BPCE - 2018 Registration document

5 FINANCIAL REPORT

IFRS Consolidated Financial Statements of BPCE SA group as at December 31, 2018

Maturity of the notional amount of hedging derivatives at December 31, 2018

< 1 year 63,356

1 to 5 years

6 to 10 years

> 10 years

in millions of euros

Interest rate risk hedging

147,733

85,444

87,133

Cash flow hedges Fair value hedges

994

4,187

5,020

9,270

62,362

143,546

80,424 13,156

77,863

Currency risk hedging

447

9,423 3,144 6,279

5,784 2,451 3,333

Cash flow hedges Fair value hedges

9,541 3,615

447

TOTAL

63,803

157,156

98,600

92,917

Hedged items Fair value hedges

Fair value hedges 12/31/2018

Interest rate risk hedging

Currency risk hedging

Hedged component remaining to be recognized (2)

o/w revaluation of the hedged component (1)

o/w revaluation of the hedged component (1)

Carrying amount

Carrying amount

in millions of euros

ASSETS Financial assets at fair value through other comprehensive income

12,074 12,074

(89) (89)

8

Debt securities

Shares and other equity instruments Financial assets at amortized cost

8

108,975 22,112 82,226

6,067

353

5,486

982

Loans or receivables due from credit institutions Loans or receivables due from customers

386

533

4,646 1,035

3

97

16

Debt securities

4,637

350

4,856

966

LIABILITIES Financial liabilities at amortized cost

128,493 20,292

4,699

387

14,141

396

Amounts due to credit institutions

267

195

Amounts due to customers

8,242

(1)

Debt securities

88,371 11,589 249,542

3,929

387

9,813 4,133

396

Subordinated debt

504

TOTAL

10,677

740

19,635

1,379

(1) (2)

Excluding accrued interest

Declassification, end of hedging relationship.

The ineffective portion of hedging for the period is presented in Note 4.3 “Gains and losses on financial assets and liabilities at fair value through profit or loss” or in Note 4.4 “Gains and losses recognized directly in other comprehensive income” for equity instruments recognized at fair value through other comprehensive income not recyclable to income.

Cash flow hedges

12/31/2018

Fair value of the hedging derivative

o/w effective portion of hedges not due

Balance of hedges due and remaining to be recognized

o/w ineffective portion

in millions of euros

Interest rate risk hedging Currency risk hedging

(199) (170) (369)

(201) (184) (385)

2

57

15 17

TOTAL – CASH FLOW HEDGES

57

454

Registration document 2018