BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

BPCE PARENT COMPANY ANNUAL FINANCIAL STATEMENTS

Commitments on interest rate derivatives traded over the counter mainly consisted of interest rate swaps for futures and interest rate guarantees for options. Commitments on foreign exchange instruments traded over the counter mainly consisted of currency swaps.

The notional amounts of contracts listed in this table are solely intended to provide an indication of the volume of BPCE’s activities involving financial instruments at the balance sheet date and do not reflect the market risk associated with these instruments.

5.2.2

BREAKDOWN OF OVER-THE-COUNTER INTEREST RATE INSTRUMENTS BY TYPE OF PORTFOLIO

12/31/2019

12/31/2018

Isolated open positions

Isolated open positions

Micro- hedging

Macro- hedging

Micro- hedging

Macro- hedging

Total

Total

in millions of euros

Forward rate agreements (FRA)

0

0

Interest rate swaps

76,624 14,291

62,351

350

139,325 14,291

75,361 21,726

41,656

535

117,552 21,726

Currency swaps

Other interest rate futures contracts

0

0

Forward transactions Interest rate options

90,915

62,351

350

153,616

97,087

41,656

535

139,278

154 154

154 154

278 278

278 278

Options TOTAL

0

0

0

0

91,069

62,351

350

153,770

97,365

41,656

535

139,556

12/31/2019

12/31/2018

Isolated open positions

Isolated open positions

Micro- hedging

Macro- hedging

Micro- hedging

Macro- hedging

Total

Total

in millions of euros

Fair value

2,682

22

0

2,704

1,924

75

2

2,001

No transactions were transferred from one portfolio to another during the period.

5

5.2.3

COMMITMENTS ON FORWARD FINANCIAL INSTRUMENTS BY TERM OUTSTANDING

12/31/2019

Less than 1 year

1 to 5 years

Over 5 years

Total

in millions of euros

Transactions on organized markets Over-the-counter transactions

0

92,098 92,098

51,560 51,560

26,625 26,625

170,283 170,283

Forward transactions

Transactions on organized markets Over-the-counter transactions

0

110 110

36 36

8 8

154 154

Options TOTAL

92,208

51,596

26,633

170,437

5.3

BREAKDOWN OF ASSETS AND LIABILITIES BY CURRENCY

12/31/2019

12/31/2018

Assets

Liabilities

Assets

Liabilities

in millions of euros

Euro

300,395 20,807

274,362 34,990

297,457 18,750

276,109 28,858

Dollar

Pound sterling

261

3,466

93

3,512

Swiss franc

2,113 2,349

742

2,017 1,394

505

Yen

9,678 3,640

8,328 2,954

Other

953

555

TOTAL

326,878

326,878

320,266

320,266

541

UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE