BPCE - 2018 Registration document

5 FINANCIAL REPORT

IFRS Consolidated Financial Statements of BPCE SA group 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; and 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 Forward transactions Interest rate derivatives Equity derivatives Currency derivatives Other contracts

3,123,909 116,631 729,349 46,815 650,049 151,346 262,689 49,179 4,016,704 1,113,264

20,835

18,948 3,478,930

22,940

20,455

3,526 8,194

3,634 7,385

98,577 826,528 48,145 504,215 120,620 247,492 36,669 908,996 36,937

1,686

2,413 9,017

10,044

177

408

351

82

32,732

30,376 4,452,180

35,021

31,967 11,191

8,766 2,704 3,913

10,663

9,021 1,883 4,175

3,524 3,980

2,435 4,213

Other contracts

310

350

295

281

Options

15,695

18,517

15,374

18,120

Credit derivatives

36,052

421

557

589

782

TOTAL TRADING DERIVATIVES

5,166,020

48,848

49,450 5,398,113

50,984

50,869

o/w organized markets

756,400

1,712

2,714

774,282

1,088

1,895

o/w over-the-counter transactions

4,409,620

47,136

46,736 4,623,831

49,896

48,974

450

Registration document 2018