BPCE - 2019 Universal Registration Document

5

FINANCIAL REPORT

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

12/31/2019

12/31/2018

Notional amount 3,197,581 131,223 663,250 46,970 541,624 110,874 253,014 46,021 951,533 30,043 4,039,024 5,020,600

Positive fair value

Negative fair value

Notional amount 3,123,909 116,631 729,349 46,815 650,049 151,346 262,689 49,179 4,016,704 1,113,264

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

25,591

21,632

20,835

18,948

1,701 7,584

3,078 7,105

3,526 8,194

3,634 7,385

193

227

177

408

35,069 10,031

32,042 11,246

32,732

30,376 10,663

8,766 2,704 3,913

1,648 4,030

1,746 4,299

3,524 3,980

302

374

310

350

Options

16,011

17,665

15,695

18,517

Credit derivatives

602

818

36,052

421

557

TOTAL TRADING DERIVATIVES

51,682

50,525

5,166,020

48,848

49,450

o/w on organized markets

447,359

1,458

917

756,400

1,712

2,714

o/w over-the-counter transactions

4,573,241

50,224

49,608

4,409,620

47,136

46,736

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”.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

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