CFM INDOSUEZ Wealth Management - 2020 Annual Report

109 Macro-hedges at 31/12/2020 (in thousands of euros) Book value Cumulative fair value revaluations related to hedging to be carried forward on terminated hedges Debt instruments recognised at fair value through other comprehensive income recyclable to income Debt instruments recognised at amortised cost 284 Total - Assets 284 Debt instruments recognised at amortised cost 1,119,821 24,174 Total - Liabilities 1,119,821 24,174 Total fair value hedging of the interest rate risk exposure of a portfolio of financial instruments 1,119,821 24,174 Macro-hedges at 31/12/2019 (in thousands of euros) Book value Cumulative fair value revaluations related to hedging to be carried forward on terminated hedges Debt instruments recognised at fair value through other comprehensive income recyclable to income Debt instruments recognised at amortised cost 1,120 Total - Assets 0 1,120 Instruments de dettes comptabilisés au coût amorti 1,039,151 19,864 Total - Liabilities 1,039,151 19,864 The fair value of the hedged portions of fair value macro-hedged financial instruments is recorded in the item “Revaluation differences on portfolios hedged against interest rate risk” in the balance sheet. Changes in the fair value of hedged portions of fair value macro-hedged financial instruments are recognised in “Net gains or losses on financial instruments at fair value through profit or loss” in the income statement. GAINS AND LOSSES FROM HEDGE ACCOUNTING AT 31/12/2020 Net income (gains and losses from hedge accounting) (in thousands of euros) Change in fair value of hedging instruments (including terminated hedges) Change in fair value of hedged items (including hedge terminations) Ineffective portion of hedging Interest rates 3,065 -2,984 81 Currencies Other Total 3,065 -2,984 81 GAINS AND LOSSES FROM HEDGE ACCOUNTING AT 31/12/2019 Net income (gains and losses from hedge accounting) (in thousands of euros) Change in fair value of hedging instruments (including hedge terminations) Change in fair value of hedged items (including hedge terminations) Ineffective portion of hedging Interest rates 8,179 -8,179 Currencies Other Total 8,179 -8,179 0