BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

BPCE PARENT COMPANY ANNUAL FINANCIAL STATEMENTS

5.1.3

OTHER COMMITMENTS NOT RECOGNIZED OFF-BALANCE SHEET

12/31/2019

12/31/2018

Commitments given

Commitments received

Commitments given

Commitments received

in millions of euros

Other securities pledged as collateral provided to banks Other securities pledged as collateral received from customers

53,955

14,574

56,070

14,309

0

0

0

0

TOTAL

53,955

14,574

56,070

14,309

At December 31, 2019, receivables pledged as collateral under funding arrangements included in particular: €34,276 million in negotiable debt securities pledged to • Banque de France under the TRICP system, compared with €33,926 million at December 31, 2018; €5,658 million in loans pledged as collateral for funding • received from the European Investment Bank (EIB) versus €5,798 million at December 31, 2018.

No other major commitments were given by BPCE as collateral for its own commitments or for those of third parties. BPCE did not receive a significant amount of assets as collateral from customers.

5.2

FORWARD FINANCIAL INSTRUMENTS

Accounting principles Trading and hedging transactions in interest rate, currency or equity futures are recognized in accordance with the provisions of ANC Regulation No. 2014-07. Commitments on these instruments are recorded as off-balance sheet items at the nominal value of the contracts. The amount recognized for these commitments represents the volume of unwound forward transactions at the balance sheet date. The accounting policies applied vary depending on the type of instrument and the original purpose of the transaction. Forward transactions Interest rate swaps and similar contracts (forward rate agreements, collars, etc.) are classified as follows according to their initial purpose: micro-hedging (assigned hedges); • macro-hedging (overall Asset and Liability management); • speculative positions/isolated open positions; • for use with a trading book. • Amounts received or paid in respect of the first two categories are recognized in income on a pro rata basis. Income and expenses related to instruments used for hedging an asset or a group of similar assets are recognized in income symmetrically with the income and expenses on the hedged item. Gains and losses on hedging instruments are recognized on the same line as the income and expenses on the hedged item, under “Interest and similar income” and “Interest and similar expenses”. The “Net gains or losses on trading book transactions” line is used when the hedged items are in the trading book. In the event of characteristic overhedging, a provision may be made for the hedging instrument, in the amount of the overhedged portion, if the instrument shows an unrealized loss. In such case, the charge to provisions will affect “Net gains or losses on trading book transactions”. Income and expenses related to futures used for hedging purposes or for managing overall interest rate risk are

recognized in the income statement on a pro rata basis under “Interest and similar income” and “Interest and similar expenses”. Unrealized gains and losses are not recognized. Income and expense related to certain contracts, qualifying as isolated open positions, are recorded in the income statement either when the contracts are settled or on a pro rata basis, depending on the type of instrument. Recognition of unrealized gains or losses is determined based on the type of market involved (organized, other markets considered as organized, or over the counter). On over-the-counter markets (including transactions processed by a clearing house), a provision is recorded for any unrealized losses (relative to the instrument’s mark-to-market). Unrealized capital gains are not recognized. Instruments traded on organized markets or other markets considered as organized are continuously quoted and liquid enough to justify being marked to market. Contracts classified as specialized asset management contracts are measured after applying a discount to reflect counterparty risk and taking into account the net present value of future management costs, if these valuation adjustments are material. Derivatives traded with a counterparty that is a member of Groupe BPCE’s share support mechanism (see Note 1.2.) are not subject to these valuation adjustments. Changes in value from one accounting period to another are recognized immediately in the income statement under “Net gains or losses on trading book transactions”. Balances on terminations or transfers are recognized as follows: balances on transactions classified under specialized asset • management contracts or isolated open positions are immediately recognized in the income statement; for micro-hedging and macro-hedging transactions, • balances are amortized over the remaining term of the initially hedged item or immediately recognized in the income statement.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE