AFD - 2018 Registration document

6 CONSOLIDATED FINANCIAL STATEMENTS PREPARED IN ACCORDANCE WITH IFRS ACCOUNTING PRINCIPLES ADOPTED BY THE EUROPEAN UNION Notes to the consolidated financial statements

NOTE 2 Financial hedging derivatives Note 2.1 – Fair value hedging instruments

31/12/2017

31/12/2018

01/01/2018

Book value

Book value

Book value

In thousands of euros

Assets Liabilities

Notional

Assets Liabilities

Notional

Assets Liabilities

Notional

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

1,170,325 528,955 35,364,382 1,122,969 600,522 31,049,769 1,123,766 600,522 31,067,196

653,914 411,385 10,092,654 452,512 456,750 8,387,733 556,022 456,750 9,337,552 1,824,239 940,339 45,457,037 1,575,481 1,057,272 39,437,503 1,679,788 1,057,272 40,404,748

TOTAL

Note 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 months

3 months to 1 year

From 1 to 5 years

More than 5 years 31/12/2018

In thousands of euros

Fair value hedging Interest rate derivatives

-

100,989 8,609,690 26,653,703 35,364,382

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

884,722

887,113 3,876,583 4,444,236 10,092,654

TOTAL

884,722 988,103 12,486,273 31,097,939 45,457,037

Less than 3 months

3 months to 1 year

From 1 to 5 years

More than 5 years 31/12/2017

In thousands of euros

Fair value hedging Interest rate derivatives

1,342,558

565,029 6,486,484 22,673,125 31,067,196

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

-

514,331 4,122,560 4,700,662 9,337,552

TOTAL

1,342,558 1,079,359 10,609,044 27,373,787 40,404,748

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REGISTRATION DOCUMENT 2018