BPCE - 2020 Universal Registration Document

5

FINANCIAL REPORT

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

Fair value hedges 12/31/2019

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

12,679 12,471

97 97

8

Debt securities

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

209

8

100,359 27,768 67,959

7,592

299

5,177

979

462

552

5,933 1,197

91

17

Debt securities

4,632

299

4,533

962

LIABILITIES Financial liabilities at amortized cost

133,719 20,343

6,589

309

7,734

424

Amounts due to banks

212

Amounts due to customers

2,132

(1)

Debt securities

96,448 14,796 246,757

5,584

309

6,710 1,024

424

Subordinated debt

794

6

TOTAL – FAIR VALUE HEDGES

14,278

608

12,918

1,403

Cash flow hedges

12/31/2020

12/31/2019

o/w effective portion of hedges not due (2)

O/w effective portion of hedges not due (2)

Fair value of the hedging derivative

Balance of hedges due and remaining to be recognized (1)

Fair value of the hedging derivative

Balance of hedges due and remaining to be recognized (1)

o/w ineffective portion

O/w ineffective portion

in millions of euros

Interest rate risk hedging Currency risk hedging

(263) (688) (951)

(256) (703) (960)

(6) 15

0 0 0

(263) (526) (789)

(249) (538) (786)

(13)

0 0 0

12 (1)

TOTAL – CASH FLOW HEDGES

9

Declassification, end of hedging relationship. (1) Booked to other items recognized in other comprehensive income or to profit or loss for the recycled portion with a corresponding entry to hedged items. (2)

The ineffective portion of the hedge is recorded in the income statement under “Net gains or losses on financial instruments at fair value through profit or loss”, see Note 4.3. The “Cash flow hedges” reserve corresponds to the effective portion of hedges not due and the balance of hedges that are due and remaining to be recognized, before tax, including the portion attributable to non-controlling interests.

Recycling from “Cash flow hedges” to profit or loss is included either in net interest income or in income on derecognition of the hedged item in the same way as the line impacted by the hedged item.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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