AFD - 2019 Universal registration document

CONSOLIDATED FINANCIAL STATEMENTS PREPARED IN ACCORDANCE WITH IFRS 6 Notes to the consolidated financial statements

NOTE 2 Financial hedging derivatives Note b 2.1 – Fair value hedging instruments

31/12/2019

31/12/2018

Book value

Book value

Assets Liabilities

Notional

Assets Liabilities

In thousands of euros

Notional

Fair value hedging Interest rate derivatives

1,787,323

940,348 41,278,499 1,170,325

528,955 35,364,382

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

771,655

545,769 10,580,278

653,914

411,385 10,092,654

TOTAL

2,558,977 1,486,117 51,858,777 1,824,239 940,339 45,457,037

Note b 2.2 – Analysis by residual maturity (notional) The breakdown of the notional amount of hedging derivatives is presented by residual contractual maturity.

Less than 3 b months

3 b months to b 1 b year

From 1 to b 5 b years

More than b 5 b years

31/12/2019

In thousands of euros

Fair value hedging Interest rate derivatives

240,000

787,167 12,232,268 28,019,064 41,278,499

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

1,114,098 1,256,475 3,697,707 4,511,998 10,580,278 1,354,098 2,043,641 15,929,975 32,531,062 51,858,777

TOTAL

Less than 3 b months

3 b months to b 1 b year

From 1 to b 5 b years

More than b 5 b years 31/12/2018

In thousands of euros

Fair value hedging Interest rate derivatives

-

100,989 8,609,690 26,653,703 35,364,382

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

884,722

887,113 3,876,583 4,444,236 10,092,654

TOTAL

884,722 988,103 12,486,273 31,097,939 45,457,037

134

UNIVERSAL REGISTRATION DOCUMENT 2019

www.afd.fr