AFD - 2019 Universal registration document

CONSOLIDATED FINANCIAL STATEMENTS PREPARED IN ACCORDANCE WITH IFRS

Notes to the consolidated financial statements

Note b 2.3 – Hedged items

31/12/2019

Current hedges

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

Accrued remeasurements of fair value hedges remaining

Accrued remeasurements of fair value hedges

Book value

In thousands of euros

Interest rate

14,883,136

859,567

-2,044

457,876

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 foreign exchange derivatives (cross-currency swaps) Loans and receivables due from credit institutions at amortised cost Loans and receivables due from customers at amortised cost

875,072

28,989

130

8,298

12,971,432

810,130

-997

434,087

1,036,633

20,447

-1,177

15,492

4,798,439

449,027

11,773

247,246

388,346

19,755

-1,303

15,797

4,410,094

429,272

13,076 9,729

231,449 705,122 -763,472 -763,472

Total fair value hedging of assets

19,681,576 -27,344,630 -27,344,630

1,308,594 -1,756,477 -1,756,477

-

Interest rate

48,297 48,297

0 0

Debt securities in issue at amortised cost Interest rate and foreign exchange derivatives (cross-currency swaps) Debt securities in issue at amortised cost

-5,989,377 -5,989,377

-439,406 -439,406

-

-122,812 -122,812

-73,250 -73,250

-

TOTAL FAIR VALUE HEDGING OF LIABILITIES

-33,334,006 -2,195,884

48,297

-122,812

-836,722

6

Note b 2.4 – Income resulting from hedge accounting

31/12/2019

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 hedging instruments *

Change in fair value of hedged items *

Part d’inefficacité de couverture

Change in fair value of hedged items *

Ineffective portion of hedge

In thousands of euros

Interest rate

334,296

-305,596

28,700

148,576

-109,263

39,313

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

-171,207

173,996

2,790

193,032

-202,000

-8,968

Other TOTAL

163,089

-131,600

31,490

341,608

-311,263

30,344

*

including sale of hedge.

135

UNIVERSAL REGISTRATION DOCUMENT 2019