TOTAL GAINS (LOSSES) FROM HEDGE ACCOUNTING 31/12/2023 31/12/2022 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 22957 -22,959 -2 -33,804 33,877 73 Currencies 0 0 Other 0 0 Total 22957 -22,959 -2 -33,804 33,877 73 CASH FLOW HEDGES AND HEDGES OF NET INVESTMENTS IN FOREIGN OPERATIONS HEDGING DERIVATIVE INSTRUMENTS ` (in thousands of euros) 31/12/2023 31/12/2022 Book value Changes in fair value over the period (including hedge terminations during the period) Notional amount Book value Changes in fair value over the period (including hedge terminations during the period) Notional amount Assets Liabilities Assets Liabilities Cash flow hedges Organised and over-the-counter markets 996 11,392 -54 2,829,144 2,312 5,936 238 1,112,537 Interest rate Currencies 996 11,392 -54 2,829,144 2,312 5,936 238 1,112,537 Other Total cash flow micro-hedges 996 11,392 -54 2,829,144 2,312 5,936 238 1,112,537 Hedging the cash flow exposure of a portfolio of financial instruments to interest rate risk 1,416 9,326 6,737 138,000 15,881 -15,131 134,000 Cash flow hedging of the currency risk exposure of a portfolio of financial instruments Total cash flow macro-hedges 1,416 9,326 6,737 138,000 0 15,881 -15,131 134,000 Total cash flow hedges 2,412 20,718 6,683 2,967,144 2,312 21,817 -14,893 1,246,537 Hedges of net investments in foreign operations Changes in the fair value of hedging derivatives are recognised as gains or losses under “Other comprehensive income” except for the ineffective portion of the hedging relationship which is recognised under “Net gains (losses) on financial instruments at fair value through profit or loss” in the Income Statement. Annual Report 2023 109
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