Universal Registration Document 2021

6. Financial statements

18.7.2 Interest rate derivatives

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 rates
by 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 31/12/2021 Notional at 31/12/2020 Fair Value
(in millions of euros) < 1 year 1-5 years > 5 years Total Total 31/12/2021 31/12/2020
Fixed rate payer/floating rate
receiver		 47 1,317 4,540 5,904 5,923 264 (144)
Floating rate payer/fixed rate
receiver		 1,659 5,682 13,648 20,989 20,678 2,976 4,143
Floating rate/floating rate - 1,021 1,413 2,434 2,308 69 3
Fixed rate/fixed rate 60 638 8,668 9,366 9,598 304 (853)
Interest rate swaps 1,766 8,658 28,269 38,693 38,507 3,613 3,149
INTEREST RATE
DERIVATIVES – HEDGING 		1,766 8,658 28, 269 38,693 38,507 3,613 3,149
Interest rate operations - - 518 518 515 - 8
Interest rate swaps 398 328 280 1,006 1,124 (27) (33)
INTEREST RATE
DERIVATIVES – TRADING 		398 328 798 1,524 1,639 (27) (25)

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).

18.7.3 Currency derivatives

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:

  • liabilities in foreign currencies, for which cross-currency swaps are used in cash flow hedge;
  • financial assets subscribed in foreign currencies;
  • purchases of commodities and fuels, for which the Group hedges the associated foreign exchange risk;
  • net investments in subsidiaries in foreign currencies.

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).

At 31 December 2021
  Notional amount to be received at 31/12/2021 Notional amount to be given at 31/12/2021
 Fair valuer
(in millions of euros) < 1 year 1-5 years > 5 years Total < 1 year 1-5 years > 5 years Total 31/12/2021
Forward exchange transactions 3,251 652 - 3,903 3,273 629 - 3,902 -
Swaps 23,421 6, 506 17,195 47,122 23,362 6,311 16,921 46,594 406
Options 553 119 - 672 556 113 - 669 1
CURRENCY DERIVATIVES – HEDGING 27,225 7, 277 17,195 51,697 27,191 7,053 16,921 51,165 407
Forward transactions 7,003 7, 872 - 14,875 6,982 7,772 - 14,754 84
Swaps 24,729 4, 018 263 29,010 24,810 4,048 257 29,115 (128)
Options - - - - - - - - -
CURRENCY DERIVATIVES – TRADING 31,732 11, 890 263 43,885 31,792 11,820 257 43,869 (44)