BPCE - 2019 Universal Registration Document

5

FINANCIAL REPORT

BPCE PARENT COMPANY ANNUAL FINANCIAL STATEMENTS

sold, repurchased, or exercised, or when an option expires, the corresponding premium is recognized immediately in the income statement. Income and expenses for hedging instruments are recognized symmetrically with those from the hedged item. Seller options are not eligible for classification as macro-hedging instruments. Over-the-counter markets may be treated as organized markets when market makers ensure continuous quotations within a range that reflect market practices when the underlying financial instrument is itself quoted on an organized market.

Options The notional amount of the underlying asset of an option or forward contract is recognized by distinguishing between hedging contracts and contracts traded for the purposes of capital market transactions. For transactions involving interest rate, foreign exchange or equity options, the premiums paid or received are recognized in a temporary account. At the end of the fiscal year, any options traded in an organized or similar market are measured and recognized in the income statement. For over-the-counter (OTC) options, provisions are recognized for capital losses but unrealized capital gains are not recognized. When an option is

5.2.1

FINANCIAL INSTRUMENTS AND FOREIGN EXCHANGE FUTURES

12/31/2019

12/31/2018

Hedging transactions

Other transactions

Hedging transactions

Other transactions

Total

Fair value

Total

Fair value

in millions of euros

Forward transactions Interest rate contracts Foreign currency contracts

0 0 0 0

0 0 0 0 0

0 0 0 0

Other contracts

Transactions on organized markets

0

0

0

0

0

Forward rate agreements (FRA)

Interest rate swaps

138,975 15,754 14,291

350

139,325 15,754 14,291

2,178

117,017 28,073 21,726

535

117,552 28,073 21,726

1,790

Foreign exchange swaps (1)

22

74

Currency swaps (1)

527

213

Other foreign currency contracts Other forward and futures contracts (2) Over-the-counter transactions TOTAL FORWARD TRANSACTIONS

395 518

395 518

0 1

301 337

301

0

4,363 4,898 4,898

4,700

(6)

169,933 169,933

350 350

170,283 170,283

2,728 2,728

167,454 167,454

172,3522 172,352

2,071 2,071

Options Interest rate options

0 0 0 0

0 0 0 0

0 0 0 0

Foreign currency options

Other options

Transactions on organized markets

0

0

0

0

0

Interest rate options

154

154

(1)

278

278

(2)

Foreign currency options

0 0

0

0

Other options (2)

0 0 0

0

20,228 20,228 20,228

20,228 20,506 20,506

(570) (572) (572)

Over-the-counter transactions

154 154

154 154

(1) (1)

278 278

TOTAL OPTIONS

TOTAL FINANCIAL AND FOREIGN CURRENCY FUTURES

170,087

350

170,437

2,727

167,732

25,126

192,858

1,499

From 12/31/2019, only the receiving leg of foreign exchange swaps and currency swaps is presented. (1) The significant variations in “Other forward and futures contracts” and “Other options” were due to the winding-up of the Natixis CIB exposures run-off activity, representing (2) -€4 billion for the residual nominal amount of the total return swaps (“Other contracts”) and -€20 billion for the option on cumulative income generated on the total return swaps over ten years (option covering the amount of initial exposures guaranteed).

540

UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

www.groupebpce.com