Derivative contracts
The notional value of derivative contracts is equal to € 6,687.3 million, up by 3.5% in the financial year (+12.7% in the last quarter). The increase concerned financial derivatives (+3.1% to € 6,472.2 million in the year; +13.4% in the last quarter), which represent 96.8% of the total, and credit derivativesi totalling € 215.2 million (+16.6% in the twelve month period; -6.7% in the last quarter) which represent 3.2% of the total.
NOTIONAL VALUES OF DERIVATIVE CONTRACTS
| Situation as at | Change % | |||||
|---|---|---|---|---|---|---|
| (figures in thousand of €) | 31/12/08 | 30/9/08 | 31/12/2007 | 31/12/06 | 9/08 12/07 | 12/08 12/08 |
| Financial derivatives | 6,472,194 | 5,704,995 | 6,277,524 | 6,763,725 | 13.4 | 3.1 |
| futuresi | - | 16,900 | 6,0400 | 65 | -100.0 | -100.0 |
| forward agreement | 728,956 | 607,156 | 673,869 | 656,162 | 20.1 | 8.2 |
| swap | 4,548,596 | 4,244,613 | 4,156,220 | 4,140,709 | 7.2 | 9.4 |
| optioni purchased | 1,028,597 | 623,16 | 1,156,791 | 1,280,534 | 65.1 | -11.1 |
| others | 166,045 | 213,166 | 284,604 | 686,255 | -22.1 | -41.7 |
| Credit derivatives | 215,153 | 230,516 | 184,527 | 203,548 | -6.7 | 16.6 |
| tror | 6,060 | 6,060 | 13,234 | 33,471 | 0.0 | -54.2 |
| cds | 209,093 | 224,456 | 171,293 | 170,077 | -6.8 | 22.1 |
| TOTAL | 6,687,347 | 5,935,511 | 6,462,051 | 6,967,273 | 12.7 | 3.5 |
The value of hedging derivatives (assetsand liabilities) stood at € 173.2 million (€ 44.1million at the end of 2007; € 48.2 million in September 2008). Positive values amount to € 56.9 million, while negative values amount to € 116.3 million. Trading derivatives amounted, on the other hand, to an aggregate of € 179 million (-22.6% in the year; 23.9% in the last quarter), of which, € 64.5 million with a positive value, and € 114.5 million with a negative value.
ASSETS FROM HEDGING DERIVATIVES BY HEDGE TYPE
| Situation as at | Change % | ||||||
|---|---|---|---|---|---|---|---|
| (figures in thousands of €) | 31/12/08 | 30/09/08 | 31/12/07 | 31/12/06 | 12/08 9/08 | 12/08 12/07 |
|
| Asset hedging derivatives | 1,688 | 411 | 1,040 | 780 | … | 62.3 | |
| Fair valuei hedging | 1,688 | 411 | 1,040 | 780 | … | 62.3 | |
| interest rates | 1,688 | 411 | 1,040 | 780 | … | 62.3 | |
| General interest rate riski hedging | - | - | - | - | … | … | |
| Liability hedging derivatives | 55,234 | 22,254 | 22,896 | 18,096 | … | … | |
| Fair valuei hedging | 53,065 | 6,913 | 3,153 | 14,191 | … | … | |
| interest rates | 53,065 | 6,913 | 3,153 | 14,191 | … | … | |
| Cash flow hedging | - | - | - | - | … | … | |
| General interest rate riski hedging | 2,169 | 15,341 | 19,743 | 3,905 | -85.9 | -89.0 | |
| Total | 56,922 | 22,665 | 23,936 | 18,876 | … | … | |
LIABILITIES FROM HEDGING DERIVATIVES BY HEDGE TYPE
| Situation as at | Change % | ||||||
|---|---|---|---|---|---|---|---|
| (figures in thousands of €) | 31/12/08 | 30/09/08 | 31/12/07 | 31/12/06 | 12/08 9/08 | 12/08 12/07 |
|
| Asset hedging derivatives | 49,556 | 8,962 | 6,441 | 11,864 | … | … | |
| Fair valuei hedging | 49,556 | 8,962 | 6,441 | 11,864 | … | … | |
| interest rates | 49,556 | 8,962 | 6,441 | 11,864 | … | … | |
| Cash flow hedging | - | - | - | - | … | … | |
| General interest rate riski hedging | - | - | - | - | … | … | |
| Liability hedging derivatives | 66,734 | 16,579 | 13,722 | 11,145 | … | … | |
| Fair valuei hedging | 843 | 12,788 | 12,566 | 10,022 | -93.4 | -93.3 | |
| interest rates | 843 | 12,788 | 12,566 | 10,022 | -93.4 | -93.3 | |
| other risks | … | … | |||||
| Cash flow hedging | - | - | - | 241 | … | … | |
| General interest rate riski hedging | 65,891 | 3,791 | 1,156 | 882 | … | … | |
| Total | 116,290 | 25,541 | 20,163 | 23,009 | … | … | |
TRADING DERIVATIVES
| Situation as at | Change % | ||||||
|---|---|---|---|---|---|---|---|
| (figures in thousands of €) | 31/12/08 | 30/09/08 | 31/12/07 | 31/12/06 | 12/08 09/08 | 12/08 12/07 |
|
| Positive countervalues | 64,503 | 66,728 | 103,598 | 96,195 | -3.3 | -37.7 | |
| Financial derivatives | 52,864 | 56,528 | 101,744 | 95,879 | -6.5 | -48.0 | |
| futures | - | - | - | - | … | … | |
| forward agreements | 11,098 | 19,641 | 3,739 | 4,445 | -43.5 | … | |
| forward rate agreements | - | - | - | - | … | … | |
| swap | 19,178 | 12,599 | 12,295 | 6,480 | 52.2 | 56.0 | |
| options purchased | 22,587 | 24,288 | 85,710 | 84,954 | -7.0 | -73.6 | |
| others | 1 | - | - | - | … | … | |
| Credit derivativesi | 11,639 | 10,200 | 1,854 | 316 | 14.1 | … | |
| tror | - | - | - | 146 | … | … | |
| cds | 11,639 | 10,200 | 1,854 | 170 | 14.1 | … | |
| others | - | - | - | - | … | … | |
| TOTAL | 64,503 | 66,728 | 103,598 | 96,195 | -3.3 | -37.7 | |
| Negative countervalues | 114,470 | 77,683 | 127,539 | 131,787 | 47.4 | -10.2 | |
| Financial derivatives | 111,505 | 76,376 | 126,906 | 130,700 | 46.0 | -12.1 | |
| forward agreements | 11,516 | 9,128 | 4,047 | 4,128 | 26.2 | … | |
| swap | 97,229 | 60,901 | 112,817 | 115,319 | 59.7 | -13.8 | |
| issued options | 2,760 | 6,347 | 10,042 | 11,253 | -56.5 | -72.5 | |
| Credit derivativesi | 2,965 | 1,307 | 633 | 1,087 | … | … | |
| tror | 13 | 9 | 10 | - | 44.4 | 30.0 | |
| cds | 2,952 | 1,298 | 623 | 1,087 | … | … | |
| TOTAL | 114,470 | 77,683 | 127,539 | 131,787 | 47.4 | -10.2 | |
Revaluations of € 52.5 million, write-downs of € 60.5 million and net profits from trading of € 13.8 million were recorded on trading derivative contracts; consequently, the net positive result amounts to € 5.8 million.
Revaluations amounting to € 54.6 million and write-downs for € 45.7 million were registered on hedging derivatives; taking into account the decrease in the underlying assets of € 9.4 million, the net result is negative for € 0.5 million.
NET INCOME ON DERIVATIVE CONTRACTS AS AT 31/12/2008
| (figures in thousands of €) | Revaluations | Write-downs | Net profit on trading | Net income |
|---|---|---|---|---|
| 1. Trading contracts | 52,475 | - 60,474 | 13,829 | 5,830 |
| 1.1 Financial derivatives | 37,556 | - 56,577 | 16,757 | - 2,264 |
| 1.2 Credit derivativesi | 14,919 | - 3,897 | - 2,928 | 8,094 |
| Revaluations | Write-downs | Changes in underlying from hedging | Net income | |
| 2. Hedging contracts | 54,569 | - 45,701 | - 9,412 | - 544 |
| 2.1 Asset hedging | - | - 45,310 | 45,670 | 360 |
| 2.2 Liability hedging | 54,569 | - 391 | - 55,082 | - 904 |
| TOTAL | 107,044 | - 106,175 | 4,417 | 5,286 |