AFD - 2018 Registration document

CONSOLIDATED FINANCIAL STATEMENTS PREPARED IN ACCORDANCE WITH IFRS ACCOUNTING PRINCIPLES ADOPTED BY THE EUROPEAN UNION Notes to the consolidated financial statements

Note 2.3 – Hedged items

31/12/2018

Current hedges

Expired hedges

Remeasurement of fair value during the hedging period (incl. hedges that expired in the period)

Accrued remeasurements of fair value hedges

Accrued remeasurements of fair value hedges remaining

Accrued remeasurements of fair value

Book value

In thousands of euros

Interest rate derivatives

12,924,185

403,822

-16,580

42,569

Loans and receivables due from credit institutions at amortised cost Loans and receivables due from customers at amortised cost Financial assets at fair value through equity Interest rate and exchange (currency swap hedges) Loans and receivables due from credit institutions at amortised cost Loans and receivables due from customers at amortised cost Total fair value hedging of assets Interest rate derivatives Debt securities in issue at amortised cost Interest rate and exchange (currency swap hedges) Debt securities in issue at amortised cost TOTAL FAIR VALUE HEDGING OF LIABILITIES

936,350

20,663

338

250

10,938,049

378,043

-3,529

31,089

1,049,787

5,115

-13,390

11,229

4,437,663

203,136

6,678

124,229

336,027

3,915

3,913

11,671

4,101,636

199,221

2,765

112,558

17,361,848 -22,915,919

606,958 -957,671

-

-9,902 -18,217

166,798 -151,832

12,963

-22,915,919

-957,671

12,963

-18,217

-151,832

-5,703,645

-363,883

-

18,913

-326,229

6

-5,703,645

-363,883

-

18,913

-326,229

-28,619,564

-1,321,553

12,963

697

-478,061

Note 2.4 – Income resulting from hedge accounting

31/12/2017

31/12/2018

Net income (Income resulting from hedge accounting)

Net income (Income resulting from hedge accounting)

Change in fair value of hedging instruments*

Change in fair value of hedged items*

Change in fair value of hedging instruments*

Change in fair value of hedged items*

Ineffective portion of hedge

Ineffective portion of hedge

In thousands of euros

Interest rate derivatives

148,576

109 263

39 313

-140,360

157,064

16,704

Interest rate and foreign exchange derivatives (cross- currency swaps)

193,032

202 000

8968

-28,795

46,911

18,117

Other TOTAL

341,608

-311,263

30,344

-169,155

203,976

34,821

*

Including expired hedges.

139

REGISTRATION DOCUMENT 2018