BPCE - 2019 Universal Registration Document

5

FINANCIAL REPORT

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

12/31/2019

12/31/2018

Notional amount

Positive fair value

Negative fair value

Notional amount 469,588 14,340 483,928

Positive fair value

Negative fair value

in millions of euros

Interest rate derivatives Currency derivatives (1) Forward transactions Interest rate derivatives

471,390

7,696

12,029

6,799

10,422

739

360

1,009

582

1,974

472,129

8,057

13,038

7,381

12,396

6,603 6,603

3 3

19 19

4,327 4,327

14 14

15 15

Options

Fair value hedges

478,732 28,736 24,054 52,790

8,060

13,058

488,255 27,615 18,641 46,256

7,395

12,412

Interest rate derivatives Currency derivatives (1) Forward transactions Interest rate derivatives

216

456

156 606 762

378 798

1,009 1,225

1,554 2,009

1,177

118 118

2 2

1 1

97 97

2 2

1 1

Options

Cash flow hedges

52,908 531,640

1,227 9,286

2,010

46,353 534,608

764

1,178

TOTAL HEDGING INSTRUMENTS 13,589 Currency swaps are documented both as interest rate fair value hedges and as currency cash flow hedges. Total fair value is nevertheless recorded under currency derivatives. (1) In 2018, these derivatives were mainly recorded under currency fair value hedges and are now mainly recorded under currency cash flow hedges in order to better reflect the weight of the currency component (associated with the cash flow hedge) in total fair value. 15,068 8,160

All hedging derivatives are included in “Hedging derivatives” in balance sheet assets and liabilities.

MATURITY OF THE NOTIONAL AMOUNT OF HEDGING DERIVATIVES AT DECEMBER 31, 2019

12/31/2019

12/31/2018

1 to 5 years 216,818 208,954 13,902 13,480 7,864

6 to 10 years > 10 years

1 to 5 years 206,871

6 to 10 years > 10 years

< 1 year

< 1 year

in millions of euros

Interest rate risk hedging

63,866

124,655

101,507

81,527

114,750

98,478

9,675

Cash flow hedges Fair value hedges

3,505

7,802

9,683

2,837

9,277

5,923

60,361

116,854

91,824

78,690

197,594 13,331

108,827 13,156

88,803

Currency risk hedging

1,553 1,309

6,108 6,108

3,230 3,157

711 134 577

5,784 2,451 3,333

Cash flow hedges (1) Fair value hedges (1)

6,515 6,816

9,541 3,615

244

422

73

TOTAL 104,262 Currency swaps are documented both as interest rate fair value hedges and as currency cash flow hedges. Total fair value is nevertheless recorded under currency derivatives. (1) In 2018, these derivatives were mainly recorded under currency fair value hedges and are now mainly recorded under currency cash flow hedges in order to better reflect the weight of the currency component (associated with the cash flow hedge) in total fair value. 65,419 230,722 130,763 104,737 82,238 220,202 127,906

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

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