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Investor Presentaiton

NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2021 35 A. Derivatives held for risk management The table below shows the positive and negative fair values of derivative financial instruments, together with the notional amounts analysed by the term to maturity. The notional amount is the amount of a derivative's underlying asset, reference rate or index and is the basis upon which changes in the value of derivatives are measured. The notional amounts indicate the volume of transactions outstanding at year-end and are neither indicative of the market risk nor credit risk. 31 December 2021 notional amounts by term to maturity DERIVATIVES 67 EMIRATES NBD BANK PJSC - GROUP CONSOLIDATED FINANCIAL STATEMENTS - FOR THE YEAR ENDED 31 DECEMBER 2021 68 Positive fair value AED 000 Negative fair value AED 000 Notional amount Within 3 months AED 000 AED 000 Over 3 months to 1 year AED 000 Over 1 year to 3 years AED 000 Over 3 years to 5 years AED 000 Over 5 years AED 000 Derivatives held for trading: Forward foreign exchange contracts Foreign exchange options Interest rate swaps/caps Commodity options 2,142,481 37,110 7,914,734 38,693 10,133,018 (1,458,166) (19,760) (6,449,639) 269,347,059 1,893,060 484,834,455 (38,708) 1,020,200 (7,966,273) 757,094,774 161,826,589 1,059,083 45,455,049 186,344 208,527,065 77,373,217 24,824,851 4,862,058 460,344 345,905 80,667,671 648,764 159,035,557 161,496 141,775,625 185,092 166,947,064 10,210 126,784,706 316,366 90,151,404 131,656,974 90,928,114 Derivatives held as cash flow hedges: Interest rate swaps 238,462 (121,895) 29,221,176 6,218,187 7,308,105 4,769,661 8,217,356 2,707,867 Derivatives held as fair value hedges: Interest rate swaps 287,445 (1,088,283) 30,004,652 1,382,532 412,667 5,325,231 6,776,742 16,107,480 Derivatives held as hedge of a net investment in foreign operations: Forward foreign exchange contracts Total 10,658,925 (9,870) (9,186,321) 452,876 816,773,478 216,127,784 452,876 167,209,205 177,041,956 146,651,072 109,743,461 Hedging instruments are issued to hedge against interest rate and foreign exchange risks pertaining to hedged items. Hedged items include certain Loans and receivables amounting to AED 13,569 million (note 12), Investment securities amounting to AED 5,897 million (note 11), customer deposits amounting to AED 11,823 million (note 17) and Debt issued and borrowed funds amounting to AED 27,937 million (note 18). All the hedges were determined to be effective as on 31 December 2021. The hedged forecast cash flows which are expected to occur over the future years and are expected to affect profit or loss are insignificant. NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2021 35 DERIVATIVES (CONTINUED) A. Derivatives held for risk management (continued) 31 December 2020 notional amounts by term to maturity Derivatives held for trading: Positive Negative fair value AED 000 fair value AED 000 Notional amount AED 000 Within 3 months AED 000 Over 3 months Over 1 year Over 3 years to 1 year AED 000 to 3 years AED 000 to 5 years Over 5 years AED 000 AED 000 Forward foreign exchange contracts 1,824,632 Foreign exchange options 23,029 Interest rate swaps/caps 9,854,841 Commodity options 18,117 11,720,619 (1,435,225) 284,477,968 (28,850) 5,000,963 (8,343,567) 437,154,696 (18,508) 1,052,878 (9,826,150) 727,686,505 185,325,169 3,807,260 43,250,310 74,488 232,457,227 68,300,374 25,946,875 436,641 276,106 84,381,622 119,865,584 508,469 469,921 153,627,106 146,558,486 103,716,966 91,326,720 4,533,446 64,878 99,118,642 372,104 416,078 90,538,538 Derivatives held as cash flow hedges: Interest rate swaps 549,448 (106,004) 40,741,351 7,806,808 13,797,719 8,169,901 6,003,404 4,963,519 Derivatives held as fair value hedges: Interest rate swaps 1,427,332 (804,474) 26,699,467 35,620 615,838 4,814,034 5,365,134 15,868,841 بنك الإمارات دبي الوطني Emirates NBD Derivatives held as hedge of a net investment in foreign operations: Forward foreign exchange contracts Total (38,603) 520,792 13,697,399 (10,775,231) 795,648,115 240,299,655 520,792 168,561,455 159,542,421 115,085,504 112,159,080 Hedging instruments are issued to hedge against interest rate and foreign exchange risks pertaining to hedged items. Hedged items include certain Loans and receivables amounting to AED 12,805 million (note 12), Investment securities amounting to AED 6,486 million (note 11), customer deposits amounting to AED 21,907 million (note 17) and Debt issued and borrowed funds amounting to AED 25,187 million (note 18). All the hedges were determined to be effective as on 31 December 2020. The hedged forecast cash flows which are expected to occur over the future years and are expected to affect profit or loss are insignificant.
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