BPCE - 2020 Universal Registration Document

5

FINANCIAL REPORT

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

Fair value hedges mainly consist of interest rate swaps that protect fixed-rate financial instruments against changes in fair value attributable to changes in market interest rates. They transform fixed-rate assets or liabilities into floating-rate instruments. Fair value macro-hedgesare used to manage the overall interest rate risk position, in particular to hedge: fixed-rate loan portfolios; • demand deposits; • PEL home savings deposits; • the inflation component of Livret A passbook savings • accounts. Fair value micro-hedges are notably used to hedge: fixed-rate liabilities; • fixed-rate liquidity reserve securities and inflation-indexed • securities. Cash flow hedges fix or control the variability of cash flows arising from floating-rate instruments. Cash flow hedging is also used to manage the overall interest rate risk position. Cash flow hedges are mainly used to: hedge floating-rate liabilities; •

hedge the risk of changes in value of future cash flows on • liabilities; and provide macro-hedging of floating-rate assets. • The main causes of ineffective hedging are related to: inefficiency due to dual-curve valuations: the value of • collateralized derivatives (with margin calls yielding EONIA) is based on the EONIA discount curve, while the fair value of the hedged component of item hedged is calculated using a over-hedging for asset-based testing of macro-hedges • (notional amounts of hedging derivatives higher than the nominal amount of the hedged items, in particular where prepayments on the hedged items were higher than expected); credit value adjustmentsand debit value adjustments linked to • credit risk and own credit risk on derivatives; differences in interest rate fixing dates between the hedged • item and the hedge. 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. EURIBOR discount curve; the time value of options; •

12/31/2020

12/31/2019

Notional amount

Positive fair value

Negative fair value

Notional amount

Positive fair value

Negative fair value

in millions of euros

Interest rate derivatives Currency derivatives Forward transactions Interest rate derivatives

301,444

6,849

7,604

361,134

6,450

7,246 1,009 8,255

70

369

797

85

354

301,514

7,219

8,401

361,219

6,804

1,869 1,869

1 1

1 1

2,896 2,896

2 2

1 1

Options

Fair value hedges

303,383 19,581 18,975 38,556 38,556 341,939

7,220

8,402

364,115 21,361 20,539 41,900 41,900 406,014

6,806

8,257

Interest rate derivatives Currency derivatives Forward transactions Cash flow hedges

60

323

63

325

627 687 687

1,315 1,638 1,638

1,004 1,067 1,067 7,873

1,531 1,856 1,856

TOTAL HEDGING INSTRUMENTS

7,907

10,039

10,113

All hedging derivatives are included in “Hedging derivatives” in balance sheet assets and liabilities. Currency swaps are documented both as interest rate fair value hedges and as currency cash flow hedges. Total fair value is nevertheless recorded under currency derivatives. These

derivatives were mainly recorded under currency fair value hedges and are recorded under currency cash flow hedges in order to better reflect the weight of the currency component (associated with the cash flow hedge) in total fair value.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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