CFM Indosuez Wealth Management Annual Report 2022 98 Book value on 31 December 2021 Assets with no significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not impaired (Stage 2) Impaired assets (Stage 3) (in thousands of euros) ≤ 30 days > 30 days to ≤ 90 days > 90 days ≤ 30 days > 30 days to ≤ 90 days > 90 days ≤ 30 days > 30 days to ≤ 90 days > 90 days Debt securities 0 0 0 0 0 0 0 0 0 Government entities Central banks Credit institutions Large corporations Retail customers Loans and receivables 0 0 0 0 0 0 0 661 1,070 Government entities Central banks Credit institutions Large corporations -1 1 Retail customers 662 1,069 Total 0 0 0 0 0 0 0 661 1,070 3.2 SOVEREIGN RISK EXPOSURE N/A 3.3 MARKET RISK DERIVATIVE INSTRUMENTS: ANALYSIS BY REMAINING TERM TO MATURITY The breakdown of market values of derivative instruments is shown by remaining contractual maturity. HEDGING DERIVATIVES – FAIR VALUE OF ASSETS 31/12/2022 Transactions on organised over-the-counter markets Total market value (in thousands of euros) ≤ 1 year > 1 year to ≤ 5 years > 5 years Interest rate instruments 7,353 20,807 41,674 69,834 Currency instruments 0 0 0 0 Other instruments 0 0 0 0 Sub-total 7,353 20,807 41,674 69,834 Forward foreign exchange transactions 2,312 2,312 Total fair value of hedging derivatives - assets 9,665 20,807 41,674 72,146 31/12/2021 Transactions on organised over-the-counter markets Total market value (in thousands of euros) ≤ 1 year > 1 year to ≤ 5 years > 5 years Interest rate instruments 12,794 3,247 5,817 21,858 Currency instruments 0 0 0 0 Other instruments 0 0 0 0 Sub-total 12,794 3,247 5,817 21,858 Forward foreign exchange transactions 82 82 Total fair value of hedging derivatives - assets 12,876 3,247 5,817 21,940
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