BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

Fiscal year 2019

From Level 1

Level 1

Level 2

Level 2

Level 3

Level 3

To

Level 2

Level 3

Level 1

Level 3

Level 1

Level 2

in millions of euros

FINANCIAL LIABILITIES Debt securities

83

2

Derivatives

12

116

598 302 287

406

Interest rate derivatives • Equity derivatives • Currency derivatives • Credit derivatives • Other derivatives •

20 10

12

115

8 1

376

1

Financial liabilities at fair value through profit or loss – Held for trading (1)

12

199

598

408

Derivatives

(1) (1)

Interest rate derivatives

Financial liabilities at fair value through profit or loss – Economic hedges

(1)

Debt securities

4,975

Financial liabilities designated at fair value through profit or loss

4,975

Excluding economic hedging. (1)

10.2

FAIR VALUE OF FINANCIAL ASSETS

SENSITIVITY OF LEVEL 3 ASSETS AND LIABILITIES TO CHANGES IN THE PRINCIPAL ASSUMPTIONS At December 31, 2020, Natixis calculated the sensitivity of the fair value of financial instrumentsmeasured using unobservable inputs. With the aid of probable assumptions, this sensitivity was used to estimate the impacts of market fluctuations in uncertain economic environments. This estimate was made using assumptions of additional valuation adjustments for fixed-income, currency and equity instruments; i.e . a potential impact of €48 million on the income statement, including €21 million in equity instruments and derivatives. 10.1.4

AND LIABILITIES AT AMORTIZED COST For financial instruments not measured at fair value on the balance sheet, fair value calculations are provided for information purposes and must only be interpreted as estimates. In most cases, the values indicated are not liable to be realized and generally may not be realized in practice. These fair values are thus only provided for information purposes in the notes to the financial statements. They are not indicators used in the interest of overseeing retail banking activities, for which the management model is based on the collection of expected cash flows. The simplified assumptions used to measure the fair value of instruments at amortized costs are presented in Note 10.1.

5

12/31/2020

Fair value

Level 1

Level 2

Level 3

in millions of euros

FINANCIAL ASSETS AT AMORTIZED COST Loans and receivables due from banks Loans and receivables due from customers

90,168 769,098 26,484 137,145 631,848 228,511 17,072

83

24,158 130,248

65,927 638,422

428

Debt securities

14,607

6,883

4,994

FINANCIAL LIABILITIES AT AMORTIZED COST Amounts due to banks

47,485 340,216 143,904

89,660 291,633

Amounts due to customers

Debt securities

78,943 10,810

5,737

Subordinated debt

5,519

743

345

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE