103 HEDGING DERIVATIVES: ANALYSIS BY RESIDUAL MATURITY (NOTIONAL AMOUNTS) The breakdown of notional amounts for derivative instruments is shown by remaining contractual maturity. 31/12/2022 Transactions on organised markets Over-the-counter transactions (in thousands of euros) ≤ 1 year > 1 year to ≤ 5 years > 5 years ≤ 1 year > 1 year to ≤ 5 years > 5 years Total notional amount Interest rate instruments 256,928 1,086,752 456,492 4,070,172 Currency instruments Other instruments Sub-total 0 0 0 256,928 1,086,752 456,492 4,070,172 Forward foreign exchange transactions 1,112,537 1,112,537 Total notional amount of hedging derivatives 0 0 0 1,369,465 1,086,752 456,492 5,182,709 31/12/2021 Transactions on organised markets Over-the-counter transactions (in thousands of euros) ≤ 1 year > 1 year to ≤ 5 years > 5 years ≤ 1 year > 1 year to ≤ 5 years > 5 years Total notional amount Interest rate instruments 382,503 905,803 550,778 1,839,084 Currency instruments 0 Other instruments 0 Sub-total 0 0 0 382,503 905,803 550,778 1,839,084 Forward foreign exchange transactions 445,412 445,412 Total notional amount of hedging derivatives 0 0 0 827,915 905,803 550,778 2,284,496 Note 3.3 “Market risk - Derivative transactions: breakdown by residual maturity” provides a breakdown of the market values of hedging derivatives by residual contractual maturity. FAIR VALUE HEDGES HEDGING DERIVATIVE INSTRUMENTS ` (in thousands of euros) 31/12/2022 31/12/2021 Book value Changes in fair value over the period (including discontinued hedges during the period) Notional amount Book value Changes in fair value over the period (including hedge terminations during the period) Notional amount Assets Liabilities Assets Liabilities Fair value hedges Organised and over-the-counter markets 69,834 118 55,585 2,311,343 7,229 1,276 9,907 544,482 Interest rate 69,834 118 55,585 2,311,343 7,229 1,276 9,907 544,482 Currencies Other Total fair value micro-hedges 69,834 118 55,585 2,311,343 7,229 1,276 9,907 544,482 Fair value hedging of the interest rate risk exposure of a portfolio of financial instruments 94,337 -89389 1,624,829 12,138 6,972 -19593 1,154,809 Total Fair value hedges 69,834 94,455 -33804 3,936,172 19,367 8,248 -9686 1,699,291 Changes in the fair value of hedging derivatives are recognised in “Net gains or losses on financial instruments at fair value through profit or loss” in the income statement.
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