2021 Universal Registration Document

5 2021 CONSOLIDATED FINANCIAL STATEMENTS Notes to the consolidated financial statements

The sensitivity of the interest rate derivatives portfolio to a plus or minus 50-basis-point change in the euro yield curves at 31 December 2021 is as follows:

-50 bp

+50 bp

Equity impact

P&L impact (hedge ineffectiveness)

Equity impact

P&L impact (hedge ineffectiveness)

(in millions of euros)

Swaps (cash flow hedge) in euros

- - -

- - - - - - -

- - -

- - - - - - -

Swaps (cash flow hedge) in foreign currency Swaps not eligible for hedge accounting Options eligible for hedge accounting in euros

-0.4

0.8

Options eligible for hedge accounting in foreign currency Options not eligible for hedge accounting in foreign currency

- -

- -

TOTAL

-0.4

0.8

Total impact

-0.4

0.8

The total amount of gross borrowings subject to interest rate risk was €198.1 million. Interest rate hedges in force at 31 December 2021 reduced this exposure to €48.1 million. The Group’s residual exposure to interest rate risk is as follows:

More than 5 years

Less than 1 year

1 to 2 years

2 to 3 years

3 to 4 years

4 to 5 years

31/12/2021

(in millions of euros)

Rate

Fixed rate

-

-

- - - - - - -

- - - - - - - - - - - - - -

- - - - - - - - - - - - - -

- - - - - - - - - - - - - -

- - - - - - - - - - - - - -

Short-term investment securities

Floating rate Floating rate Fixed rate Floating rate

27.9 27.9 189.3 189.3

Cash and cash equivalents

-

-

217.2 217.2 217.2 217.2

Total financial assets

Financial assets

Bonds

Fixed rate

-250.0

-

- -130.0 -120.0

Floating rate

-88.0 -8.0 -80.0

Bank borrowings

Fixed rate

-60.0

-

-

-60.0

Floating rate

-110.0 -85.0 -25.0

NEU CP (commercial paper) & MTN

Fixed rate Fixed rate

-35.0

-35.0

-1.2 -1.1 -0.1

Other financial debt

Floating rate

- -

- -

- - -

Fixed rate

Current bank overdrafts

Floating rate Fixed rate Floating rate Total financial liabilities

-0.1 -0.1

-346.2 -1.1 -35.1 -60.0

- -130.0 -120.0

-198.1 -93.1 -105.0

-

-

-

-

Financial liabilities (gross exposure before hedging)

-544.3 -94.1 -140.1 -60.0 -346.2 -1.1 -35.1 -60.0

- -130.0 -120.0 - -130.0 -120.0

FIXED RATE

NET EXPOSURE BEFORE HEDGING

FLOATING RATE

19.1 124.1 -105.0

-

-

-

-

Fixed-rate payer swaps in euros Fixed-rate payer swaps in foreign currency Fixed-rate payer options

-

-

-

-

-

-

-

-

- -

-

-

- -

- -

- - - - - -

Interest rate hedging instruments

150.0

75.0 75.0

FIXED RATE

-496.2 -1.1 -110.1 -135.0 -48.1 -93.1 -30.0 75.0 -496.2 -1.1 -110.1 -135.0 169.1 124.1 -30.0 75.0

- -130.0

GROSS EXPOSURE AFTER HEDGING

FLOATING RATE

-

-

FIXED RATE

- -130.0

NET EXPOSURE AFTER HEDGING

FLOATING RATE

-

-

The fair value of interest rate hedging derivatives is measured using the following assumptions:

218

SOPRA STERIA UNIVERSAL REGISTRATION DOCUMENT 2021

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