BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

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

SENSITIVITY OF LEVEL 3 ASSETS AND LIABILITIES TO CHANGES IN THE PRINCIPAL ASSUMPTIONS uncertain economic environments. This estimate was made using assumptions of additional valuation adjustments for fixed-income, currency and equity instruments; i.e. a potential At December 31, 2019, Natixis calculated the sensitivity of the impact of €35 million on the income statement, o/w €9 million in fair value of financial instruments measured using unobservable equity instruments and derivatives. 10.1.4

inputs. With the aid of probable assumptions, this sensitivity was used to estimate the impacts of market fluctuations in

10.2

FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES AT AMORTIZED COST

For financial instruments not measured at fair value on the balance sheet, fair value calculations are provided for information purposes and must only be interpreted as estimates. In most cases, the values indicated are not likely to be realized and generally may not be realized in practice. These fair values are thus only provided for information purposes in the notes to the financial statements. They are not indicators used in the interest of overseeing retail banking activities, for which the management model is based on the collection of expected cash flows. The simplified assumptions used to measure the fair value of instruments at amortized costs are presented in Note 10.1.

12/31/2019

Level 1

Level 2

Level 3

Fair value

in millions of euros

FINANCIAL ASSETS AT AMORTIZED COST Loans and receivables due from banks Loans and receivables due from customers

90,504 708,873 28,246 77,900 560,680 239,983 18,597

139 298

30,930 131,618

59,434 576,958

Debt securities

15,246

9,331

3,670

FINANCIAL LIABILITIES AT AMORTIZED COST Amounts due to banks

64,072 309,543 161,305

13,828 251,137

Amounts due to customers

Debt securities

71,800 10,765

6,877

Subordinated debt

7,131

701

5

12/31/2018

Fair value

Level 1

Level 2

Level 3

in millions of euros

FINANCIAL ASSETS AT AMORTIZED COST Loans and receivables due from banks Loans and receivables due from customers

91,652 675,364 31,295 91,299 530,554 217,981 18,345

2

29,508 139,212

62,143 536,043

109

Debt securities

16,248

8,841

6,206

FINANCIAL LIABILITIES AT AMORTIZED COST Amounts due to banks

82,982 292,338 198,194

8,317

Amounts due to customers

238,216

Debt securities

12,373

7,414

Subordinated debt

9,692

8,189

464

323

UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE