Danone // 2020 Universal Registration Document

4 105 DANONE UNIVERSAL REGISTRATION DOCUMENT 2020 4.1 Consolidated financial statements and notes to the consolidated financial statements Note 13. Organization of financial risks and derivatives management Portfolio of derivatives Notional and fair value amounts As of December 31 2019 2020 (in € millions) Notional Fair value Of which recognized in equity Notional Fair value Of which recognized in equity Used to hedge operational currency risk (2,506) (58) (58) (1,930) (4) (3) Cash flow hedge – currency options (a) (314) (6) (6) (318) (2) (2) Cash flow hedge – forward currency contracts (a) (2,191) (52) (52) (1,612) (2) (2) No hedge accounting applied (1) (1) − − − − Used to manage rawmaterials 207 (1) (1) 132 9 9 Used to manage net debt 6,641 241 81 6,535 166 62 Fair value hedge 2,576 148 − 2,517 192 − Cash flow hedge 3,435 98 93 3,622 (26) 60 Net investment hedge 183 (13) (13) 217 1 1 No hedge accounting applied 446 8 − 179 (1) − Total 4,342 181 22 4,737 172 68 (a) Pursuant to IFRS 9, the intrinsic value and time value of the operational foreign exchange instruments designated as cash flowhedges are recognized in equity. Additional information Operational currency risk management Net notional amount of derivative instruments hedging main currencies As of December 31 2019 2020 (in € millions) Forward currency contracts, net (a) Currency options, net (b) Total Forward currency contracts, net (a) Currency options, net (b) Total (Sales)/Purchases of currencies GBP (c) (575) (238) (813) (446) (177) (623) CNY (c) (384) − (384) (251) − (251) AUD (c) (273) (17) (291) (183) (26) (209) MXN (c) (188) − (188) (137) − (137) USD (c) 20 (5) 14 (78) (20) (98) RUB (c) (118) − (118) (94) − (94) BRL (c) (90) − (90) (83) − (83) HKD (c) (143) (36) (179) 24 (82) (58) Other (c) (441) (17) (457) (364) (13) (377) Total (2,192) (314) (2,506) (1,612) (318) (1,930) (a) Spot portion of notional amount, based on closing rates. (b) Spot portion of notional amount, includes in- and out-of-the-money options. (c) Transactions denominated with the EUR or other currencies as counterpart. Sensitivity of equity and net income to changes in fair value A change in the fair value of the derivative instruments hedging the operational foreign exchange risk, caused by a change in exchange rates, could impact the Group’s net income: • swap point variations and currency option premium at the ma- turity of the underlying; • transactions to which hedge accounting is not applied.