Universal Registration Document 2022

The fair value of hedging derivatives by type and purpose of hedge is shown below:

(in millions of euros)	Notes	31/12/2022	31/12/2021
Fair value hedges of loans and liabilities	Fair value hedges of loans and liabilities Notes	Fair value hedges of loans and liabilities 31/12/2022 (1,385)	Fair value hedges of loans and liabilities 31/12/2021 3,148
Cash flow hedges of loans and liabilities	Cash flow hedges of loans and liabilities Notes	Cash flow hedges of loans and liabilities 31/12/2022 3,409	Cash flow hedges of loans and liabilities 31/12/2021 614
Sub-total	Sub-totalNotes19.2	Sub-total 31/12/2022 2,024	Sub-total31/12/20213,762
Fair value hedges of commodity contracts	Fair value hedges of commodity contracts Notes	Fair value hedges of commodity contracts 31/12/2022 (1,091)	Fair value hedges of commodity contracts 31/12/2021 (492)
Cash flow hedges of commodity contracts	Cash flow hedges of commodity contracts Notes	Cash flow hedges of commodity contracts 31/12/2022 (6,959)	Cash flow hedges of commodity contracts 31/12/2021 (3,564)
Sub-total	Sub-totalNotes	Sub-total 31/12/2022 (8,050)	Sub-total31/12/2021(4,056)
Net foreign investment hedges	Net foreign investment hedges Notes	Net foreign investment hedges 31/12/2022 173	Net foreign investment hedges 31/12/2021 94
Fair value hedges of dedicated assets	Fair value hedges of dedicated assets Notes	Fair value hedges of dedicated assets 31/12/2022 93	Fair value hedges of dedicated assets 31/12/2021 (14)
Fair value hedges of liquid assets	Fair value hedges of liquid assets Notes	Fair value hedges of liquid assets 31/12/2022 74	Fair value hedges of liquid assets 31/12/2021 -
FAIR VALUE OF HEDGING DERIVATIVES	FAIR VALUE OF HEDGING DERIVATIVESNotes	FAIR VALUE OF HEDGING DERIVATIVES 31/12/2022 (5,686)	FAIR VALUE OF HEDGING DERIVATIVES31/12/2021(214)

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 31/12/2022				Notional at 31/12/2021	Fair Value
(in millions of euros)	< 1 year	1-5 years	> 5 years	Total	Total	31/12/2022	31/12/2021
Purchases of Caps	8	30	35	73	-	10	-
Interest rate transactions	8	30	35	73	-	10	-
Fixed rate payer/floating rate receiver	515	5,059	5,704	11,278	5,904	1,807	264
Floating rate payer/fixed rate receiver	779	6,536	14,732	22,047	20,989	(1,713)	2,976
Floating rate/floating rate	800	604	1,266	2,670	2,434	76	69
Fixed rate/fixed rate	-	1,921	7,271	9,192	9,366	958	304
Interest rate swaps	2,094	14,120	28,973	45,187	38,693	1,128	3,613
INTEREST RATE DERIVATIVES – HEDGING	2,102	14,150	29,008	45,260	38,693	1,138	3,613
Purchase of options	-	-	552	552	518	(22)	-
Interest rate swaps	3,407	5,172	970	9,549	1,006	(6)	(27)
INTEREST RATE DERIVATIVES – TRADING	3,407	5,172	1,522	10,101	1,524	(28)	(27)

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).

Universal Registration Document 2022

Introduction

18.7.2 Interest rate derivatives

18.7.3 Currency derivatives