BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

FAIR VALUE OF FINANCIAL ASSETS

10.2

SENSITIVITY OF LEVEL 3 ASSETS AND LIABILITIES TO CHANGES IN THE PRINCIPAL ASSUMPTIONS At December 31, 2020, Natixis calculated the sensitivity of the fair value of its financial instruments measured using unobservable inputs. With the aid of probable assumptions, this sensitivity was used to estimate the impacts of market fluctuations in uncertain economic environments. This estimate was made using assumptions of additional valuation adjustments for fixed-income, currency and equity instruments; i.e. a potential impact of €48 million on the income statement, including €21 million in equity instruments and derivatives. 10.1.4

AND LIABILITIES AT AMORTIZED COST For financial instruments not measured at fair value on the balance sheet, fair value calculations are provided for information purposes and must only be interpreted as estimates. In most cases, the values indicated are not liable to be realized and generally may not be realized in practice. These fair values are thus only provided for information purposes in the notes to the financial statements. They are not indicators used in the interest of overseeing retail banking activities, for which the management model is based on the collection of expected cash flows. The simplified assumptions used to measure the fair value of instruments at amortized costs are presented in Note 10.1.

12/31/2020

Fair value

Level 1

Level 2

Level 3

in millions of euros

FINANCIAL ASSETS AT AMORTIZED COST Loans and receivables due from banks Loans and receivables due from customers

151,511 177,639 13,266 208,282 51,941 212,732 16,940

36

93,793 75,865

57,682 101,346

428

Debt securities

4,243

4,607

4,417

FINANCIAL LIABILITIES AT AMORTIZED COST Amounts due to banks

119,691 44,942 129,917

88,591

Amounts due to customers

7,000 4,176

Debt securities

78,672 10,810

Subordinated debt

5,426

703

5

12/31/2019

Fair value

Level 1

Level 2

Level 3

in millions of euros

FINANCIAL ASSETS AT AMORTIZED COST Loans and receivables due from banks Loans and receivables due from customers

131,050 181,985 14,000 114,427 50,166 225,742 18,459

80

125,798 75,466

5,171

128

106,392

Debt securities

3,809

4,969

5,222

FINANCIAL LIABILITIES AT AMORTIZED COST Amounts due to banks

100,525 44,356 148,662

13,902

Amounts due to customers

5,810 5,552

Debt securities

71,529 10,765

Subordinated debt

7,036

657

495

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE