BPCE_REGISTRATION_DOCUMENT_2017
5 FINANCIAL REPORT
IFRS Consolidated Financial Statements of BPCE SA group as at December 31, 2017
12/31/2017
12/31/2016
Positive fair value
Negative fair value
Positive fair value
Negative fair value
Notional amount
Notional
in millions of euros
Interestrate derivatives Currency derivatives
3,983,145 1,074,020
32,171 14,219
31,827 13,230
4,079,684 1,144,984
29,912 19,325
26,060 18,478
Equity derivatives Credit derivatives Other contracts
219,197 36,937 84,814
3,569
4,848
175,616
6,504
8,054
589 646
782 363
57,822 94,381
856
842 838
1,002
TOTALTRADING DERIVATIVES
5,398,113
51,194
51,050
5,552,487
57,599
54,272
o/w organized markets
774,282
1,088
1,895
922,654
3,193
3,623
o/w over-the-counter transactions
4,623,831 1,492,731 2,852,260
50,106 34,595 10,008
49,155 32,223 11,557
4,629,833 1,881,477 2,485,229
54,406 37,106
50,649 33,449 10,226
o/w credit institutions
o/w otherfinancial companies
9,279
HEDGING DERIVATIVES 5.3 Derivativesmay only be designatedas hedgesif they meet the criteria set out in IAS 39 at inceptionand throughoutthe term of the hedge. These criteria include formal documentationthat the hedgingrelation between the derivatives and the hedged items is both prospectively and retrospectively effective. Fair value hedges mainly consist of interest rate swaps that protect fixed-rate financial instruments against changes in fair value attributable to changes in market rates of interest. They transform fixed-rate assets or liabilities into floating-rate instruments and
include mostly hedges of fixed-rate loans, securities, deposits and subordinated debt. Fair value hedging is also used to manage their overall interest rate risk position. The cash flow hedges fix or control the variability of cash flows arising from floating-rateinstruments.Cash flow hedgingis also used to managethe overall interestrate risk position. 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 associatedwith such instruments.
12/31/2017
12/31/2016
Notional amount 19,394
Positive fair value
Negative fair value
Positive fair value
Negative fair value
Notional 20,788
in millions of euros
Interestrate derivatives Currency derivatives Equity derivatives Cash flowhedges Interestrate derivatives Currency derivatives Credit derivatives Fair valuehedges
43
309 536
71
547 541
1,703
317
2,696
857
198
226
1
21,295 554,118 11,505
360
845
23,710
928
1,089
7,477
6,994 2,161
753,948
10,400
9,370 3,336
769
16,062
1,877
128
565,751 587,046
8,246 8,606
9,155
770,010 793,720
12,277 13,205
12,706 13,795
TOTALHEDGINGINSTRUMENTS
10,000
398
Registration document 2017
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