CFM INDOSUEZ Wealth Management - 2019 annual report

103 F a i r v a l u e h e d g e s H e d g i n g d e r i v a t i v e s a t 3 1 / 1 2 / 2 0 1 9 (in thousands of euros) Book value Changes in fair value over the period (including hedge terminations during the period) Notional amount Assets Liabilities Fair value hedges Organised markets Interest rates Forward instruments Options Currencies Forward instruments Options Other Over-the-counter markets 679 5,185 215 395,354 Interest rates 679 5,185 215 395,354 Forward instruments 679 5,185 215 394,641 Options 713 Currencies Forward instruments Options Other Total fair value micro-hedges 679 5,185 215 395,354 Fair value hedging of the interest rate risk exposure of a portfolio of financial instruments 24,683 1,713 7,964 1,039,151 Total fair value hedges 25,362 6,898 8,179 1,434,505 H e d g i n g d e r i v a t i v e s a t 3 1 / 1 2 / 2 0 1 8 (in thousands of euros) Book value Changes in fair value over the period (including hedge terminations during the period) Notional amount Assets Liabilities Fair value hedges Organised markets Interest rates Forward instruments Options Currencies Forward instruments Options Other Over-the-counter markets 10 2,861 -27 382,932 Interest rates 10 2,861 -13 382,932 Forward instruments 10 2,861 -13 382,069 Options 863 Currencies -14 Forward instruments -14 Options Other Total fair value micro-hedges 10 2,861 -27 382,932 Fair value hedging of the interest rate risk exposure of a portfolio of financial instruments 15,781 2,539 -1,850 950,691 Total fair value hedges 15,791 5,400 -1,877 1,333,623 Changes in the fair value of hedging derivatives are recognised in “Net gains or losses on financial instruments at fair value through profit or loss” in the income statement. Annual Financial Statements 2019