The Group is exposed to the risk of fluctuations in interest rates that can affect the value of its loans and financial liabilities, its assets (liquid assets and dedicated assets), and its future financial expenses.
The Group hedges its exposure to changes in the fair value of fixed-rate debts, many of which are converted to floating rates. The derivatives used for these hedges are fixed/floating interest rate swaps and cross-currency swaps, with changes in fair value recorded in profit and loss symmetrically to changes in the value of the hedged debts.
The Group also hedges its floating-rate debt against future changes in interest ratesby using floating/fixed interest rate swaps for cash flow hedges.
Details of interest rate derivatives used in a hedging relationship or designated as trading derivatives are shown below:
| Notional at 31/12/2020 | Notional at 31/12/2019 | Fair Value | |||||
|---|---|---|---|---|---|---|---|
| (in millions of euros) | < 1 year | 1-5 years | > 5 years | Total | Total | 31/12/2020 | 31/12/2019 |
| Fixed rate payer/floating rate receiver | Fixed rate payer/floating rate receiver Notional at 31/12/2020 111 | Fixed rate payer/floating rate receiver Notional at 31/12/2019 1,301 | Fixed rate payer/floating rate receiver Fair Value 4,511 | 5,923 | 2,733 | (144) | (51) |
| Floating rate payer/fixed rate receiver | Floating rate payer/fixed rate receiver Notional at 31/12/2020 1,400 | Floating rate payer/fixed rate receiver Notional at 31/12/2019 4,612 | Floating rate payer/fixed rate receiver Fair Value 14,666 | 20,678 | 23,633 | 4,143 | 3,143 |
| Floating rate/floating rate | Floating rate/floating rate Notional at 31/12/2020 - | Floating rate/floating rate Notional at 31/12/2019 800 | Floating rate/floating rate Fair Value 1,508 | 2,308 | 2,447 | 3 | 60 |
| Fixed rate/fixed rate | Fixed rate/fixed rate Notional at 31/12/2020 764 | Fixed rate/fixed rate Notional at 31/12/2019 682 | Fixed rate/fixed rate Fair Value 8,152 | 9,598 | 9,901 | (853) | (213) |
| Interest rate swaps | Interest rate swaps Notional at 31/12/2020 2,275 | Interest rate swaps Notional at 31/12/2019 7,395 | Interest rate swaps Fair Value 28,837 | 38,507 | 38,714 | 3,149 | 2,939 |
| INTEREST RATE DERIVATIVES – HEDGING | INTEREST RATE DERIVATIVES – HEDGING Notional at 31/12/2020 2,275 | INTEREST RATE DERIVATIVES – HEDGING Notional at 31/12/2019 7,395 | INTEREST RATE DERIVATIVES – HEDGING Fair Value 28,837 | 38,507 | 38,714 | 3,149 | 2,939 |
| Interest rate operations | Interest rate operations Notional at 31/12/2020 - | Interest rate operations Notional at 31/12/2019 - | Interest rate operations Fair Value 515 | 515 | 520 | 8 | 14 |
| Interest rate swaps | Interest rate swaps Notional at 31/12/2020 1,379 | Interest rate swaps Notional at 31/12/2019 1,954 | Interest rate swaps Fair Value 612 | 3,945 | 5,181 | (33) | (36) |
| INTEREST RATE DERIVATIVES – TRADING | INTEREST RATE DERIVATIVES – TRADING Notional at 31/12/2020 1,379 | INTEREST RATE DERIVATIVES – TRADING Notional at 31/12/2019 1,954 | INTEREST RATE DERIVATIVES – TRADING Fair Value 1,127 | 4,460 | 5,701 | (25) | (22) |
The fair value of interest rate/exchange rate cross-currency swaps comprises the interest rate effect only.
The notional value of cross-currency swaps is included both in this note and the note on currency derivatives (see note 18.7.3).
The Group is exposed to the risk of exchange rate fluctuations due to the diversification of its businesses, supply contracts in foreign currencies for goods and services, and its geographical locations. These fluctuations can affect the Group’s translation differences recognised in equity, balance sheet items, financial expenses, equity and net income.
There are several types of hedged item:
Details of currency derivatives used in a hedging relationship or designated as trading derivatives are shown in the following tables. The notional value of cross-currency swaps is included both in this note and the note on interest rate hedging derivatives(see note 18.7.2).
| Notional amount to be received at 31/12/2020 | Notional amount to be given at 31/12/2020 | Fair value | |||||||
|---|---|---|---|---|---|---|---|---|---|
(in millions of euros) | < 1 year | 1-5 years | > 5 years | Total | < 1 year | 1-5 years | > 5 years | Total | 31/12/2020 |
| Forward exchange transactions | Forward exchange transactions Notional amount to be received at 31/12/2020 1,480 | Forward exchange transactions Notional amount to be given at 31/12/2020 91 | Forward exchange transactions Fair value- | 1,571 | 1,473 | 91 | - | 1,564 | (1) |
| Swaps | Swaps Notional amount to be received at 31/12/2020 20,394 | Swaps Notional amount to be given at 31/12/2020 6,891 | Swaps Fair value16,368 | 43,653 | 20,090 | 6,933 | 17,152 | 44,175 | (745) |
| Options | Options Notional amount to be received at 31/12/2020 355 | Options Notional amount to be given at 31/12/2020 - | Options Fair value- | 355 | 326 | - | - | 326 | 13 |
| CURRENCY DERIVATIVES – HEDGING | CURRENCY DERIVATIVES – HEDGING Notional amount to be received at 31/12/2020 22,229 | CURRENCY DERIVATIVES – HEDGING Notional amount to be given at 31/12/2020 6,982 | CURRENCY DERIVATIVES – HEDGINGFair value 16,368 | 45,579 | 21,889 | 7,024 | 17,152 | 46,065 | (733) |
| Forward transactions | Forward transactions Notional amount to be received at 31/12/2020 3,389 | Forward transactions Notional amount to be given at 31/12/2020 6,490 | Forward transactions Fair value- | 9,879 | 3,380 | 6,491 | - | 9,871 | 4 |
| Swaps | Swaps Notional amount to be received at 31/12/2020 14,576 | Swaps Notional amount to be given at 31/12/2020 5,180 | Swaps Fair value275 | 20,031 | 14,606 | 5,162 | 255 | 20,023 | - |
| Options | Options Notional amount to be received at 31/12/2020 10 | Options Notional amount to be given at 31/12/2020 - | Options Fair value- | 10 | 11 | - | - | 11 | - |
| CURRENCY DERIVATIVES – TRADING | CURRENCY DERIVATIVES – TRADING Notional amount to be received at 31/12/2020 17,975 | CURRENCY DERIVATIVES – TRADING Notional amount to be given at 31/12/2020 11,670 | CURRENCY DERIVATIVES – TRADINGFair value 275 | 29,920 | 17,997 | 11,653 | 255 | 29,905 | 4 |
