BPCE - 2020 Universal Registration Document

5

FINANCIAL REPORT

BPCE PARENT COMPANY ANNUAL FINANCIAL STATEMENTS

5.1.3

OTHER COMMITMENTS NOT RECOGNIZED OFF-BALANCE SHEET

12/31/2020

12/31/2019

Commitments given

Commitments received

Commitments given

Commitments received

Other securities pledged as collateral provided to banks Other securities pledged as collateral received from customers

65,175

11,815

53,955

14,574

0

0

0

0

TOTAL

65,175

11,815

53,955

14,574

At December 31, 2020, receivables pledged as collateral under funding arrangements included in particular: €31,952 million in negotiable debt securities pledged to • Banque de France under the TRICP system, compared with €34,276 million at December 31, 2019; €5,082 million in loans pledged as collateral for funding • received from the European Investment Bank (EIB) versus €5,658 million at December 31, 2019.

No other major commitmentswere given by BPCE as collateral for its own commitments or for those of third parties. BPCE did not receive a significant amount of assets as collateral from customers.

FORWARD FINANCIAL INSTRUMENTS

5.2

Accounting principles Trading and hedging transactions in interest rate, currency or equity futures are recognized in accordance with the provisions of ANC Regulation No. 2014-07. Commitments on these instruments are recorded as off-balancesheet items at the nominal value of the contracts. The amount recognized for these commitments represents the volume of unwound forward transactions at the balance sheet date. The accountingpolicies applied vary dependingon the type of instrument and the original purpose of the transaction. Forward transactions Interest rate swaps and similar contracts (forward rate agreements,collars, etc. ) are classifiedas followsaccordingto their initial purpose: micro-hedging (assigned hedges); • macro-hedging (overall Asset and Liability management); • speculative positions/isolated open positions; • for use with a trading book. • Amountsreceivedor paid in respectof the first two categories are recognized in income on a pro rata basis. Income and expensesrelated to instrumentsused for hedging an asset or a group of similar assets are recognizedin income symmetricallywith the income and expenses on the hedged item. Gains and losses on hedging instrumentsare recognized on the same line as the income and expenseson the hedged item, under “Interest and similar income” and “Interest and similar expenses”. The “Net gains or losses on trading book transactions” line is used when the hedged items are in the trading book. In the event of overhedging,a provisionmay be made for the hedging instrument,in the amount of the overhedgedportion,

if the instrument shows an unrealized loss. In such case, the charge to provisionswill affect “Net gains or losses on trading book transactions”. Income and expenses related to futures used for hedging purposes or for managing overall interest rate risk are recognizedin the income statementon a pro rata basis under “Interest and similar income” and “Interest and similar expenses”. Unrealized gains and losses are not recognized. Income and expense related to certain contracts,qualifyingas isolated open positions,are recorded in the income statement either when the contracts are settled or on a pro rata basis, depending on the type of instrument. Recognition of unrealizedgains or losses is determinedbased on the type of market involved (organized, other markets considered as organized, or over the counter). On over-the-counter markets (including transactions processedby a clearinghouse), a provisionis recordedfor any unrealizedlosses (relativeto the instrument’smark-to-market). Unrealized capital gains are not recognized. Instruments traded on organized markets or other markets considered as organized are continuously quoted and liquid enough to justify being marked to market. Contracts classified as specialized asset management contracts are measured after applying a discount to reflect counterparty risk and taking into account the net present value of future management costs, if these valuation adjustments are material. Derivatives traded with a counterparty that is a member of Groupe BPCE’s share support mechanism (see Note 1.2.) are not subject to these valuation adjustments. Changes in value from one accounting period to another are recognized immediately in the income statement under “Net gains or losses on trading book transactions”.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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