BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

MATURITY OF THE NOTIONAL AMOUNT OF HEDGING DERIVATIVES AS AT DECEMBER 31, 2020

12/31/2020

12/31/2019

1 to 5 years 126,581

6 to 10 years > 10 years

1 to 5 years 153,928 149,377 10,248 10,248 4,551

6 to 10 years > 10 years

< 1 year

< 1 year

in millions of euros

Interest rate risk hedging

35,021

79,621 11,311 68,311

81,671

49,070

93,903

88,489

Cash flow hedges Fair value hedges

1,666

(445)

7,049

745

6,810

9,255

33,355

127,026

74,622

48,325

87,094

79,233

Currency risk hedging

870 870

9,450 9,450

5,992 5,992

2,733 2,663

1,130 1,118

6,016 6,016

3,230 3,157

Cash flow hedges Fair value hedges

70

12

73

TOTAL

35,891

136,031

85,613

84,403

50,200

164,177

99,920

91,718

Currency swaps are documented both as interest rate fair value hedges in order to better reflect the weight of the currency hedges and as currency cash flow hedges. Total fair value is component (associated with the cash flow hedge) in total fair nevertheless recorded under currency derivatives. These value. derivatives are mainly recorded under currency cash flow HEDGED ITEMS Fair value hedges

Fair value hedges

12/31/2020

Interest rate risk hedging

Currency risk hedging

Hedged component remaining to be recognized (2)

o/w revaluation of the hedged component (1)

o/w revaluation of the hedged component (1)

Carrying amount

Carrying amount

in millions of euros

ASSETS Financial assets at fair value through other comprehensive income

12,818 12,818

252 252

5

Debt securities

Shares and other equity instruments Financial assets at amortized cost Loans and receivables due from banks Loans and receivables due from customers

90,313 23,723 62,064

8,587

246

4,147

806

545

555

6,752 1,290

(1)

86

17

Debt securities at amortized cost

4,526

247

3,507

789

LIABILITIES Financial liabilities at amortized cost

127,917 14,096

8,130

46

7,147

447

Amounts due to banks

160 199

Amounts due to customers

2,866

(200)

Debt securities

96,527 14,428 231,048

6,691 1,080

246

6,442

442

Subordinated debt

705

5

TOTAL – FAIR VALUE HEDGES

16,969

293

11,294

1,253

Excluding accrued interest. (1) Declassification, end of hedging relationship. (2)

The ineffective portion of hedging for the period is presented in Note 4.3 “Net gains or losses on financial instruments at fair value through profit or loss” or in Note 4.4 “Net gains or losses on financial instruments at fair value through other comprehensive income” for non-recyclable own equity instruments at fair value through other comprehensive income.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE