 121.8 -40.1 thereof maturing 2025 196 846.645 106.2 127.9 -23.9 thereof maturing 2026 18 175.200 18.1 103.6 -2.1 thereof maturing 2027 1 8.760 0.8 87.8 0.0