FINANCIAL REPORT 2013

• 2.5.3. Cash flow and fair value interest rate and foreign exchange hedging Derivative financial instruments used in a hedging relationship are designated according to the intended purpose:

• Fair value hedge; • Cash flow hedge; • Hedge of a net investment in foreign currency. Each hedging relationship is formally documented describing the strategy, item hedged and hedging instrument, and method of measuring effectiveness. 2.5.3.1. Fair value hedges A fair value hedge modifies the risk of changes in the fair value of a fixed-rate financial instrument caused by changes in interest rates. Fair value hedges transform fixed-rate assets or liabilities into floating-rate assets or liabilities. Items hedged are principally fixed-rate loans, securities, deposits and subordinated debt. The financial instruments considered as hedging instruments on December 31, 2013 are interest rate swaps which cover securities or customer demand deposits. 2.5.3.2. Hedging derivative instruments

31.12.2013

31.12.2012

Market value

Market value

Notional amount

Notional amount

positive

negative

positive

negative

(in thousands of euros)

FAIR VALUE HEDGES

3 670

54 406

3 150 000

0

298560

3215000

Interest rate

3 670

54 406

3 150 000

298560

3215000

TOTAL

3 670

54 406

3 150 000

0

298560

3215000

2.6. NOTES TO THE INCOME STATEMENT • 2.6.1. Interest income and expense

31.12.2013

31.12.2012

(in thousands of euros)

Interbank transactions

22 873

51586

Customer transactions

18 327

15902

Accrued interest receivable on available-for-sale financial assets

307 949

350882

Accrued interest receivable on hedging instruments

35 707

21411

Other interest and similar income

10 684

17923

INTEREST INCOME

395 540

457704

Interbank transactions

– 13 427

– 22066

Customer transactions

– 52 845

– 67026

Subordinated debt

– 9 010

– 9622

Accrued interest payable on hedging instruments

– 87 848

– 62205

Other interest and similar expense

4

77

INTEREST EXPENSE

– 163 126

– 160842

22