AFD // 2021 Universal Registration Document

CONSOLIDATED FINANCIAL STATEMENTS Notes to the consolidated financial statements

31/12/2020

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

17,803,602

1,254,424

-4,539

386,049

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

1,062,939

32,437

199

3,419

15,795,608

1,198,393

58

388,865

945,055

23,593

-4,796 6,346

-6,236

4,975,489

226,251

-221,529

419,032

-5,938

5,075

-25,747

4,556,458

232,189

1,271 1,807 45,078 45,078

-195,783 164,519 -677,879 -677,879 624,267 624,267

Total fair value hedging of assets

22,779,091 -33,374,980 -33,374,980 -5,339,698 -5,339,698

1,480,674 -2,431,234 -2,431,234

Interest rate derivatives

45,174 45,174

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

140,280 140,280

-107,345 -107,345

-38,714,678 -2,290,954

45,174

-62,267

-53,612

Note ɸ 2.4 Income resulting from hedge accounting

31/12/2021

31/12/2020

6

Net income (Income of hedge accounting)

Net income (Income of hedge accounting)

Change in fair value of hedging instruments

Change in fair value of hedging instruments

Change in fair value of hedged items

Ineffective portion of hedge

Change in fair value of hedged items

Ineffective portion of hedge

In thousands of euros

Interest rate derivatives

-560,562

558,548

-2,014

254,674

-291,867

-37,193

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

73,552

-88,783

-15,231

-337,521

402,738

65,217

TOTAL

-487,011 469,765

-17,245

-82,847 110,870

28,023

149

2021 UNIVERSAL REGISTRATION DOCUMENT