CFM INDOSUEZ Wealth Management - 2020 Annual Report

107 FAIR VALUE HEDGES HEDGING DERIVATIVES AT 31/12/2020 (in thousands of euros) Book value Changes in fair value over the period (including hedge terminations during the period) Notional amount Assets Liabilities Fair value hedges Organised markets Interest rates Forward instruments Options Currencies Forward instruments Options Other Over-the-counter markets 72 5,717 -2,081 585,702 Interest rates 72 5,717 -2,081 585,702 Forward instruments 72 5,717 -2,081 585,702 Options Currencies Forward instruments Options Other Total fair value micro-hedges 72 5,717 -2,081 585,702 Fair value hedging of the interest rate risk exposure of a portfolio of financial instruments 27,574 322 5,146 1,119,821 Total fair value hedges 27,646 6,039 3,065 1,705,523 HEDGING DERIVATIVES AT 31/12/2019 (in thousands of euros) Book value Changes in fair value over the period (including hedge terminations during the period) Notional amount Assets Liabilities Fair value hedges Organised markets Interest rates Forward instruments Options Currencies Forward instruments Options Other Over-the-counter markets 679 5,185 215 395,354 Interest rates 679 5,185 215 395,354 Forward instruments 679 5,185 215 394,641 Options 713 Currencies Forward instruments Options Other Total fair value micro-hedges 679 5,185 215 395,354 Fair value hedging of the interest rate risk exposure of a portfolio of financial instruments 24,683 1,713 7,964 1,039,151 Total fair value hedges 25,362 6,898 8,179 1,434,505 Changes in the fair value of hedging derivatives are recognised in “Net gains or losses on financial instruments at fair value through profit or loss” in the income statement.