QUADIENT // 2021 Universal Registration Document

FINANCIAL STATEMENTS Consolidated financial statements

Derivative instrument details The instruments in the portfolio are listed below, according to type, currency and maturity.

Management mandates, packaged bank hedging products and derivative instruments that introduce a reference other than the underlying asset ( quanto swaps for example) are strictly forbidden by internal procedures.

Notional value

Currency

<1 year

1 to 5 years

>5 years

Cross currency swap – Lender EUR/Borrower USD

EUR/USD 18.3/20.0 27.4/30.0

-

Swap – buyer

EUR

-

29.5

-

Swap – receiver

USD

-

70.0

-

Cap – buyer

USD

25.0

45.0

-

Cap – buyer

EUR

-

70.0

-

Floor – buyer

USD

-

45.0

-

Floor – buyer

EUR

168.3

-

-

DERIVATIVE INSTRUMENTS QUALIFIED AS FAIR VALUE HEDGE ❚

Notional value

Currency

<1 year

1 to 5 years

>5 years

Swap – buyer

EUR

-

29.5

-

DERIVATIVE INSTRUMENTS QUALIFIED AS FUTURE CASH FLOW HEDGE ❚

6

Notional value

Currency

<1 year

1 to 5 years

>5 years

Cross currency swap

EUR/USD

-

27.4/30.0

-

Swap – receiver

USD

-

70.0

-

Cap – buyer

USD

25.0

45.0

-

Cap – buyer

EUR

-

70.0

-

Floor – buyer

USD

-

45.0

-

Floor – buyer

EUR

150.0

-

-

INSTRUMENTS NOT ELIGIBLE FOR HEDGE ACCOUNTING ❚

Notional value

Currency

<1 year

1 to 5 years

>5 years

Cross currency swap – Lender EUR/Borrower USD

EUR/USD 18.3/20.0

-

-

Floor – buyer

EUR

18.3

-

-

Instrument valuations Derivative instruments are recognized in accordance with the accounting principles and methods presented in note 11–4-1. All interest rate derivative instruments are thus valued on the balance sheet and in the income statement at their market value, in accordance with IFRS 9. According to IFRS 13, Quadient set up a credit risk methodology concerning the valuation of financial instruments. In light of the immaterial impacts of credit risk, Quadient decided not to recognize these in the financial statements at 31 January 2022.

Changes in the market value of instruments not eligible for hedge accounting have been charged in their entirety to the income statement. The ineffective portion of instruments eligible for hedge accounting, plus the time value of these instruments, have been charged to net financial expenses. Changes in the intrinsic value of these instruments have been recognized as restatement of equity. Quadient applies IFRS 9 on hedge instruments.

211

UNIVERSAL REGISTRATION DOCUMENT 2021