| Interest rate 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 | (5) | 2,297 | 2,222 | – | – | 75 |
| 31/12/2021 | 2 | 775 | – | 700 | – | 75 |
At 31 December 2022, non-hedging transactions mainly correspond to hedges of commercial paper and swaps arranged as anticipatory hedges at Arcour, which no longer met the criteria for hedge accounting.
VINCI generates more than 60% of its revenue in the eurozone. Contracts outside the eurozone are generally carried out in the local currency in respect of local subsidiaries’ activities, and usually in euros and dollars in the case of major export projects. The Group’s exposure to exchange rate risk is therefore limited.
VINCI’s exchange rate risk management policy consists of hedging the transactional risk connected with subsidiaries’ commercial or financial flows denominated in currencies other than their functional currency.
In addition, the Group’s strategy is intended to minimise asset-related exchange rate risk. Through regular monitoring, hedging levels are adjusted in line with currency exposures relating to net assets owned. A risk analysis is carried out for each new investment to decide whether or not to hedge the exposure, by converting euro-denominated financing into foreign currency or financing directly in foreign currency.
Transactions in exchange rate derivatives carried out by the Group, intended in particular to hedge its financial transactions, break down as follows:
| 31/12/2022 | ||||||
|---|---|---|---|---|---|---|
| (in € millions) | Balance sheet fair value | Notional | Within 1 year | Between 1 and 2 years | Between 2 and 5 years | After 5 years |
| Forward foreign exchange transactions | 4 | 122 | 104 | 17 | – | – |
| Cash flow hedges (*) | 4 | 122 | 104 | 17 | – | – |
| Currency swaps (incl. cross currency swaps) | (4) | 2,731 | 247 | 467 | 996 | 1,020 |
| Hedges of net foreign investments (*) | (4) | 2,743 | 259 | 467 | 996 | 1,020 |
| Currency swaps (incl. cross currency swaps) | (32) | 670 | 171 | 48 | 450 | – |
| Forward foreign exchange transactions | 1 | 405 | 405 | – | – | – |
| Exchange rate derivatives not designated as hedges for accounting purposes | (31) | 1,075 | 576 | 48 | 450 | – |
| Total exchange rate derivatives | (31) | 3,939 | 939 | 533 | 1,446 | 1,020 |
(*) Changes in the fair value of the hedging instrument are recognised under “Other comprehensive income” (OCI) for the effective portion and in the income statement for the period for the ineffective portion.
| 31/12/2021 | ||||||
|---|---|---|---|---|---|---|
| (in € millions) | Balance sheet fair value | Notional | Within 1 year | Between 1 and 2 years | Between 2 and 5 years | After 5 years |
| Forward foreign exchange transactions | 4 | 226 | 204 | 6 | 15 | – |
| Cash flow hedges (*) | 4 | 226 | 204 | 6 | 15 | – |
| Currency swaps (incl. cross currency swaps) | (141) | 2,597 | 474 | 109 | 838 | 1,177 |
| Hedges of net foreign investments (*) | (142) | 2,597 | 474 | 109 | 838 | 1,177 |
| Currency swaps (incl. cross currency swaps) | (18) | 589 | 150 | 146 | 224 | 69 |
| Forward foreign exchange transactions | (1) | 438 | 438 | – | – | – |
| Exchange rate derivatives not designated as hedges for accounting purposes | (19) | 1,027 | 588 | 146 | 224 | 69 |
| Total exchange rate derivatives | (156) | 3,850 | 1,267 | 261 | 1,077 | 1,245 |
(*) Changes in the fair value of the hedging instrument are recognised under “Other comprehensive income” (OCI) for the effective portion and in the income statement for the period for the ineffective portion.
The Group’s principal hedges of net foreign investments were as follows at 31 December 2022:
| (in € millions) | 31/12/2022 | ||||
|---|---|---|---|---|---|
| Currency | GBP (pound sterling) | USD (US dollar) | MXN (Mexican peso) | SGD (Singapore dollar) | JPY (Japanese yen) |
| Notional amount of derivatives designated as NIH | 2,121 | 274 | – | 120 | – |
| Nominal amount of debt designated as NIH | 902 | 957 | 420 | – | 87 |
NIH: Net investment hedge.
