The analysis below has been prepared assuming that the amount of the financial debt and derivatives at 31 December 2022 remains constant over one year. The consequence of a variation in interest rates of 100 basis points at the balance sheet date would be an increase or decrease of equity and pre-tax income for the amounts shown below. For the purpose of this analysis, the other variables are assumed to remain constant.
| 31/12/2022 | ||||
|---|---|---|---|---|
| Income | Equity | |||
| (in € millions) | Impact of sensitivity calculation+100 bps | Impact of sensitivity calculation−100 bps | Impact of sensitivity calculation+100 bps | Impact of sensitivity calculation−100 bps |
| Floating rate debt after hedging (accounting basis) | (161) | 161 | – | – |
| Floating rate assets after hedging (accounting basis) | 92 | (92) | – | – |
| Derivatives not designated as hedges for accounting purposes | 16 | (16) | – | – |
| Derivatives designated as cash flow hedges | 319 | (319) | ||
| Total | (53) | 53 | 319 | (319) |
At the balance sheet date, details of the instruments designated as fair value hedges, which include receive fixed/pay floating interest rate swaps and cross currency swaps, were as follows:
| Receive fixed/pay floating interest rate swap (incl. cross currency swaps) | ||||||
|---|---|---|---|---|---|---|
| (in € millions) | Fair value | Notional | Within 1 year | Between 1 and 2 years | Between 2 and 5 years | After 5 years |
| 31/12/2022 | (1,838) | 15,620 | 820 | 235 | 3,385 | 11,180 |
| 31/12/2021 | 567 | 15,276 | 1,259 | 820 | 2,378 | 10,819 |
These transactions relate mainly to fixed rate bond issues by ASF, VINCI SA and Cofiroute.
The Group is exposed to fluctuations in interest rates on its floating rate debt and may set up receive floating/pay fixed interest rate swaps designated as cash flow hedges to hedge this risk.
These transactions mainly involve the holding companies, motorway projects and other concessions.
At 31 December 2022, details of the instruments designated as cash flow hedges were as follows:
| 31/12/2022 | ||||||
|---|---|---|---|---|---|---|
| (in € millions) | Fair value | Notional | Within 1 year | Between 1 and 2 years | Between 2 and 5 years | After 5 years |
| Receive floating/pay fixed interest rate swaps (incl. cross currency swaps) | 324 | 2,868 | 278 | 164 | 980 | 1,446 |
| Interest rate options (caps, floors and collars) | – | 16 | 5 | 5 | 6 | – |
| Total interest rate derivatives designated as cash flow hedges for accounting purposes | 324 | 2,884 | 283 | 169 | 986 | 1,446 |
| of which hedging of contractual cash flows | 324 | 2,884 | 283 | 169 | 986 | 1,446 |
| 31/12/2021 | ||||||
|---|---|---|---|---|---|---|
| (in € millions) | Fair value | Notional | Within 1 year | Between 1 and 2 years | Between 2 and 5 years | After 5 years |
| Receive floating/pay fixed interest rate swaps (incl. cross currency swaps) | (139) | 5,944 | 3,086 | 221 | 1,071 | 1,566 |
| Interest rate options (caps, floors and collars) | (1) | 20 | 4 | 5 | 11 | – |
| Total interest rate derivatives designated as cash flow hedges for accounting purposes | (141) | 5,964 | 3,091 | 225 | 1,082 | 1,566 |
| of which hedging of contractual cash flows | (141) | 5,964 | 3,091 | 225 | 1,082 | 1,566 |
The following table shows the periods in which the Group expects the amounts recorded in equity at 31 December 2022 for the instruments designated as cash flow hedges to have an impact on profit or loss:
| 31/12/2022 | |||||
|---|---|---|---|---|---|
| (in € millions) | Amount recorded in equity of controlled companies | Amount recycled in profit or loss | |||
| Within 1 year | Between 1 and 2 years | Between 2 and 5 years | After 5 years | ||
| Total interest rate derivatives designated as cash flow hedges for accounting purposes | 266 | 127 | 27 | 57 | 56 |
| of which existing instruments | 320 | 132 | 32 | 70 | 87 |
| of which unwound instruments | (54) | (4) | (4) | (13) | (31) |
