Additional hedge accounting disclosures are part of the financial risk management paragraph, please see note Non-trading derivatives and hedge accounting for additional information.

As part of the interest rate risk management Triodos Bank entered into interest rate swaps to hedge the interest risk on fixed interest rate loans. The fair value of the interest rate swaps with a positive value at the end of the year is represented on the asset side of the balance sheet and the interest rate swaps with a negative value on the liability side.

Breakdown of derivatives by remaining term to maturity and fair value:

Non-trading derivative assets

 

Notional amount

Fair value

2020

Total

<= 1 year

> 1 year <= 5 years

> 5 years

 

Currency contracts:

 

 

 

 

 

OTC:

 

 

 

 

 

Forwards

4,908

-

4,908

-

176

Non deliverable forwards

9,191

5,013

4,178

-

1,595

Swap

-

-

-

-

-

 

 

 

 

 

 

Other OTC contracts:

 

 

 

 

 

Interest rate swaps

70,000

-

-

70,000

24

 

 

 

 

 

 

Total derivatives

84,099

5,013

9,086

70,000

1,795

Average IRS rates:

 

 

 

0.00%

 

 

 

 

 

 

 

 

Notional amount

Fair value

2019

Total

<= 1 year

> 1 year <= 5 years

> 5 years

 

Currency contracts:

 

 

 

 

 

OTC:

 

 

 

 

 

Forwards

14,206

8,863

5,343

-

1,965

Non deliverable forwards

43,380

33,079

10,301

-

5,840

Swap

387

387

-

-

9

 

 

 

 

 

 

Other OTC contracts:

 

 

 

 

 

Interest rate swaps

33,500

-

-

33,500

908

 

 

 

 

 

 

Total derivatives

91,473

42,329

15,644

33,500

8,722

Average IRS rates:

 

 

 

-0.25%

 

Triodos Bank entered into currency contracts with Triodos Investment Management in order to manage the currency risk of the investment funds. Triodos Bank hedges these positions directly in the market. Therefore the long and short position are almost the same. The decline of the nominal amount from 2019 to 2020 relates to the fact that at the end of 2017 Triodos Bank stopped entering into new currency contract with Triodos Investment Management because of new regulation.

Non-trading derivative liabilities

 

Notional amount

Fair value

2020

Total

<= 1 year

> 1 year <= 5 years

> 5 years

 

Currency contracts:

 

 

 

 

 

OTC:

 

 

 

 

 

Forwards

206,008

201,100

4,908

-

2,584

Non deliverable forwards

9,191

5,013

4,178

-

1,524

Swap

-

-

-

-

-

 

 

 

 

 

 

Other OTC contracts:

 

 

 

 

 

Interest rate swaps

295,175

24,975

187,500

82,700

6,344

 

 

 

 

 

 

Total derivatives

510,374

231,088

196,586

82,700

10,452

Average IRS rates:

 

-0.12%

0.24%

0.18%

 

 

 

 

 

 

 

 

Notional amount

Fair value

2019

Total

<= 1 year

> 1 year <= 5 years

> 5 years

 

Currency contracts:

 

 

 

 

 

OTC:

 

 

 

 

 

Forwards

206,726

201,383

5,343

-

4,460

Non deliverable forwards

43,380

33,079

10,301

-

5,583

Swap

387

387

-

-

8

 

 

 

 

 

 

Other OTC contracts:

 

 

 

 

 

Interest rate swaps

270,975

6,500

208,475

56,000

5,012

 

 

 

 

 

 

Total derivatives

521,468

241,349

224,119

56,000

15,063

Average IRS rates:

 

 

0.21%

0.55%

 

The forward currency contracts relates mainly to GPB contracts that Triodos Bank entered for a notional amount of EUR 201.1 million (2019: EUR 192.5 million) for hedging the currency risk of the UK subsidiary equity participation of Triodos Bank. The other currency contracts relates to contracts that Triodos Bank entered into with Triodos Investment Management in order to manage the currency risk of the investment funds. Triodos Bank hedges these positions directly in the market. Therefore the long and short position of these contracts are almost the same.