ourexpertise - Crédit Agricole CIB

32010 MANAGEMENT REPORTRate and change risks hedgingIn managing its fi nancial risks, Crédit Agricole CIB uses interestrateswaps and forex transactions, as hedging operations asregards the intention for which they are undertaken.The note 3.4 to the Group consolidated fi nancial statements presentsthe market values and notional amounts of derivative fi nancialinstruments held for hedging.Fair value hedgesThe aim is to protect the intrinsic value of fi xed-rate fi nancial assetsand liabilities that are sensitive to changes in interest rates, byhedging them with instruments that are also at fi xed rate. Whenhedging takes place through derivatives (swaps), the derivativesare termed fair value hedging derivatives.Hedging carried out in this respect by Asset-Liability Managementrelates to non-interest-bearing private-banking customer deposits,which are analyzed as fi xed-rate fi nancial liabilities.Cash flow hedgesThe second aim is to protect interest margin so that interest fl owsgenerated by variable-rate assets fi nanced by fi xed-rate liabilities(working capital in particular) are not affected by the future fi xingof interest rates on these items.When the required neutralisation takes place through derivatives(swaps), these derivatives are termed cash fl ow hedging derivatives.According to IFRS 7, future interests related to balance sheetitems under cash fl ow hedge strategy are detailed, by maturity,in the table below:€ millionHedged cash fl owsto receiveHedged cash fl owsto pay31.12.20100 to 1year1 to5 yearsOver5 ansTotal72 552 366 990(3) (14) 0 (17) Documentation under IFRS of fair value and cash flowshedgesAs regards macro-hedges managed by Asset- LiabilityManagement, hedge relationships are documented frominception and checked quarterly through forward-and backwardlookingtests.For this purpose, hedged items are classifi ed by maturity, usingthe characterictics of contracts or, for items without contractualmaturities (such as demand deposits), runoff models based oneach product’s behaviour.The comparison between this maturityschedule and that of the derivative instrument allows effi ciency ofhedging to be assessed.Hedging of net investments inforeign currenciesThe instruments used to manage structural exchange-rate riskare classifi ed as hedges of net investments in foreign currencies.The effectiveness of these hedges is documented every quarter.118SHELF-REGISTRATION DOCUMENT CRÉDIT AGRICOLE CIB 2010