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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