BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

HEDGED ITEMS Fair value hedges

Fair value hedges

12/31/2020

Interest rate risk hedging

Currency risk hedging

Hedged component remaining to be recognized (2)

o/w revaluation of the hedged component (1)

o/w revaluation of the hedged component (1)

Carrying amount

Carrying amount

in millions of euros

ASSETS Financial assets at fair value through other comprehensive income

38,352 38,352 149,024 23,995 116,001

1,181 1,181

405 405

Debt securities

Financial assets at amortized cost Loans and receivables due from banks Loans and receivables due from customers

11,861

252

4,439

830

548

555

9,506 1,808

4

86

17

Debt securities

9,029

247

3,799

813

LIABILITIES Financial liabilities at amortized cost

153,772 33,218

9,479 1,440

50

7,147

447

Amounts due to banks

3

Amounts due to customers

7,939

199

(200)

Debt securities

98,186 14,428 341,148

6,760 1,080

248

6,442

442

Subordinated debt

705

5

TOTAL – FAIR VALUE HEDGES

22,521

302

11,991

1,277

Excluding accrued interest. (1) Declassification, end of hedging relationship. (2)

The ineffective portion of hedging for the period is presented in Note 4.3 “Net gains or losses on financial instruments at fair value through profit or loss” or in Note 4.4 “Net gains or losses on financial instruments at fair value through other comprehensive income" for shareholder’s equity instruments classified at fair value through non-recyclable shareholders’ equity.

5

Fair value hedges 12/31/2019

Interest rate risk hedging

Currency risk hedging

Hedged component remaining to be recognized (2)

o/w revaluation of the hedged component (1)

o/w revaluation of the hedged component (1)

Carrying amount

Carrying amount

in millions of euros

ASSETS Financial assets at fair value through other comprehensive income

35,151 34,942

835 835

659 652

(0) (1)

Debt securities

Shares and other equity instruments Financial assets at amortized cost Loans and receivables due from banks Loans and receivables due from customers

209

8

164,604 28,327 126,180 10,096

10,382

300

5,474

989

475

552

8,155 1,752

1

91

17

Debt securities

299

4,831

971

LIABILITIES Financial liabilities at amortized cost

160,196 37,370

7,543 1,091

314

7,734

424

Amounts due to banks

3

Amounts due to customers

6,891

(1)

Debt securities

101,138 14,796 359,950

5,660

311

6,710 1,024

424

Subordinated debt

794

6

TOTAL – FAIR VALUE HEDGES

18,759

613

13,867

1,413

Accrued interest excluded. (1) Declassification, end of hedging relationship. (2)

279

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE