BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

INFORMATION TO BE PROVIDED ON THE TEMPORARY EXEMPTION OF INSURANCE BUSINESSES 9.3 FROM IFRS 9

12/31/2020

12/31/2019

Change in fair value over the period

Change in fair value over the period

Fair value

Fair value

in millions of euros

48,241

982 183

49,129

2,408

SPPI financial assets Other financial assets

8,900

5,689

166

TOTAL INSURANCE BUSINESS INVESTMENTS (1) 2,574 Excluding UCITS classified as available-for-sale assets for €6,312 million at December 31, 2020 versus €5,994 million at December 31, 2019. Coface contributed €2,447 million to (1) the total fair value at December 31, 2019. 57,142 1,165 54,818

This table does not include financial assets recognized at fair value through profit of loss or reinsurance activities.

Credit risk associatedwith insurance businesses is presented in Chapter 6, “Risk Management – Insurance Risks – Asset Management and Financial Conglomerate”.

Note 10

Fair value of financial assets and liabilities

Key points This section sets out the principles for measuring the fair value of financial instruments as defined in IFRS 13 “Fair Value Measurement” and the methods used by Groupe BPCE entitietso measure the value of their financial instruments.” Financial assets and liabilities are recorded in the balance sheet either at fair value or at amortized cost. An indication of the fair value of items measured at amortized cost isprovided in the notes. For instruments traded on an active market with a quoted price, the fair value is equal to the quoted price, corresponding to Level 1 in the fair value hierarchy. The fair value of other financial instruments not traded on an active market, including in particular loans, borrowings and derivatives traded over the counter, is calculated using valuation techniques that rely on widely used models and observable data, corresponding to Level 2 in the fair value hierarchy. When internal data or proprietary models are used (Level 3 in the fair value hierarchy), independent controls are used to validate the value obtained.

5

DETERMINATION OF FAIR VALUE General principles

The mid-market price is obtained based on: the instrument’s quoted price, if the instrument is quoted on • an active market. A financial instrument is regarded as quoted on an active market if quoted prices are readily and regularly available from an exchange, dealer, broker, industry group, pricing service or regulatory agency, and these prices represent actual and regularly occurring transactions on the principal market or, failing that, on the most favorable market, on an arm’s length basis; if the market for a financial instrument is not active, fair value • is established using valuation techniques. The techniques used must maximize the use of relevant observable entry data and minimize the use of non-observableentry data. They may refer to observable data from recent transactions, the fair value of similar instruments, discounted cash flow analysis and option pricing models, proprietary models in the case of hybrid instruments or non-observabledata when no pricing or market data are available.

The fair value of an instrument is the price that would be received to sell an asset or paid to transfer a liability in a standard arm’s length transaction between market participants at the measurement date. Fair value is therefore determined using the exit price. On first recognition, fair value is usually the transactionprice and is thus the price paid to purchase the asset or the price received to assume the liability. In subsequentmeasurements,the estimated fair value of assets and liabilities must be based primarily on observable market data, while ensuring that all inputs used in the fair value calculation are consistent with the price that market participants would use in a transaction. In this case, fair value consists of a mid-market price and additional valuation adjustments determined according to the instruments in question and the associated risks.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE