BPCE - 2020 Universal Registration Document
FINANCIAL REPORT
BPCE PARENT COMPANY ANNUAL FINANCIAL STATEMENTS
Balances on terminations or transfers are recognized as follows: balances on transactions classified under specialized asset • management contracts or isolated open positions are immediately recognized in the income statement; for micro-hedging and macro-hedging transactions, • balances are amortized over the remaining term of the initially hedged item or immediately recognized in the income statement. 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 premiumspaid or received are recognized
in a temporary account. At the end of the fiscal year, any options traded in an organizedor similar market are measured and recognizedin the income statement.For over-the-counter (OTC) options, provisionsare recognizedfor capital losses but unrealized capital gains are not recognized.When an option is sold, repurchased, or exercised, or when an option expires, the correspondingpremium is recognized immediately in the income statement. Income and expensesfor hedging instrumentsare 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 underlyingfinancial instrumentis itself quotedon an organized market.
5.2.1
FINANCIAL INSTRUMENTS AND FOREIGN EXCHANGE FUTURES
12/31/2020
12/31/2019
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
5
Forward rate agreements (FRA)
Interest rate swaps
152,698 10,404 15,009
0
152,698 10,404 15,009
2,578 (255)
138,975 15,754 14,291
350
139,325 15,754 14,291
2,178
Foreign exchange swaps
22
Currency swaps
15
527
Other foreign currency contracts Other forward and futures contracts Over-the-counter transactions TOTAL FORWARD TRANSACTIONS
698 487
698 487
0
395 518
395 518
0 1
0 0 0
(24)
0
179,296 179,296
179,296 179,296
2,314 2,314
169,933 169,933
350 350
170,283 170,283
2,728 2,728
Options Interest rate options
0 0 0 0
0 0 0 0
0 0
Foreign currency options
0
0
Other options
Transactions on organized markets
0
0
0
0
0
0
Interest rate options
32
32
(1)
154
154
(1)
Foreign currency options
0 0
0 0
0 0
Other options
0 0 0
0 0 0
Over-the-counter transactions
32 32
32 32
(1) (1)
154 154
154 154
(1) (1)
TOTAL OPTIONS
TOTAL FINANCIAL AND FOREIGN CURRENCY FUTURES
179,328
0
179,328
2,313
170,087
350
170,437
2,727
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.
Commitments on interest rate derivatives traded over the counter mainly consisted of interest rate swaps for futures and interest rate guarantees for options. Commitmentson foreign exchange instruments traded over the counter mainly consisted of currency swaps.
571
UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE
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