CFM INDOSUEZ Wealth Management - 2019 annual report

D e r i v a t i v e t r a n s a c t i o n s : a m o u n t o f c o mm i t m e n t s 31/12/2019 31/12/2018 (in thousands of euros) Total notional outstanding amount Total notional outstanding amount Interest rate instruments 1,748,549 2,289,354 Futures FRA Interest rate swaps 1,747,836 2,288,491 Interest rate options Caps-floors-collars 713 863 Other options Currency and gold instruments 3,398,065 5,453,067 Forward exchange contracts 2,787,809 4,080,129 Currency options 610,256 1,372,938 Other instruments 151,404 68,474 Equity and index derivatives 151,072 68,474 Precious metal derivatives 332 Commodity derivatives Credit derivatives Other Total notional amounts 5,298,018 7,810,895 F o r e i g n e x c h a n g e r i s k Foreign exchange risk limits are reviewed annually by the CA CIB Market Risk Committee, which includes the Indosuez Wealth Management and CFM Indosuez Wealth Management RPC functions. The calculation of open positions (equivalent in euros) takes into account all the Bank’s foreign exchange positions (spot and forward exposures). CFM Indosuez Wealth Management’s foreign exchange risk is hedged by the Cash Management department each day. Open foreign exchange positions held on the Bank’s own account are only generated by client-related activities. CFM Indosuez Wealth Management does not hold speculative positions. However, as the group-wide IT solution, S2i, requires invoices to be paid in Swiss francs, a foreign exchange risk may arise when the invoice is paid. This exposure is hedged via the regular purchase of Swiss francs, in line with requirements. This foreign exchange hedging activity and the corresponding trades are presented to the ALM Committee each quarter. 3 . 3 l i q u i d i t y a n d f u n d i n g r i s k The liquidity and funding risk management policy applies to the parent company CFM Indosuez Wealth Management according to the standardised approach, without taking into account the subsidiaries, which are not supervised by the ACPR (French Prudential Supervision and Resolution Authority) and whose size and activities are deemed insignificant with regard to the risks under consideration. Liquidity risk management is monitored through two regulatory ratios: the Liquidity Coverage Ratio (LCR) for liquidity risk for up to 30 days and the Net Stable Funding Ratio (NSFR) for medium- and long-term liquidity risk. These two ratios are derived from the Basel III agreements with an overall internal limit of 100%. 99 Annual Financial Statements 2019