BPCE - 2020 Universal Registration Document

5

FINANCIAL REPORT

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

NET GAINS OR LOSSES ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS 4.3

Accounting principles This item includes gains and losses (including the related interest) from financial assets and liabilities classified as held for trading or designated at fair value through profit or loss. “Gains and losses on hedging transactions” include gains and losses arising from the revaluationof derivatives used as fair value hedges, as well as gains and losses from the revaluation of the hedged item in the samemanner, the revaluation at fair value of the macro-hedged portfolio and the ineffective portion of cash flow hedges.

Fiscal year 2020 Fiscal year 2019

in millions of euros

Gains and losses on financial instruments mandatorily recognized at fair value through profit or loss (1) Gains and losses on financial instruments designated at fair value through profit or loss

1,753 (693)

5,701

(3,743)

(16)

(10)

Gains and losses on financial assets designated at fair value through profit or loss • Gains and losses on financial liabilities designated at fair value through profit or loss •

(677)

(3,733)

Gains and losses on hedging transactions Ineffective portion of cash flow hedges (CFH) • Ineffective portion of fair value hedges (FVH) •

(72)

(297)

(8)

(2)

(64) 141

(295) (205)

Changes in fair value hedges Changes in hedged items

(205)

(90) 192

Gains and losses on foreign exchange transactions

111

TOTAL NET GAINS OR LOSSES ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS

1,099

1,854

In 2020, “Gains and losses on financial instruments mandatorily recognized at fair value through profit or loss” included: (1) impairments taken against the fair value of CDS entered into with monoline insurers: an increase of €5 million was recorded in 2020 versus €2 million (expense) in 2019 • (excluding currency effects), taking cumulative impairment to €30 million at December 31, 2020 compared to €25 million at December 31, 2019; changes in the fair value of derivatives, in the amount of -€42 million, arising from the increase in impairment for counterparty risk (Credit Valuation Adjustment – CVA), in the • amount of -€58 million due to the consideration of non-performance risk in the valuation of derivative financial liabilities (Debit Valuation Adjustment – DVA), and in the amount of -€2 million due to the inclusion of an adjustment for funding costs (Funding Valuation Adjustment – FVA).

DAY ONE PROFIT

Fiscal year 2020 Fiscal year 2019

in millions of euros

Day one profit at the start of the year Deferred profit on new transactions Profit recognized in income during the year

122 137 (95) 164

87

118 (84) 122

DAY ONE PROFIT AT YEAR-END

416

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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