BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

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

12/31/2019

12/31/2018

Notional amount

Positive fair value

Negative fair value

Notional amount 361,086 13,674 374,760 377,868 19,471 15,137 34,608 34,608 412,476 3,108 3,108

Positive fair value

Negative fair value

in millions of euros

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

361,134

6,450

7,246 1,009 8,255

5,906

6,373 1,958 8,331

85

354

583

361,219

6,804

6,489

2,896 2,896

2 2

1 1

7 7

1 1

Options

Fair value hedges

364,115 21,361 20,539 41,900 41,900 406,014

6,806

8,257

6,496

8,333

Interest rate derivatives Currency derivatives (1) Forward transactions Cash flow hedges

63

325

58

256 769

1,004 1,067 1,067 7,873

1,531 1,856 1,856

599 657 657

1,025 1,025

TOTAL HEDGING INSTRUMENTS 9,357 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. 10,113 7,153

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 153,928 149,377 10,248 10,248 4,551

6 to 10 years > 10 years

1 to 5 years 147,733

6 to 10 years > 10 years

< 1 year

< 1 year

in millions of euros

Interest rate risk hedging

49,070

93,903

88,489

63,356

85,444

87,133

Cash flow hedges Fair value hedges

745

6,810

9,255

994

4,187

5,020

9,270

48,325

87,094

79,233

62,362

143,546

80,424 13,156

77,863

5

Currency risk hedging

1,130 1,118

6,016 6,016

3,230 3,157

447

9,423 3,144 6,279

5,784 2,451 3,333

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

9,541 3,615

12

73

447

TOTAL 92,917 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. 50,200 164,177 99,920 91,718 63,803 157,156 98,600

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE