BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

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

FAIR VALUE OF LOANS TO LARGE CORPORATES, LOCAL AUTHORITIES AND BANKS

with loans to retail customers. Prepayment options are factored into the model via an adjustment to loan repayment schedules. FAIR VALUE OF DEBT The fair value of fixed rate debt owed to banks and customers with a term of over one year is deemed to be equal to the present value of future cash flows discounted at the interest rate observed at the balance sheet date. Own credit risk is not generally taken into account.

The fair value of loans is measured using internal valuation models that discount future payments of recoverable capital and interest over the remaining loan term. The interest rate component is remeasured, as is the credit risk component (where it is an observable piece of data used by customer relationship managers). Failing that, the credit risk component is established at the outset and not subsequently remeasured, as

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE