PERNOD RICARD - Universal Registration Document 2019-2020

6. CONSOLIDATED FINANCIAL STATEMENTS Notes to the consolidated financial statements

Notional amount of contracts

Fair value

Description of financial instrument

> 1 year and < 5 years > 5 years

Type of hedging at 30.06.2020 € million

< 1 year

Total

Assets Liabilities

Fair value hedge

44 44

- -

Swaps

Interest rate risk hedges

357

536

179

1,072

Cross-currency swaps

Interest rate and currency risk hedges

- - -

- - -

- - -

- - -

-

- - -

Net investment hedge Currency risk hedges

13

FX forwards

-

Cross-currency swaps

Interest rate and currency risk hedges

- -

460

- -

460

13

- -

Net asset hedging

-

-

-

Cross-currency swaps

Interest rate and currency risk hedges

-

-

-

-

-

- -

DERIVATIVE INSTRUMENTS INCLUDED IN NET DEBT

57

Cash flow hedge

0

3 3

Swaps

Interest rate risk hedges

179

-

-

179

-

Currency swaps and FX forwards and FX options

Hedging of currency risk on intragroup financing and operational hedging

38

-

- - -

38

0 0 9

0 0

Swaps

Commodity risk hedges Non hedge accounting

7 -

2

9

-

-

21

Currency swaps and FX forwards

Hedging of currency risk on intragroup financing and operational hedging

1,821

- -

- -

1,821

4 5

10

Swaps

Interest rate risk hedges

1,250

1,250

11

TOTAL DERIVATIVE INSTRUMENTS

66 54

24

TOTAL NON-CURRENT

0

TOTAL CURRENT

12

24

The notional amount of these contracts is the nominal value of the contracts. Foreign currency denominated notional amounts in cross-currency swaps are shown in euros at the exchange rate agreed. For other instruments, notional amounts denominated in foreign currencies are translated into euros at year-end rates. Estimated market values are based on information available on the financial markets and valuation methods appropriate to the type of financial instrument concerned. These valuation methods yield results consistent with the valuations provided by bank counterparties. The Group’s hedging instruments at 30 June 2020 are not ineffective.

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