CFM INDOSUEZ Wealth Management - 2020 Annual Report

111 HEDGING DERIVATIVES AT 31/12/2019 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 Interest rates Forward instruments Options Currencies Forward instruments Options Other Over-the-counter markets 1,323 1,668 83 692,542 Interest rates 105 197 58 221,844 Forward instruments 105 197 58 221,844 Options Currencies 1,218 1,471 25 470,698 Forward instruments 1,218 1,471 25 470,698 Options Other Total cash flowmicro-hedges 1,323 1,668 83 692,542 Cash flow hedging of the interest rate risk exposure of a portfolio of financial instruments 5,638 -1,882 91,000 Cash flow hedging of the currency risk exposure of a portfolio of financial instruments Total cash flowmacro-hedges 5,638 0 -1,882 91,000 Total cash flow hedges 6,961 1,668 -1,799 783,542 Hedges of net investments in foreign operations Changes in the fair value of hedging derivatives are recorded in the “Gains or losses recognised directly in equity” except for the ineffective portion of the hedging relationship, which is recognised in the “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 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 -2 Currencies 141 Other Total cash flow hedges 139 Hedges of net investments in foreign operations Total cash flow hedges and hedges of net investments in foreign operations 139