BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

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

Cash flow hedges

12/31/2019

Balance of hedges due and remaining to be recognized (1)

Fair value of the hedging derivative

o/w effective portion of hedges not due (2)

o/w ineffective portion

in millions of euros

Interest rate risk hedging Currency risk hedging

(263) (526) (789)

(249) (538) (786)

(13)

0 0 0

12 (1)

TOTAL – CASH FLOW HEDGES

Declassification, end of hedging relationship. (1) Booked to other items recognized in other comprehensive income or to profit or loss for the recycled portion with a corresponding entry to hedged items. (2)

At December 31, 2018, the fair value of hedging derivatives was -€369 million, o/w an effective portion of -€385 million and an ineffective portion of €17 million. The balance of hedges due and remaining to be recognized stood at €57 million. The ineffective portion of the hedge is recorded in the income statement under “Net gains or losses on financial instruments at fair value through profit or loss”, see Note 4.3.

The “Cash flow hedges” reserve corresponds to the effective portion of hedges not due and the balance of hedges that are due and remaining to be recognized, before tax, including the portion attributable to non-controlling interests. Recycling from “Cash flow hedges” to profit or loss is included either in net interest income or in income on derecognition of the hedged item in the same way as the line impacted by the hedged item.

Cash flow hedges – Details of other items recognized in other comprehensive income

Reclassification of the

Hedged item partially or fully extinguished

Change in the effective portion

effective portion in income

01/01/2019

12/31/2019

in millions of euros

Amount of equity for cash flow hedging

(414) (414)

38 38

18 18

6 6

(352) (352)

TOTAL

5

At December 31, 2018, the change in the effective portion amounted to +€6 million, the reclassification of the effective portion to profit or loss to +€51 million and the partially or totally hedged item to +€6 million.

5.4

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

Accounting principles Financial assets at fair value through other comprehensive income are initially recognized at fair value, plus any transaction costs. Debt instruments measured at fair value through other comprehensive income recyclable to profit or loss On the balance sheet date, these instruments are carried at their fair value and changes in fair value (excluding accrued interest) are recorded under ”Gains and losses recognized directly in other comprehensive income recyclable to profit or loss” (as the foreign currency assets are monetary assets, changes in the fair value of the foreign currency component affect income). The principles used to determine fair value are described in Note 10. These instruments are subject to IFRS 9 impairment requirements. Information about credit risk is provided in Note 7.1. If they are sold, these changes in fair value are taken to income. Interest income accrued or received on debt instruments is recorded under “Interest and similar income” based on the effective interest method. This method is described in Note 5.5 – Assets at amortized cost. Equity instruments measured at fair value through other comprehensive income not recyclable to profit or loss On the balance sheet date, these instruments are carried at their fair value and changes in fair value are recorded under “Gains and losses recognized directly in other comprehensive income not recyclable to profit or loss” (as the foreign currency assets are not monetary assets, changes in the fair value of the foreign currency component do not affect income). The principles used to determine fair value are described in Note 10. The designation at fair value through other comprehensive income not recyclable to profit or loss is an irrevocable option that is applied on an instrument-by-instrument basis only to equity instruments not held for trading purposes. Realized and unrealized losses continue to be recorded in other comprehensive income with no impact on income. These financial assets are not impaired.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE