CFM INDOSUEZ Wealth Management - 2020 Annual Report

105 HEDGING DERIVATIVES 31/12/2020 31/12/2019 Market value Notional amount Market value Notional amount (in thousands of euros) positive negative positive negative Fair value hedges 27,646 6,039 1,705,523 25,332 6,898 1,434,505 Interest rates 27,646 6,039 1,705,523 25,332 6,898 1,434,505 Equity instruments Currencies Credit Commodities Other Cash flow hedges 5,301 531 731,750 6,961 1,668 783,542 Interest rates 5,180 563 5,743 197 312,844 Equity instruments Currencies 121 531 731,187 1,218 1,471 470,698 Credit Commodities Other Hedges of net investments in foreign operations 0 0 0 0 0 Total hedging derivatives 32,947 6,570 2,437,273 32,293 8,566 2,218,047 FINANCIAL GUARANTEES AT RISK BY EXPECTED MATURITY No financial guarantees given were under special monitoring and none were subject to provisions at 31 December 2019 or 2020 in bucket 3. 3.4 CASH FLOW AND FAIR VALUE HEDGES ON INTEREST RATES AND FOREIGN EXCHANGE POSITIONS Fair value hedges include the hedging of loans, securities and fixed rate deposits. Thesehedges convert fixed rateassets 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.) aremicro-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 aremacro- hedged. CFM IndosuezWealthManagement’s hedging instruments are fair value hedges or cash flow hedges. Fair value hedges Fair value hedges reduce the risk arising fromchanges 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 flowhedgesmodify 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.