AFD - Universal Registration Document 2020

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

Note Ǿ 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 Ǿ months

From 3 Ǿ months to 1 Ǿ year

From Ǿ 1 to

5 Ǿ years Over 5 Ǿ 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 3,292,870

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

TOTAL

Less than 3 Ǿ months

From 3 Ǿ months to 1 Ǿ year

From Ǿ 1 to 5 Ǿ years Over 5 Ǿ 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

TOTAL

1,354,098 2,043,642 15,929,975 32,531,062 51,858,777

Note Ǿ 2.3 Hedged items

31/12/2020

Current hedges

Expired hedges

Accrued remeasure- ments of fair value hedges remaining

Accrued remeasure- ments of fair value hedges

Accrued remeasure- ments of fair value

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

Book value

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 measured 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 1,480,674 -33,374,980 -2,431,234 -33,374,980 -2,431,234 -5,339,698 140,280

0

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

0 -107,345 0 -107,345

-5,339,698

140,280

TOTAL FAIR VALUE HEDGING ON Ǿ LIABILITY Ǿ ITEMS

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

45,174 -62,267

-53,612

144

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2020 UNIVERSAL REGISTRATION DOCUMENT