1998-Paribas Annual Report - BNP Paribas

98
The above amounts only reflect the volume of activity of the Group in each instrument type and is not an indication of
the market risk, certain instruments being used to hedge others. Group companies control the risks of credit, interest rate
and exchange rate which arise on these instruments by means of internal procedures which limit the exposure by counterparty
as well as the residual amount of interest rate and foreign exchange positions.
For firm transactions, the commitments represent the addition of the notional amounts of the purchases and the sales of
the instruments (except for swaps for which only the value of the loaned amount is taken into account). For conditional
transactions, the commitments represent the notional amounts of the purchases or sales of the instruments. The item
“others” includes options on commodities, precious metals, stock indexes and equities.
Operations on organized markets are presented after netting purchases and sales of contracts of same nature and maturity.
The equivalent credit risk on the forward financial instruments as at December 31, 1998 is as follows:
in EUR million
Liquidative value 10,235
Regulatory Add-On 13,525
Total 23,760
c) Residual period
Total < 1 year 1-5 years > 5 years
in EUR million 12.31.1998
Firm transactions
Organized markets:
• Future contracts
(interest rate, currency and other financial futures)
Over-the-counter:
157,607 110,556 47,051 –
• Future rate agreements 53,832 24,350 21,834 7,648
• Interest rate swaps 1,161,393 525,333 471,065 164,996
• Currency swaps 86,459 77,022 6,089 3,347
• Others 11,024 3,456 5,141 2,427
Conditional transactions
Organized markets:
• Purchase of interest rate options 16,671 15,170 1,501 –
• Sale of interest rate options 31,732 30,438 1,294 –
• Purchase of currency options 131 131 – –
• Sale of currency options – – – –
• Purchase of other options 3,764 3,764 – –
• Sale of other options 4,257 4,257 – –
Over-the-counter:
• Purchase of caps, floors and collars 94,180 42,600 38,200 13,380
• Sale of caps, floors and collars 111,110 50,258 45,067 15,785
• Purchase of interest rate swaptions 72,494 32,791 29,404 10,299
• Sale of interest rate swaptions 90,970 41,148 36,898 12,924
• Purchase of currency swaptions 75 66 5 3
• Sale of currency swaptions – – – –
• Purchase of interest rate options 2,570 1,163 1,043 365
• Sale of interest rate options 2,734 1,237 1,109 388
• Purchase of currency options 64,306 57,287 4,529 2,490
• Sale of currency options 66,643 59,370 4,693 2,580
• Purchase of other instruments 36,184 11,345 16,874 7,965
• Sale of other instruments 60,705 19,033 28,309 13,363