Derivative financial instruments

12 Months Ended

Dec. 31, 2022

Derivative financial instruments [Abstract]

Note 9.- Derivative financial instruments

The breakdowns of the fair value amount of the derivative financial instruments as of December 31, 2022 and 2021 are as follows:

	Balance as of December 31, 2022				Balance as of December 31, 2021
	Assets		Liabilities		Assets		Liabilities
Interest rate cash flow hedge		94,192		12,159		9,550		206,763
Foreign exchange derivatives instruments		3,189		-		3,410		-
Notes conversion option (Note 14)		-		4,688		-		16,690
Total		97,381		16,847		12,960		223,453

The derivatives are primarily interest rate cash-flow hedges. All are classified as non-current assets or non-current liabilities, as they hedge long-term financing agreements.

As stated in Note 3 to these Consolidated Financial Statements, the general policy is to hedge variable interest rates of financing agreements using two types of hedging derivatives:

-	Interest rate swaps under which the Company receives the floating leg and pays the fixed leg; and

-	Purchased call options (cap), in exchange of a premium to fix the maximum interest rate cost.

The notional amounts hedged, strikes contracted and maturities, depending on the characteristics of the debt on which the interest rate risk is being hedged, can be diverse. As of December 31, 2022, approximately 92% of the Project debt and 96% of the Corporate debt of the Company either has fixed interest rates or has been hedged with swaps or caps (92% and 99%, respectively, as of December 31, 2021).

The table below shows a breakdown of the maturities of notional amounts of interest rate cash flow hedge derivatives as of December 31, 2022 and 2021.

Notionals	Balance as of December 31, 2022				Balance as of December 31, 2021
	Assets		Liabilities		Assets		Liabilities
Up to 1 year		245,147		47,029		71,386		106,191
Between 1 and 2 years		310,393		102,476		304,930		240,197
Between 2 and 3 years		217,498		112,855		262,973		271,350
Subsequent years		659,186		280,016		217,989		860,777
Total		1,432,224		542,376		857,278		1,478,515

The table below shows a breakdown of the maturity of the fair values of interest rate cash flow hedge derivatives as of December 31, 2022 and 2021:

Fair value	Balance as of December 31, 2022					Balance as of December 31, 2021
	Assets		Liabilities			Assets		Liabilities
Up to 1 year		10,868		(991	)		678		(15,039	)
Between 1 and 2 years		17,860		(2,189	)		1,810		(33,670	)
Between 2 and 3 years		12,257		(2,851	)		2,268		(39,834	)
Subsequent years		53,208		(6,128	)		4,794		(118,220	)
Total		94,192		(12,159	)		9,550		(206,763	)

The net amount of the fair value of interest rate derivatives designated as cash flow hedges transferred to the consolidated income statement in 2022 is a loss of $38,187 thousand (loss of $58,292 thousand in 2021 and a loss of $58,381 thousand in 2020).

The after-tax result accumulated in equity in connection with derivatives designated as cash flow hedges at the years ended December 31, 2022 and 2021, amount to a $345,567 thousand gain and a $171,272 thousand gain, respectively.

Additionally, the Company has currency options with leading international financial institutions, which guarantee minimum Euro-U.S. dollar exchange rates. The strategy of the Company is to hedge the exchange rate for the net distributions from its European assets after deducting euro-denominated interest payments and euro-denominated general and administrative expenses. Through currency options, the strategy of the Company is to hedge 100% of its euro-denominated net exposure for the next 12 months and 75% of its euro denominated net exposure for the following 12 months, on a rolling basis. Change in fair value of these foreign exchange derivatives instruments are directly recorded in the consolidated income statement.

Finally, the conversion option of the Green Exchangeable Notes issued in July 2020 (Note 14) is recorded as a derivative with a fair value (liability) of $5 million as of December 31, 2022 ($17 million as of December 31, 2021).