CFM Indosuez Wealth Management Annual Report 2022 102 DEBT SECURITIES AND SUBORDINATED DEBT N/A FINANCIAL GUARANTEES GIVEN, AT RISK OF BEING CALLED, BY EXPECTED MATURITY N/A 3.5 HEDGE ACCOUNTING (See Note 3.3 “Market risk” and the “Risk Factors – Asset/Liability Management” section of the Crédit Agricole S.A. Registration Document) FAIR VALUE HEDGES A fair value hedge modifies the risk due to changes in the fair value of a fixed-rate financial instrument caused by changes in interest rates. Fair value hedges transform fixed-rate assets or liabilities into floating-rate assets or liabilities. Items hedged are principally fixed-rate loans, securities, deposits and subordinated debt. CASH FLOW HEDGES Cash flow hedges modify the risk inherent in the variability of cash flows linked to instruments bearing interest at variable rates. Items hedged are principally floating-rate loans and deposits. HEDGE OF A NET INVESTMENT IN FOREIGN CURRENCY A hedge of a net investment in foreign currency modifies the risk inherent in exchange rate fluctuations related to investments in foreign operations. HEDGING DERIVATIVE INSTRUMENTS 31/12/2022 31/12/2021 Market value Notional amount Market value Notional amount Positive Negative Positive Negative Fair value hedges 69,834 94,455 3,936,172 19,367 8,248 1,699,291 Interest rate 69,834 94,455 3,936,172 19,367 8,248 1,699,291 Currencies Other Cash flow hedges 2,312 21,817 1,246,537 2,573 2,054 585,205 Interest rate 15,881 134,000 2,491 1,507 139,793 Currencies 2,312 5,936 1,112,537 82 547 445,412 Other Hedges of net investments in foreign operations Total Hedging instruments 72,146 116,272 5,182,709 21,940 10,302 2,284,496
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