The fair value of the hedged portions of macro-hedged financial instruments at fair value is recognised under “Revaluation adjustment on interest rate hedged portfolios” on the balance sheet. Changes in the fair value of the hedged portions of macro-hedged financial instruments at fair value are recognised under “Net gains (losses) on financial instruments at fair value through profit or loss” in the Income Statement. MACRO-HEDGES (in thousands of euros) 31/12/2024 31/12/2023 Book value Cumulative fair value revaluations related to hedging to be carried forward on terminated hedges 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 (items that may be reclassified) Debt instruments recognised at amortised cost Total - Assets 0 0 0 0 Debt instruments recognised at amortised cost 953,006 -20,393 1,187,544 Total - Liabilities 953,006 -20,393 1,187,544 0 The fair value of the hedged portions of macro-hedged financial instruments at fair value is recognised under “Revaluation adjustment on interest rate hedged portfolios” on the balance sheet. Changes in the fair value of the hedged portions of macro-hedged financial instruments at fair value are recognised under “Net gains (losses) on financial instruments at fair value through profit or loss” in the Income Statement. TOTAL GAINS (LOSSES) FROM HEDGE ACCOUNTING 31/12/2024 31/12/2023 Net income (gains and losses from hedge accounting) Net income (gains and losses from hedge accounting) Change in fair value of hedging instruments (including discontinued hedges) Change in fair value of hedged items (including discontinued hedges) Ineffective portion of hedging Change in fair value of hedging instruments (including discontinued hedges) Change in fair value of hedged items (including discontinued hedges) Ineffective portion of hedging Interest rate 8,276 -8,392 -115 22,957 -22,959 -2 Currencies 0 0 Other 0 0 Total 8,276 -8,392 -115 22,957 -22,959 -2 Annual Report 2024 109
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