BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

This affected a number of items, as follows:

12/31/2020

12/31/2019

Before modification Modification

After modification

Before modification Modification

After modification

in billions of euros

ASSETS Financial assets at fair value through profit or loss

198.4

(7.6) (7.9)

190.8

212.8

(8.1) (8.3)

204.8

Accrued income and other assets

16.7

8.8

16.9

8.5

TOTAL

215.1

(15.5)

199.6

229.7

(16.4)

213.3

LIABILITIES Financial liabilities at fair value through profit or loss

207.5

(7.9) (7.6)

199.6

208.4

(8.3) (8.1)

200.1

Accrued expenses and other liabilities

20.2

12.6

21.3

13.3

TOTAL

227.6

(15.5)

212.1

229.7

(16.4)

213.3

At December 31, 2020: the amount of premiums payable included in the value of • options reported under "Financial assets at fair value through profit or loss" was €7.6 billion (€8.1 billion at December 31, 2019);

the amount of premiums receivable included in the value of • options reported under "Financial liabilities at fair value through profit or loss" was €7.9 billion (€8.3 billion at December 31, 2020).

12/31/2020

12/31/2019

Notional amount 4,335,335 105,731 670,450 51,097 529,959 69,764 211,046 31,032 841,801 45,084 5,162,613 6,049,498

Positive fair value

Negative fair value

Notional amount 3,197,581 131,223 663,250 46,970 541,624 110,874 253,014 46,021 951,533 30,043 4,039,024 5,020,600

Positive fair value

Negative fair value

in millions of euros

Interest rate derivatives (1)

23,669

18,488

29,104

25,661

Equity derivatives

2,248 8,615

2,734 9,144

1,701

3,078

Currency derivatives (1)

12,159

11,404

Other instruments

738

589

193

227

Forward transactions (1) Interest rate derivatives

35,270

30,955

43,157 10,031

40,371 11,246

5

6,946 1,245

6,830 1,515

Equity derivatives Currency derivatives Other instruments

1,648 4,030

1,746 4,299

120 451

645 398

302

374

Options

8,762

9,388 1,062

16,011

17,665

Credit derivatives

831

602

818

TOTAL TRADING DERIVATIVES (1)

44,863

41,405

59,770

58,853

o/w on organized markets

347,303

1,147

606

447,359

1,458

917

o/w over-the-counter transactions 49,608 Amounts restated compared to the financial statements published in 2019, following a change in the presentation of premiums on options to be paid or received. (1) 5,702,195 43,716 40,799 4,573,241 50,224

HEDGING DERIVATIVES

5.3

Accounting principles A derivative is a financial instrumentor other contract with 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 the contract; 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 be expected to have a similar response to changes in market factors;

it is settled at a future date. • All derivative financial instruments are recognized on the balance sheet at the trade date and are measuredat fair value at inception. They are remeasured at their fair value at each reportingperiod regardlessof whether they were acquired for trading or hedging purposes. Changes in the fair value of derivatives are recognized in income for the period, except for derivativesqualifyingas cash flow hedges or as hedges of net investments in foreign operations for accounting purposes.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE