HEDGING DERIVATIVES: ANALYSIS BY RESIDUAL MATURITY (NOTIONAL AMOUNTS) The breakdown of notional amounts for derivative instruments is shown by remaining contractual maturity. 31/12/2023 Transactions on organised and over-the-counter markets (in thousands of euros) ≤ 1 year > 1 year to ≤ 5 years > 5 years Total notional amount Interest rate instruments 729175 883,204 469,367 2,081,746 Currency instruments 0 0 0 0 Other instruments 0 0 0 0 Sub-total 729175 883,204 469,367 2,081,746 Forward foreign exchange transactions 2829144 2,829,144 Total notional amount of hedging derivatives 3,558,319 883,204 469,367 4,910,890 31/12/2022 Transactions on organised and over-the-counter markets (in thousands of euros) ≤ 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 0 0 0 0 Other instruments 0 0 0 0 Sub-total 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 1,369,465 1,086,752 456,492 5,182,709 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) 31/12/2023 31/12/2022 Book value Changes in fair value over the period (including hedge terminations 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 42,441 2,886 -22,676 716,746 69,834 118 55,585 2,311,343 Interest rate 42,441 2,886 -22,676 716,746 69,834 118 55,585 2,311,343 Foreign exchange 0 0 0 0 Other Total fair value micro-hedges 42,441 2,886 -22,676 716,746 69,834 118 55,585 2,311,343 Fair value hedging of the interest rate risk exposure of a portfolio of financial instruments 10,830 57,754 45,633 1,227,000 94,337 -89,389 1,624,829 Total Fair value hedges 53,271 60,640 22,957 1,943,746 69,834 94,455 -33,804 3,936,172 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. Annual Report 2023 107
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