FINANCIAL REPORT 2013
• 2.5.3. Cash flow and fair value interest rate and foreign exchange hedging Derivative financial instruments used in a hedging relationship are designated according to the intended purpose:
• Fair value hedge; • Cash flow hedge; • Hedge of a net investment in foreign currency. Each hedging relationship is formally documented describing the strategy, item hedged and hedging instrument, and method of measuring effectiveness. 2.5.3.1. Fair value hedges A fair value hedge modifies the risk of changes in the fair value of a fixed-rate financial instrument caused by changes in interest rates. Fair value hedges transform fixed-rate assets or liabilities into floating-rate assets or liabilities. Items hedged are principally fixed-rate loans, securities, deposits and subordinated debt. The financial instruments considered as hedging instruments on December 31, 2013 are interest rate swaps which cover securities or customer demand deposits. 2.5.3.2. Hedging derivative instruments
31.12.2013
31.12.2012
Market value
Market value
Notional amount
Notional amount
positive
negative
positive
negative
(in thousands of euros)
FAIR VALUE HEDGES
3 670
54 406
3 150 000
0
298560
3215000
Interest rate
3 670
54 406
3 150 000
298560
3215000
TOTAL
3 670
54 406
3 150 000
0
298560
3215000
2.6. NOTES TO THE INCOME STATEMENT • 2.6.1. Interest income and expense
31.12.2013
31.12.2012
(in thousands of euros)
Interbank transactions
22 873
51586
Customer transactions
18 327
15902
Accrued interest receivable on available-for-sale financial assets
307 949
350882
Accrued interest receivable on hedging instruments
35 707
21411
Other interest and similar income
10 684
17923
INTEREST INCOME
395 540
457704
Interbank transactions
– 13 427
– 22066
Customer transactions
– 52 845
– 67026
Subordinated debt
– 9 010
– 9622
Accrued interest payable on hedging instruments
– 87 848
– 62205
Other interest and similar expense
4
77
INTEREST EXPENSE
– 163 126
– 160842
22
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