Management Report 2020
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Management Report 2020
The table below shows the opening of foreign exchange derivatives by counterparty (of the Company and its subsidiaries):
Description
Banco Itaú BBA S/A
XP Investimentos S.A.
Banco Safra S.A.
Banco BNP Paribas Brasil S.A.
Banco Bradesco S/A
Banco Votorantim S/A
Morgan Stanley S/A
Banco J.P. Morgan S/A
Banco Santander Brasil S/A
Banco ABC Brasil S.A.
Rabobank International Brasil S.A.
Banco BTG Pactual S.A.
TOTAL
SLC
Agrícola
Reference value (notional)
Currency
12/31/2020
12/31/2019
Currency
Fair value
12/31/2020
12/31/2019
USD
63,350
98,990
R$
USD
15,470
15,000
R$
(18,953)
3,356
1,175
(979)
USD
26,450
7,475
R$
(1,212)
(58)
USD
79,910
5,700
R$
3,475
1,197
USD
23,050
31,795
R$
2,140
(939)
USD
20,490
70,460
R$
(7,781)
(3,524)
USD
24,570
72,100
R$
(14,188)
4,433
USD
58,260
14,550
R$
(26,378)
781
USD
38,530
66,962
R$
(16,864)
1,425
USD
17,730
16,760
R$
(13,169)
2,035
USD
11,000
29,990
R$
(5,191)
(2,988)
USD
53,000
8,000
R$
17,675
(1,099)
USD
431,810
437,782
R$
(77,090)
1,459
The following criteria were used to determine the fair value of forward contract
operations (NDF): future dollar curve published by B3 (www.b3.com.br)at the end
of each period. Based in this information, the adjustment projected in the maturity
of each operation is discounted by the yield curve DI x Pre B3 (www.b3.com.br) of
closing each period.
Risks of exchange rate variation
The Company projected the potential impact of foreign exchange hedging opera-
tions and indebtedness in dollars in five scenarios for the years 2021 and 2022,
as follows:
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Probable Scenario: Based on the FOCUS report (BACEN) released on Decem-
ber 28, 2020, we have defined the probable scenario with the dollar quotation
of R$ 5.0000 varying to the Ptax rate of R$ 5.1967 on December 31, 2020.
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Exchange rate Decrease of 25%: in this scenario the operations would be set-
tled at the rate of R$ 3.7500, equivalent to 25% lower than the rate in the
Probable Scenario.
Decrease of 50% in the exchange rate: in this scenario the operations would
be settled at the rate of R$ 2.5000, equivalent to 50% less than the rate in
the Probable Scenario.
Increase of 25% in the exchange rate: in this scenario the operations would
be settled at the rate of R$ 6.2500, equivalent to 25% higher than the rate in
the Probable Scenario.
Increase of 50% in the exchange rate: in this scenario the operations would
be settled at the rate of R$ 7.5000, equivalent to 50% higher than the rate in
the Probable Scenario.
The following is a summary of the consolidated impacts in each projected scenario:
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