Sopra Steria - 2019 Universal registration document

6 2019 PARENT COMPANY FINANCIAL STATEMENTS Notes to the balance sheet

FINANCIAL INSTRUMENTS 5.5.2.

The eligible counterparties for interest rate hedging and investments are leading financial institutions which belong to the Sopra Steria banking syndicate. These financial instruments are managed by the Group Finance Department. For transactions qualifying as hedges, the underlying hedged risk consists of a group of floating-rate financial liabilities. At 31 December 2019, floating-rate financial liabilities mainly comprised the euro-denominated tranche of the 2014 syndicated loan (€112 million), the NEU CPs (€120 million) and a portion of the NEU MTNs (€79 million).

Interest rate hedge a. Within the framework of the Group’s policy, the Company’s aim is to protect itself against interest rate fluctuations by hedging part of its floating rate debt and investing its cash over periods of less than three months. The Company does not conduct speculative transactions on financial markets. The derivative financial instruments used to hedge the debt are interest rate swap contracts or options, which may or may not be eligible for hedge accounting.

Fair value

31/12/2019

Maturity

Non-current assets

Current assets

Non-current liabilities

Current liabilities

Notional amount

1 to 5 years> 5 years

< 1 year

(in thousands of euros)

Swap (cash flow hedge) in euros

-

-

-

-

-

Swap (cash flow hedge) in foreign currency Options eligible for hedge accounting in euros

-

-

-

-

-

-

-

-

750

-

1,742

-

275,000

- 275,000

-

Options eligible for hedge accounting in foreign currency Swaps not eligible for hedge accounting in euros Options not eligible for hedge accounting in euros TOTAL INTEREST RATE HEDGES

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

2

- -

167

-

50,000

-

50,000

- -

753

1,909

- 325,000

- 325,000

Transactions not qualifying as hedges relate to contracts for options not written on an underlying at 31 December 2019. At 31 December 2019, the fair value of interest rate instruments was negative €1.156 million.

The portfolio’s sensitivity in the event of a change in interest rates is: a decrease of €0.571 million in the event of a drop of 50 basis p points in interest rates; an increase of €1.854 million in the event of a rise of 50 basis p points in interest rates.

-50 bps

+50 bps

P&L impact (hedge ineffectiveness)

P&L impact (hedge ineffectiveness)

Equity impact

Equity impact

(in thousands 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

- 555

- 13

1,752

12

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

-

-

-

-

-

- 3

-

90

TOTAL

- 555

- 16 -571

1,752 1,854

102

Total impact

243

SOPRA STERIA UNIVERSAL REGISTRATION DOCUMENT 2019