BPCE - 2018 Registration document

FINANCIAL REPORT IFRS Consolidated Financial Statements of Groupe BPCE as at December 31, 2018

5.2.3

Trading derivatives

Accounting principles A derivative is a financial instrument or other contract with all three of the following characteristics:

its value changes in response to the change in a specific interest rate, financial instrument price, commodity price, foreign exchange rate, ● index of prices or rates, credit rating or credit index, or other variable, provided that, in the case of a non-financial variable, this variable may not be specific to one of the parties to the contract; it requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that ● would be expected to have a similar response to changes in market factors; it is settled at a future date. ● All derivative financial instruments are recognized on the balance sheet at the trade date and are measured at fair value at inception. They are remeasured at their fair value at each balance sheet date regardless of whether they were acquired for trading or hedging purposes. Trading derivatives are recognized on the balance sheet under “Financial assets at fair value through profit or loss” and “Financial liabilities at fair value through profit or loss”. Realized and unrealized gains and losses are taken to income on the “Net gains or losses on financial instruments at fair value through profit or loss” line. The notional amounts of derivative instruments are merely an indication of the volume of the Group’s business in financial instruments and do not reflect the market risks associated with such instruments. Positive or negative fair values represent the replacement value of these instruments. These values may vary significantly depending on changes in market parameters.

12/31/2018

01/01/2018

Notional amount

Positive fair value

Negative fair value

Notional amount

Positive fair value

Negative fair value

in millions of euros

Interest rate derivatives Equity derivatives Currency derivatives Other instruments Forward transactions Interest rate derivatives Equity derivatives Currency derivatives Other instruments

3,061,238 121,055 749,220 46,815 653,033 158,891 262,775 49,179 3,978,328 1,123,878

17,212

15,868 3,410,330

18,839

16,719

3,551 8,353

3,632 7,625

100,249 849,165 48,149 498,463 130,249 237,892 36,659 903,263 36,975

1,691

2,415 9,209

5

10,108

177

408

351

83

29,293

27,533 4,407,893

30,989

28,426 11,193

8,780 3,158 3,915

10,672

9,042 1,884 4,184

3,524 3,982

2,591 4,220

310

350

281

276

Options

16,163

18,528

15,391

18,280

Credit derivatives

36,096

410

554

590

784

TOTAL TRADING DERIVATIVES

5,138,302

45,866

46,615 5,348,131

46,970

47,490

o/w organized markets

767,566

2,166

2,715

785,962

1,088

2,052

o/w over-the-counter transactions

4,370,736

43,700

43,900 4,562,169

45,882

45,438

293

Registration document 2018