BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

IFRS CONSOLIDATED FINANCIAL STATEMENTS OF GROUPE BPCE AS AT DECEMBER 31, 2019

12/31/2019

12/31/2018

Notional amount 3,133,604 148,102 683,015 46,971 544,545 119,795 253,649 46,021 964,010 30,139 4,011,692 5,005,841

Positive fair value

Negative fair value

Notional amount 3,061,238 121,055 749,220 46,815 653,033 158,891 262,775 49,179 3,978,328 1,123,878

Positive fair value

Negative fair value

in millions of euros

Interest rate derivatives Equity derivatives Currency derivatives Other instruments Forward transactions Interest rate derivatives Equity derivatives Currency derivatives Other instruments

20,963

17,526

17,212

15,868

1,748 7,862

3,114 7,112

3,551 8,353

3,632 7,625

193

227

177

408

30,766 10,046

27,979 11,257

29,293

27,533 10,672

8,780 3,158 3,915

1,804 4,032

1,808 4,304

3,524 3,982

302

374

310

350

Options

16,184

17,743

16,163

18,528

Credit derivatives

602

824

36,096

410

554

TOTAL TRADING DERIVATIVES

47,552

46,546

5,138,302

45,866

46,615

o/w on organized markets

471,689

1,444

979

767,566

2,166

2,715

o/w over-the-counter transactions

4,534,152

46,108

45,567

4,370,736

43,700

43,900

5.3

HEDGING DERIVATIVES

Accounting principles A derivative is a financial instrument or other contract with all three of the following characteristics: its value changes in response to the change in a specific • interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided that, in the case of a non-financial variable, this variable may not be specific to one of the parties to the contract; it requires no initial net investment or an initial net • investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors; it is settled at a future date. • All derivative financial instruments are recognized on the balance sheet at the trade date and are measured at fair value at inception. They are remeasured at their fair value at each balance sheet date regardless of whether they were acquired for trading or hedging purposes. Changes in the fair value of derivatives are recognized in income for the period, except for derivatives qualifying as cash flow hedges or as hedges of net investments in foreign operations for accounting purposes. Derivatives may only be designated as hedges if they meet the criteria set out in IAS 39 at inception and throughout the term of the hedge. These criteria include formal documentation that the hedging relationship 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 the overall interest rate risk position.

Cash flow hedges fix or control the variability of cash flows arising from floating rate instruments. Cash flow hedging is also used to manage the overall interest rate 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 associated with such instruments. The hedging relationship qualifies for hedge accounting if, at the inception of the hedge, there is formal documentation of the hedging relationship identifying the hedging strategy, the type of risk hedged, the designation and characteristics of the hedged item and the hedging instrument. In addition, the effectiveness of the hedge must be demonstrated at inception and subsequently verified. Derivatives contracted as part of a hedging relationship are designated according to the purpose of the hedge. Groupe BPCE used the option available in IFRS 9 not to apply the provisions of the standard relative to hedge accounting, and to continue to apply IAS 39 as adopted by the European Union for the recognition of these transactions, i.e. excluding certain provisions relating to macro-hedging. Fair value hedges Fair value hedges are intended to reduce exposure to changes in the fair value of an asset or liability carried on the balance sheet, or of a firm commitment, in particular the interest rate risk on fixed rate assets and liabilities. The gain or loss on the revaluation of hedging instruments attributable to the risk being hedged is recognized in income in the same manner as the gain or loss on the hedged item. The ineffective portion of the hedge, if any, is recorded in the income statement under “Net gains or losses on financial instruments at fair value through profit or loss”. Accrued interest on the hedging instrument is taken to income in the same manner as the accrued interest on the hedged item.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE