BPCE - 2020 Universal Registration Document

5

FINANCIAL REPORT

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

Cash flow hedges

12/31/2020

12/31/2019

O/w effective portion of hedges not due (2)

O/w effective portion of hedges not due (2)

Fair value of the hedging derivative

Balance of hedges due and remaining to be recognized (1)

Fair value of the hedging derivative

Balance of hedges due and remaining to be recognized (1)

O/w ineffective portion

O/w ineffective portion

in millions of euros

Interest rate risk hedging Currency risk hedging

(249) (687) (936)

(243) (702) (945)

(6) 15

34

(239) (544) (783)

(226) (556) (782)

(13)

36

12 (1)

TOTAL CASH FLOW HEDGES

9

34

36

Declassification, end of hedging relationship. (1) Booked to other items recognized in other comprehensive income or to profit or loss for the recycled portion with a corresponding entry to hedged items. (2)

due and remaining to be recognized, before tax, including the portion attributable to non-controlling interests. Recycling from “Cash flow hedges” to profit or loss is included either in net interest income or in income on derecognition of the hedged item in the same way as the line impacted by the hedged item.

The ineffective portion of the hedge is recorded in the income statement under “Net gains or losses on financial instruments at fair value through profit or loss”, see Note 4.3. The “Cash flow hedges” reserve corresponds to the effective portion of hedges not due and the balance of hedges that are

Cash flow hedges – Details of other items recognized in other comprehensive income

Reclassification of the effective portion in income

Hedged item partially or fully extinguished

Change in the effective portion

01/01/2020

12/31/2020

in millions of euros

Amount of equity for cash flow hedging

(310) (310)

(46) (46)

4 4

7 7

(345) (345)

TOTAL

Reclassification of the effective portion in income

Hedged item partially or fully extinguished

Change in the effective portion

01/01/2019

12/31/2019

in millions of euros

Amount of equity for cash flow hedging

(408) (408)

73 73

19 19

6 6

(310) (310)

TOTAL

5.4

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

Accounting principles Financial assets at fair value through other comprehensive income areinitially recognized at fair value, plus any transaction costs. Debt instruments measured at fairvalue through other comprehensive incomerecyclable to profit or loss For each reporting period, these instruments are carried at their fair value and changes in fair value (excluding accrued interest) are recorded under ”Gains and losses recognized directly in other comprehensive income recyclable to profit or loss” (as the foreign currency assets are monetary assets, changes in the fair value of the foreign currency component affect income). The principles used to determine fair value are described in Note 10. These instruments are subject to IFRS 9 impairment requirements. Information about credit risk is provided in Note 7.1. If they are sold, these changes in fair value are taken to income. Interest income accrued or received on debt instruments is recorded under “Interest and similar income” based on the effective interest method. This method is described in Note 5.3 – Assetast amortized cost. Equity instruments measured at fairvalue through other comprehensive income nortecyclable to profit or loss For each reporting period, these instruments are carried at their fair value and changes in fair value are recorded under “Gains and losses recognizeddirectly in other comprehensiveincome not recyclable to profit or loss” (as the foreign currency assets are not monetary assets, changes in the fair value of the foreign currency component do not affect income). The principles used to determine fair value are described in Note 10.

280

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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