BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

IFRS CONSOLIDATED FINANCIAL STATEMENTS OF GROUPE BPCE AS AT DECEMBER 31, 2020

This affected a number of items, as follows:

12/31/2020

12/31/2019

Before modification Modification

After modification

Before modification Modification

After modification

in billions of euros

ASSETS Financial assets at fair value through profit or loss

203.9

(7.6) (7.9)

196.3

218.8

(8.1) (8.3)

210.7

Accrued income and other assets

24.3

16.4

24.3

16.0

TOTAL

228.1

(15.5)

212.6

243.1

(16.4)

226.7

LIABILITIES Financial liabilities at fair value through profit or loss

199.3

(7.9) (7.6)

191.4

201.8

(8.3) (8.1)

193.4

Accrued expenses and other liabilities

30.3

22.7

30.9

22.8

TOTAL

229.5

(15.5)

214.0

232.7

(16.4)

216.2

At December 31, 2020: the amount of premiums payable included in the value of • options reported under "Financial assets at fair value through profit or loss" was €7.6 billion (€8.1 billion at December 31, 2019);

the amount of premiums receivable included in the value of • options reported under "Financial liabilities at fair value through profit or loss" was €7.9 billion (€8.3 billion at December 31, 2020).

12/31/2020

12/31/2019

Notional amount 4,263,661 128,810 703,248 51,098 532,467 72,657 211,299 31,032 847,455 45 232 5,146,817 6,039,504

Positive fair value

Negative fair value

Notional amount 3,133,604 148,102 683,015 46,971 544,545 119,795 253,649 46,021 964,010 30,139 4,011,692 5,005,841

Positive fair value

Negative fair value

in millions of euros

Interest rate derivatives (1)

18,540

13,827

24,476

21,555

Equity derivatives

2,422 8,915

2,846 9,503

1,748

3,114

Currency derivatives (1)

12,437

11,411

Other instruments

739

589

193

227

Forward transactions (1) Interest rate derivatives

30,616

26,765

38,854 10,046

36,307 11,257

5

6,963 1,245

6,845 1,551

Equity derivatives Currency derivatives Other instruments

1,804 4,032

1,808 4,304

125 451

649 399

302

374

Options

8,784

9,444 1 067

16,184

17,743

Credit derivatives

833

602

824

TOTAL TRADING DERIVATIVES (1)

40,233

37,276

55,640

54,874

o/w on organized markets

369,860

935

642

471,689

1,444

979

o/w over-the-counter transactions 45,567 Amounts restated with respect to the financial statements published in 2019, following a change in the presentation of premiums on options to be paid or received. (1) 5,669,644 39,298 36,634 4,534,152 46,108

HEDGING DERIVATIVES

5.3

Accounting principles A derivative is a financial instrumentor other contract with all three of the following characteristics: its value changes in response to the change in a specific • interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided that, in the case of a non-financial variable, this variable may not be specific to one of the parties to the contract; it requires no initial net investment or an initial net • investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors; it is settled at a future date. •

All derivative financial instruments are recognized on the balance sheet at the trade date and are measuredat fair value at inception. They are remeasured at their fair value at each reporting period date regardless of whether they were acquired for trading or hedging purposes. Changes in the fair value of derivatives are recognized in income for the period, except for derivativesqualifyingas cash flow hedges or as hedges of net investments in foreign operations for accounting purposes. Derivatives may only be designated as hedges if they meet the criteria set out in IAS 39 at inception and throughout the term of the hedge. These criteria include formal documentation that the hedging relationship between the

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE