BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

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

Financial liabilities designated at fair value through profit or loss and credit risk

12/31/2019

12/31/2018

Difference between the carrying amount and the contractual amount due at maturity

Difference between the carrying amount and the contractual amount due at maturity

Contractual amount due at maturity

Contractual amount due at maturity

Carrying amount

Carrying amount

in millions of euros

Interbank term accounts and loans Customer term accounts and loans Non-subordinated debt securities

144 139

132 140

12 (1)

131 123

119 126

12 (3)

26,254

25,327

927

24,176

26,480

(2,304)

Subordinated debt

100

100

100

101

(1)

Other

3,699

3,699

4,389

4,389

TOTAL

30,335

29,397

938

28,919

31,215

(2,296)

accrued interest not yet due. In the case of securities, the redemption value is generally used. Revaluations attributable to own credit risk (valuation of own credit risk) amounted to €136 million (o/w +€137 million for debt securities) at December 31, 2019. Changes in these amounts are recorded in non-recyclable gains and losses recognized directly in other comprehensive income.

The total amount of changes in fair value reclassified to “Retained earnings” during the period essentially concerns redemptions of debt securities classified as “Financial liabilities designated at fair value through profit or loss” and amounted to -€1 million at December 31, 2019. The amount contractually due on loans at maturity comprises the outstanding principal amount at the balance sheet date plus

5.2.3

TRADING 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. Trading derivatives are recognized on the balance sheet under “Financial assets at fair value through profit or loss” and “Financial liabilities at fair value through profit or loss”. Realized and unrealized gains and losses are taken to income on the “Net gains or losses on financial instruments at fair value through profit or loss” line. 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. Positive or negative fair values represent the replacement value of these instruments. These values may vary significantly depending on changes in market parameters.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE