BPCE - 2020 Universal Registration Document

5

FINANCIAL REPORT

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

Cash flow hedges fix or control the variability of cash flows arising from floating-rate instruments. Cash flow hedging is also used to manage the overall interest rate risk position. Cash flow hedges are mainly used to: hedge floating-rate liabilities; • hedge the risk of changes in value of future cash flows on • liabilities; provide macro-hedging of floating-rate assets. • The main causes of ineffective hedging are related to: inefficiency due to dual-curve valuations: the value of • collateralized derivatives (with margin calls yielding EONIA) is based on the EONIA discount curve, while the fair value of the hedged component of item hedged is calculated using a EURIBOR discount curve;

the time value of options; • over-hedging for asset-based testing of macro-hedges • (notional amounts of hedging derivatives higher than the nominal amount of the hedged items, in particular where prepayments on the hedged items were higher than expected); credit value adjustmentsand debit value adjustments linked to • credit risk and own credit risk on derivatives; differences in interest rate fixing dates between the hedged • item and the hedge. The notional amounts of derivative instruments are merely an indication of the volume of the Group’s business in financial instruments and do not reflect the market risks associated with such instruments.

12/31/2020

12/31/2019

Notional amount

Positive fair value

Negative fair value

Notional amount

Positive fair value

Negative fair value

in millions of euros

Interest rate derivatives Currency derivatives Forward transactions Interest rate derivatives

413,111

8,433

12,710

471,390

7,696

12,029

484

376

797

739

360

1,009

413,595

8,809

13,507

472,129

8,057

13,038

6,040 6,040

1 1

21 21

6,603 6,603

3 3

19 19

Options

Fair value hedges

419,635 27,447 22,493 49,940

8,810

13,528

478,732 28,736 24,054 52,790

8,060

13,058

Interest rate derivatives Currency derivatives Forward transactions Interest rate derivatives

160 637 797

410

216

456

1,323 1,733

1,009 1,225

1,554 2,009

83 83

1 1

1 1

118 118

2 2

1 1

Options

Cash flow hedges

50,023 469,658

798

1,734

52,908 531,640

1,227 9,286

2,010

TOTAL HEDGING INSTRUMENTS

9,608

15,262

15,068

All hedging derivatives are included in “Hedging derivatives” in balance sheet assets and liabilities. Currency swaps are documented both as interest rate fair value hedges and as currency cash flow hedges. Total fair value is nevertheless recorded under currency derivatives. These

derivatives were mainly recorded under currency fair value hedges and are now mainly recorded under currency cash flow hedges in order to better reflect the weight of the currency component (associated with the cash flow hedge) in total fair

value.

MATURITY OF THE NOTIONAL AMOUNT OF HEDGING DERIVATIVES AS AT DECEMBER 31, 2020

12/31/2020

12/31/2019

1 to 5 years 180,727

6 to 10 years > 10 years

1 to 5 years 216,818 208,954 13,902 13,480 7,864

6 to 10 years > 10 years

< 1 year

< 1 year

in millions of euros

Interest rate risk hedging

65,045

109,020 12,073 96,947

91,888

63,866

124,655

101,507

Cash flow hedges Fair value hedges

5,960

2,232

7,264

3,505

7,802

9,683

59,085

178,495

84,624

60,361

116,854

91,824

Currency risk hedging

4,359 4,026

9,847 9,766

6,038 6,038

2,733 2,663

1,553 1,309

6,108 6,108

3,230 3,157

Cash flow hedges Fair value hedges

333

81

70

244

422

73

TOTAL

69,405

190,574

115,058

94,621

65,419

230,722

130,763

104,737

Currency swaps are documented both as interest rate fair value hedges in order to better reflect the weight of the currency hedges and as currency cash flow hedges. Total fair value is component (associated with the cash flow hedge) in total fair nevertheless recorded under currency derivatives. These value. derivatives are mainly recorded under currency cash flow

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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