CFM INDOSUEZ Wealth Management - 2020 Annual Report

103 DERIVATIVE TRANSACTIONS: AMOUNT OF COMMITMENTS 31/12/2020 31/12/2019 (in thousands of euros) Total notional outstanding amount Total notional outstanding amount Interest rate instruments 1,708,091 1,748,549 Futures FRA 2,005 Interest rate swaps 1,705,523 1,747,836 Interest rate options Caps-floors-collars 563 713 Other options Currency and gold instruments 4,087,144 3,398,065 Forward exchange contracts 2,788,017 2,787,809 Currency options 1,299,127 610,256 Other instruments 44,061 151,404 Equity and index derivatives 43,364 151,072 Precious metal derivatives 697 332 Commodity derivatives Credit derivatives Other Total notional amounts 5,839,296 5,298,018 FOREIGN EXCHANGE RISK Foreign exchange risk limits are reviewed annually by the CA CIB Market Risk Committee, which includes the Indosuez Wealth Management RPC functions. The calculation of open positions (equivalent in euros) takes into account all the Bank’s foreign exchange positions (spot and forward exposures). CFM Indosuez Wealth Management’s foreign exchange risk is hedged by the Cash Management department each day. Open foreign exchange positions held on the Bank’s own account are only generated by client-related activities. CFM Indosuez Wealth Management does not hold speculative positions. However, as the group-wide IT solution, S2i, requires invoices to be paid in Swiss francs, a foreign exchange riskmay arise when the invoice is paid. This exposure is hedged via the regular purchase of Swiss francs, in line with requirements. This foreign exchange hedging activity and the corresponding trades are presented to the ALM Committee each quarter. 3.3 LIQUIDITY AND FUNDING RISK The liquidity and funding riskmanagement policy applies to the parent company CFM IndosuezWealthManagement according to the standardised approach, without taking into account the subsidiaries, which are not supervised by the ACPR (French Prudential Supervision and Resolution Authority) and whose size and activities are deemed insignificant with regard to the risks under consideration. Liquidity risk management is monitored through two regulatory ratios: the Liquidity Coverage Ratio (LCR) for liquidity risk for up to 30 days and the Net Stable Funding Ratio (NSFR) for medium and long term liquidity risk. These two ratios are derived from the Basel III agreements with an overall internal limit of 100%.