CFM INDOSUEZ Wealth Management - 2019 annual report

F i n a n c i a l g u a r a n t e e s a t r i s k b y e x p e c t e d m a t u r i t y No financial guarantees given were under special monitoring and none were subject to provisions at 31 December 2018 or 2019. 3.4 cashflowandfairvaluehedgeson interestratesandforeignexchangepositions Fair value hedges include the hedging of loans, securities and fixed rate deposits. These hedges convert fixed rate assets or liabilities into variable rate items. - Micro-hedging policy: assets or liabilities of significant amounts and/or maturities (e.g. long-term loans to clients, etc.) are micro- hedged by swaps. - Macro-hedging policy: assets or liabilities of amounts that do not reach the feasibility threshold for micro-hedging but which have significant maturities are grouped with similar items and are macro-hedged. CFM Indosuez Wealth Management’s hedging instruments are fair value hedges or cash flow hedges. Fair value hedges Fair value hedges reduce the risk arising from changes in the fair value of a fixed rate instrument caused by fluctuations in interest rates. These hedges convert fixed rate assets or liabilities into variable rate items. Fair value hedges include the hedging of fixed-rate loans, securities, deposits and subordinated debt. Cash flow hedges Cash flow hedges modify the risk inherent in the variability of cash flows related to variable rate instruments. Cash flow hedges include hedges of variable rate loans and deposits. 101 Annual Financial Statements 2019 H e d g i n g d e r i v a t i v e s 31/12/2019 31/12/2018 Market value Notional amount Market value Notional amount (in thousands of euros) positive negative positive negative Fair value hedges 25,332 6,898 1,434,505 15,791 5,400 1,333,623 Interest rates 25,332 6,898 1,434,505 15,791 5,400 1,333,623 Equity instruments Currencies Credit Commodities Other Cash flow hedges 6,961 1,668 783,542 12,740 4,653 854,833 Interest rates 5,743 197 312,844 9,114 408 626,956 Equity instruments Currencies 1,218 1,471 470,698 3,626 4,245 227,877 Credit Commodities Other Hedges of net investments in foreign operations 0 0 0 0 0 Total hedging derivatives 32,293 8,566 2,218,047 28,531 10,053 2,188,456