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Financial Risk Management Objectives and Policies | 12 Months Ended
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Dec. 31, 2020
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Financial Risk Management Objectives and Policies |
23. | Financial Risk Management Objectives and Policies
The Group’s principal financial instruments comprise cash, cash equivalents and short-term deposits. The main purpose of these financial instruments is to invest the proceeds of capital contributions and upfront payments from collaboration agreements. The Group has various other financial instruments such as other receivables and trade accounts payable, which arise directly from its operations. The main risks arising from the Group’s financial instruments are market risk and liquidity risk. The Board of Management reviews and agrees on policies for managing these risks as summarized below. The Group also monitors the market price risk arising from all financial instruments. Interest rate risk The exposure of the Group to changes in interest rates relates to investments in deposits and to changes in the interest for overnight deposits. Changes in the general level of interest rates may lead to an increase or decrease in the fair value of these investments. Regarding the liabilities shown in the Consolidated Statement of Financial Position, the Group is currently not subject to interest rate risks. The Group is subject to a limited risk resulting from negative interest rates on financial instruments, especially on cash and cash equivalents and Other financial assets. Credit risk Financial instruments that potentially subject the Group to concentrations of credit and liquidity risk consist primarily of cash and cash equivalents and short-term deposits. The Group’s cash and cash equivalents are denominated in Euros and US Dollars and maintained with two high-quality financial institutions in Germany and two in the United States. The maximum default risk is €232 million and €119 million as of December 31, 2020 and 2019, respectively. These amounts consist of €208 million and €103 million cash and cash equivalents as well as €24 million and €16 million Other financial assets as of December 31, 2020 and 2019, respectively. The cash and cash equivalents are held with banks, which are rated BBB+ to Aa3 by S&P and Moody`s. Short-term deposits are graded within the investment category from P1 to P2 by the rating agency Moody`s. The Group continually monitors its positions with, and the credit quality of, the financial institutions and corporation, which are counterparts to its financial instruments and does not anticipate non-performance. The Group monitors the risk of a liquidity shortage. The main factors considered here are the maturities of financial assets as well as expected cash flows from equity measures . Currency risk Currency risk shows the risk that the value of a financial instrument will fluctuate due to changes in foreign exchange rates. In particular it poses a threat if the value of the currency in which liabilities are priced appreciates relative to the currency of the assets. The business transactions of the Group are generally conducted in Euros and U.S. dollars. The Group aims to match EUR cash inflows with EUR cash outflows and U.S. dollar cash inflows with U.S. Dollar cash outflows where possible. The objective of currency risk management is to identify, manage and control currency risk exposures within acceptable parameters. Due to the initial public offering in 2020, the Group has a significant U.S. dollar amount on its statements of financial position. In 2020 the Group recognized significant foreign exchange losses as Immatics N.V.`s and Immatics GmbH´s functional currency is Euro, but both entities hold significant U.S. dollar amounts. Cash, cash equivalents and financial assets balances denominated in U.S. dollars held by entities with functional currency of EUR are as follows: Cash, cash equivalents and financial assets Immatics N.V.
|  | Year ended December 31, |
|  | 2020 |
|  | (Euros in thousands) |
Cash and cash equivalents |  |  | 42,528 |
Financial assets |  |  | — |
Total assets exposed to the risk |  |  | 42,528 |
Conversion rate EUR/USD as reporting date 1/1.2271 Cash, cash equivalents and financial assets Immatics GmbH
|  | Year ended December 31, |
|  | 2020 |
|  | (Euros in thousands) |
Cash and cash equivalents |  |  | 52,015 |
Financial assets |  |  | 24,448 |
Total assets exposed to the risk |  |  | 76,463 |
Conversion rate EUR/USD as reporting date 1/1.2271 Since the Group is primarily exposed to changes in U.S. dollars/euro exchange rates, th e sensitivity of profit or loss to changes in the exchange rates, results mainly from U.S. dollar financial instruments. In 2020, if the euro had weakened/strengthened by 10% against U.S. dollars by considering that all other variables held constant, the Group`s loss would have been €10.9 million higher/€13.2 million lower, resulting from foreign exchange on translation of U.S. dollar assets of Immatics N.V. and Immatics GmbH. Sensitivity analysis Immatics N.V.:
|  | Conversion rate |  |  | Profit/(loss) |  |  | Carrying amount |
|  | (Euros in thousands) |
Euro weakens by 1% against U.S. dollars |  |  | 1.2394 |  |  |  | (421 | ) |  |  | 42,107 |
Euro strengths by 1% against U.S. dollars |  |  | 1.2148 |  |  |  | 430 |  |  |  | 42,958 |
Euro weakens by 5% against U.S. dollars |  |  | 1.2885 |  |  |  | (2,025 | ) |  |  | 40,503 |
Euro strengths by 5% against U.S. dollars |  |  | 1.1657 |  |  |  | 2,238 |  |  |  | 44,766 |
Euro weakens by 10% against U.S. dollars |  |  | 1.3498 |  |  |  | (3,866 | ) |  |  | 38,662 |
Euro strengths by 10% against U.S. dollars |  |  | 1.1044 |  |  |  | 4,725 |  |  |  | 47,253 |
Sensitivity analysis Immatics GmbH:
|  | Conversion rate |  |  | Profit/(loss) |  |  | Carrying amount |
|  | (Euros in thousands) |
Euro weakens by 1% against U.S. dollars |  |  | 1.2394 |  |  |  | (757 | ) |  |  | 75,706 |
Euro strengths by 1% against U.S. dollars |  |  | 1.2148 |  |  |  | 772 |  |  |  | 77,235 |
Euro weakens by 5% against U.S. dollars |  |  | 1.2885 |  |  |  | (3,641 | ) |  |  | 72,822 |
Euro strengths by 5% against U.S. dollars |  |  | 1.1657 |  |  |  | 4,024 |  |  |  | 80,487 |
Euro weakens by 10% against U.S. dollars |  |  | 1.3498 |  |  |  | (6,951 | ) |  |  | 69,512 |
Euro strengths by 10% against U.S. dollars |  |  | 1.1044 |  |  |  | 8,496 |  |  |  | 84,959 |
Liquidity risk The Group continuously monitors its ris k to a shortage of funds. The Group’s objective is to maintain a balance between continuity of funding and flexibility through the use of capital raises. All financial liabilities are due within six months. As of December 31, 2020, and 2019, the Group held the following funds which are expected to generate cash inflows in time, to counteract liquidity risk.
|  | Year ended December 31, |
|  | 2020 |  |  | 2019 |
|  | (Euros in thousands) |
Cash and cash equivalents |  |  | 207,530 |  |  |  | 103,353 |
Short-term deposits |  |  | 24,448 |  |  |  | 16,023 |
Total funds available |  |  | 231,978 |  |  |  | 119,376 |
Market risk and currency risk of warrants The Group’s activities expose it to the financial risks of changes in price of the warrants. As the warrants are recognised at fair value on the consolidated statement of financial position of the Group, the Group’s exposure to market risks results from the volatility of the warrants price. The Warrants are publicly traded at the NASDAQ Stock Exchange. A reasonable increase (decrease) in the warrant price by 10%, with all other variables held constant, would lead to a (loss) gain before tax of €1.7 million with a corresponding effect in the equity. Currency risk shows the risk that the value of a financial instrument will fluctuate due to changes in foreign exchange rates. The warrants are traded in U.S. Dollar while the functional currency of Immatics N.V. is Euro. A reasonably increase (decrease) in the U.S. Dollar / Euro exchange rate by 10%, with all other variables held constant, would lead to a gain (loss) before tax of €1.9 million / (1.5 million) with a corresponding effect in the equity. The risks associated with our warrants result in non-cash, non-operating financial statement effects and have no impact on the Company’s cash position, operating expenses or cash flows.

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