AFD // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS 6 Notes to the consolidated financial statements

Note ɸ 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 ɸ months

From 3 ɸ months to 1 ɸ year

From 1 to

5 ɸ years Over 5 ɸ years

31/12/2021

In thousands of euros

Fair value hedging Interest rate derivatives

3,391,541

0 13,281,769 37,594,794 54,268,105

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

1,782,832

0 4,707,599 5,043,698 11,534,129 0 17,989,369 42,638,492 65,802,234

TOTAL

5,174,373

Less than 3 ɸ months

From 3 ɸ months to 1 ɸ year

From 1 to 5 ɸ years Over 5 ɸ years 31/12/2020

In thousands of euros

Fair value hedging Interest rate derivatives

2,065,000

11,513 13,115,026 34,019,905 49,211,444

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

1,227,870

376,053 4,285,570 4,223,611 10,113,105 387,566 17,400,596 38,243,517 59,324,549

TOTAL

3,292,870

Note ɸ 2.3 Hedged items

31/12/2021

Current hedges

Expired hedges

Accrued remeasurements of fair value hedges remaining

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

Carrying amount

In thousands of euros

Interest rate derivatives

17,973,755

418,578

8,626

-833,597

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 other comprehensive income Interest rate derivatives (currency swaps) Loans and receivables due from credit institutions at amortised cost Loans and receivables due from customers at amortised cost

1,130,902

6,409

152

-26,057

15,831,593

405,418

9,725

-797,497

1,011,260 5,548,931

6,752

-1,251 7,623

-10,043

325,860

100,876

702,333

16,832

2,303

22,704

4,846,599

309,028 744,438

5,320

78,172

Total fair value hedging of assets

23,522,686 -35,039,520 -35,039,520 -6,204,944 -6,204,944

0

16,249

-732,721 1,392,145 1,392,145 -189,659 -189,659

Interest rate derivatives

-1,064,291 -1,064,291

70,376 70,376

7,984 7,984

Debt securities in issue at amortised cost Interest rate derivatives (currency swaps) Debt securities in issue at amortised cost TOTAL FAIR VALUE HEDGING ON LIABILITY ITEMS

-74,809 -74,809

0 0

-21,705 -21,705

-41,244,464 -1,139,100

70,376

-13,722

1,202,486

148

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2021 UNIVERSAL REGISTRATION DOCUMENT