BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

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

Fiscal year 2018

From

Level 1

Level 2

Level 2

Level 3

To

Level 2

Level 1

Level 3

Level 2

in millions of euros

FINANCIAL ASSETS Debt instruments

89 89 22

150 150

14 14

Debt securities Derivatives

85

147

206

Interest rate derivatives Equity derivatives (1) Currency derivatives

17

16

85

130

27

6

178 206

Financial assets at fair value through profit or loss – Held for trading (2)

111

235

161 160 160 160

Debt instruments

Debt securities

Financial assets at fair value through profit or loss – Non standard

Debt instruments

412 412 412

241 241 241

Debt securities

Financial assets at fair value through other comprehensive income

Fiscal year 2018

From

Level 1

Level 2

Level 2

Level 3

To

Level 2

Level 1

Level 3

Level 2

in millions of euros

FINANCIAL LIABILITIES Debt securities Derivatives Interest rate derivatives • Equity derivatives • Currency derivatives • Credit derivatives • Other derivatives •

5

41

56

13 10

176

1

34

55

3

18

154

3

7

1

Financial liabilities at fair value through profit or loss – Held for trading (2)

41

56

13

176

Derivatives

(13) (13)

Interest rate derivatives

Debt securities

1

Financial liabilities designated at fair value through profit or loss 1 Of which €130 million relating to structured derivatives indexed to shares traded in Asia transferred to Level 3 of the fair value hierarchy (see general principles in Note 10 and (1) Note 1.3). Excluding economic hedging. (2) SENSITIVITY OF LEVEL 3 ASSETS AND LIABILITIES TO CHANGES IN THE PRINCIPAL ASSUMPTIONS uncertain economic environments. This estimate was made using assumptions of additional valuation adjustments for fixed-income, currency and equity instruments; i.e. a potential At December 31, 2019, Natixis calculated the sensitivity of the impact of €35 million on the income statement, o/w €9 million in fair value of financial instruments measured using unobservable equity instruments and derivatives. 10.1.4

inputs. With the aid of probable assumptions, this sensitivity was used to estimate the impacts of market fluctuations in

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE