2013-vinci-annual-report

22.1.1 Sensitivity to interest rate risk
VINCI is exposed to the risk of fluctuations in interest rates, given:
ˇˇthe cash flows connected with net floating rate debt;
ˇˇfixed rate financial instruments recognised in the balance sheet at fair value through profit or loss;
ˇˇderivative financial instruments that are not designated as hedges. These mainly comprise net call option positions of which the maximum
loss over the life of the transaction is equal to the premium paid.
On the other hand, fluctuations in the value of derivatives designated as cash flow hedges are recognised directly in equity and have no
effect on profit or loss.
264 VINCI 2013 ANNUAL REPORT
The analysis below has been prepared assuming that the amount of the financial debt and derivatives at 31 December 2013 remains constant
over one year. The consequence of a variation in interest rates of 25 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.
31/12/2013
Income
Equity
(in € millions)
Impact of sensitivity
calculation
+25 bp
Impact of sensitivity
calculation
-25 bp
Impact of sensitivity
calculation
+25 bp
Impact of sensitivity
calculation
-25 bp
Floating rate debt after hedging (accounting basis) (23) 23 – –
Floating rate assets after hedging (accounting basis) 10 (10) – –
Derivatives not designated as hedges for accounting purposes 3 (3) – –
Derivatives designated as cash flow hedges – – 88 (91)
Total (10) 10 88 (91)
22.1.2 Fair value hedges
At the balance sheet date, details of the instruments designated as fair value hedges were as follows:
31/12/2013
Between Between
(in € millions)
Within 1 year 1 and 2 years 3 and 5 years After 5 years Notional amount Fair value
Receive fixed/pay floating interest rate swap 3 2 1,743 4,919 6,667 612
31/12/2012
Between Between
(in € millions)
Within 1 year 1 and 2 years 3 and 5 years After 5 years Notional amount Fair value
Receive fixed/pay floating interest rate swap 3 3 1,314 4,239 5,559 848
These transactions relate mainly to the fixed rate bond issues by ASF, VINCI SA and Cofiroute.
22.1.3 Cash flow hedges
The Group is exposed to fluctuations in interest rates on its floating rate debt and may set up floating rate lender/fixed rate borrower swaps
designated as cash flow hedges to hedge this risk.
Hedging of contractual cash flows
The Group has set up interest rate swaps that serve to render interest payments on floating rate debt fixed. Contractual cash flows relating
to swaps are paid symmetrically with the hedged interest payment flows. The amount deferred in equity is recognised in profit or loss in the
period in which the interest payment cash flow affects profit or loss.
Hedging of highly probable cash flows
The Group has set up deferred start swaps at ASF with maturities of up to 2020. These serve to fix the interest payments on future issues of
debt considered as highly probable. At 31 December 2013, the portfolio of these swaps was €637 million.
At 31 December 2013, details of the instruments designated as cash flow hedges were as follows:
31/12/2013
Between Between
(in € millions)
Within 1 year 1 and 2 years 3 and 5 years After 5 years Notional amount Fair value
Receive floating/pay fixed interest rate swap 103 73 1,017 295 1,488 (176)
Forward rate agreement (FRA) 3,000 – – – 3,000 1
Interest rate options (caps, floors and collars) 3 3 54 – 59 (5)
Interest rate derivatives: hedging
of contractual cash flows
3,106 76 1,071 295 4,547 (180)
Interest rate derivatives: hedging of highly
probable forecast cash flows (*) – – 4 633 637 8
Total 3,106 76 1,075 928 5,184 (172)
(*) Receive floating/pay fixed interest rate swap.