Instruction No. 2003-03 of July 24, 2003, amending Instructions No. 94-04 and No. 94-07 of March 14, 1994, regarding the accounting for interest rate derivative instruments and securities transactions

BANKING COMMISSION

Instruction No. 2003-03 amending Instructions No. 94-04 and 94-07 of March 14, 1994, respectively regarding the accounting for operations on interest rate financial derivative instruments and the accounting for operations on securities

The Banking Commission, Having regard to Regulation No. 88-02 of the Banking Regulation Committee dated February 22, 1988, regarding the accounting for operations on interest rate financial derivative instruments, as amended by Regulation No. 95-04 of July 21, 1995; Having regard to Regulation No. 90-01 of the Banking Regulation Committee dated February 23, 1990, regarding the accounting for operations on securities, as amended by Regulation No. 95-04 of July 21, 1995 and by Regulation No. 2000-02 of the Accounting Regulation Committee dated July 4, 2000; Having regard to Regulation No. 90-15 of the Banking Regulation Committee dated December 18, 1990, regarding the accounting for interest rate or currency swap contracts, as amended by Regulations No. 92-04 of July 17, 1992, No. 95-04 of July 21, 1995 and No. 97-02 of February 21, 1997; Having regard to Regulation No. 2002-01 of the Accounting Regulation Committee dated December 12, 2002, regarding the valuation of homogeneous sets of financial instruments and designated hedging of groups of items; Having regard to Instruction No. 94-04 of March 14, 1994, regarding the accounting for operations on interest rate financial derivative instruments; Having regard to Instruction No. 94-07 of March 14, 1994, regarding the accounting for operations on securities, as amended by Instruction No. 2000-12 of December 4, 2000.

2 Decides: Article 1 In the aforementioned Instruction No. 94-04, the first sentence of Article 1: "Hedging operations may relate to an asset, a liability, an off-balance sheet commitment or a future operation whose probability of realization is high" is replaced by: "The hedging operations referred to in Article 4 of the aforementioned Regulation No. 88-02 may relate to assets, liabilities, off-balance sheet commitments or future operations whose probability of realization is high". The second sentence of Article 1 of the aforementioned Instruction No. 94-04: "They may also concern a set of homogeneous elements, notably with regard to their sensitivity to interest rate variations" is deleted. The first paragraph of Article 2 of the aforementioned Instruction No. 94-04 is modified as follows: "To qualify a transaction as a hedging operation within the meaning of Article 4 of the aforementioned Regulation No. 88-02, a correlation must be observed between the value variations of the hedged element or group of elements and those of the contract on which the transaction is based. However, when the transaction involves the purchase of option contracts, this correlation must be established between the value variations of the hedged element or group of elements and those of the underlying financial instrument". The first paragraph of Article 6 of the aforementioned Instruction No. 94-04 is modified as follows: "The value variations of contracts for financial instruments qualified as hedging operations are recorded until their settlement, pursuant to Article 5 of the aforementioned Regulation No. 88-02, in a suspense sub-account of the series of regularization accounts 384 opened for each of the elements or groups of elements that have been the subject of a hedging operation". The third paragraph of Article 6 of the aforementioned Instruction No. 94-04 is modified as follows: "However, when the hedged element or group of elements is valued at market price, the results of designated hedging arising from financial instruments traded on organized markets or equivalent are reported to the income statement from the inception of the hedging operation, as and when the value of the hedged element or group of elements varies, under the conditions described in the first two paragraphs of Article 5 of this Instruction".

3 Article 2 In the aforementioned Instruction No. 94-07, the first four paragraphs of Article 6.4 are deleted. The sixth paragraph of Article 6.4 of the aforementioned Instruction No. 94-07 is modified as follows: "- recognized in accordance with Article 8 of the aforementioned Instruction No. 94-04 on the hedging contracts associated with these securities under the conditions defined by Article 4 of the aforementioned Regulation No. 88-02". Paris, July 24, 2003 The President of the Banking Commission, Hervé HANNOUN