CFM INDOSUEZ Wealth Management - 2019 annual report

107 Annual Financial Statements 2019 H e d g i n g d e r i v a t i v e s a t 3 1 / 1 2 / 2 0 1 8 Book value Changes in fair value over the period (including hedge terminations during the period) Notional amount (in thousands of euros) Assets Liabilities Cash flow hedges Organised markets 0 0 0 0 Interest rates Forward instruments Options Currencies Forward instruments Options Other Over-the-counter markets 3,666 4,387 -786 628,833 Interest rates 40 142 -742 400,956 Forward instruments 40 142 -742 400,956 Options Currencies 3,626 4,245 -44 227,877 Forward instruments 3,626 4,245 -44 227,877 Options Other Total cash flow micro-hedges 3,666 4,387 -786 628,833 Cash flow hedging of the interest rate risk exposure of a portfolio of financial instruments 9,074 266 -740 226,000 Cash flow hedging of the currency risk exposure of a portfolio of financial instruments Total cash flow macro-hedges 9,074 266 -740 226,000 Total cash flow hedges 12,740 4,653 -1,526 854,833 Hedges of net investments in foreign operations Changes in the fair value of hedging derivatives are recorded in “Gains or losses recognised directly in other comprehensive income” except for the ineffective portion of the hedging relationship, which is recognised in “Net gains or losses on financial instruments at fair value through profit or loss” in the income statement. G a i n s a n d l o s s e s f r o m h e d g e a c c o u n t i n g a t 3 1 / 1 2 / 2 0 1 9 Gains and losses recognised directly in OCI recyclable to income Gains and losses recognised directly in OCI recyclable to income (in thousands of euros) Amount of the effective portion of the hedging relationship recognised over the period Amount of the effective portion of the hedging relationship recognised over the period Amount of the ineffective portion of the hedging relationship Cash flow hedges Interest rates -1,824 Currencies 25 Other Total cash flow hedges -1,799 0 0 Hedges of net investments in foreign operations Total cash flow hedges and hedges of net investments in foreign operations -1,799 0 0