BPCE - 2020 Universal Registration Document

5

FINANCIAL REPORT

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

Financial liabilities designated at fair value through profit or loss and credit risk

12/31/2020

12/31/2019

Difference between the carrying amount and the contractual amount due at maturity

Difference between the carrying amount and the contractual amount due at maturity

Contractual amount due at maturity

Contractual amount due at maturity

Carrying amount

Carrying amount

in millions of euros

Interbank term accounts and loans Customer term accounts and loans Non-subordinated debt securities

173 119

161 119

12

144 139

132 140

12 (1)

23,856

23,335

521

26,254

25,327

927

Subordinated debt

99

100

(1)

100

100

Other

3,525

3,525

3,699

3,699

TOTAL

27,772

27,240

532

30,335

29,397

938

In 2020, the Group did not reclassify any change in fair value of instruments carried as “Financial liabilities designated at fair value through profit or loss” to the “Retained earnings” component. The amount contractually due on loans at maturity comprises the outstanding principal amount at the balance sheet date plus

accrued interest not yet due. In the case of securities, the redemption value is generally used. At December 31, 2020, revaluations attributable to own credit risk amounted to +€159 million (of which +€160 million for debt securities) .

5.2.3

TRADING DERIVATIVES

Accounting principles A derivative is a financial instrument or other contracwt ith all three of the following characteristics:

its value changes in response to the change in a specific interest rate, financial instrument price, commodity price, foreign • exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided that, in the case of a non-financial variable, this variable may not be specific to one of the parties to thecontract; it requires no initial net investment or an initial net investment that is smaller than would be required for other types of • contracts that would beexpected to have a similar response to changes in markeftactors; it is settled at a future date. • All derivative financial instruments are recognized on the balance sheet at the trade date and are measured at fair value at inception. They are remeasured at their fair value at each balance sheet date regardless of whether they were acquired for trading or hedging purposes. Trading derivatives are recognized on the balance sheet under “Financial assetsat fair value through profit orloss” and “Financial liabilities at fair value through profit or loss”. Realized and unrealized gains and losses are taken to income on the “Net gains or losses on financial instruments at fair value through profit or loss” line. The notional amounts of derivative instruments are merely an indication of the volume of the Group’s business in financial instruments and do not reflect the market risks associated with such instruments. Positive or negative fair values represent the replacement value of these instruments. These values mavyary significantly depending on changes in market parameters. Change in presentation of option premiums As of December 31, 2020, the Group changed the way it presented option instruments bought or sold with a premium paid in stages or on expiry. Before this change, premiums receivable or payable were presented on the balance sheet, respectively, under accrual accounts and other assets or accrual accounts and other liabilities, separately from the financial asset and liability items where the associated derivatives were reported. As these premiums are in fact inseparable from the derivatives, the way they are presentedwas changed: premiums payable or receivable are now included in the value of the bought or sold options to which they relate (under Financial assets and liabilities at fair value through profit or loss). These instruments are mainly currency and interest rate options. The change had no impact on the income statement.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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