BPCE - 2018 Registration document

FINANCIAL REPORT IFRS Consolidated Financial Statements of Groupe BPCE as at December 31, 2018

5.2.2

Financial liabilities at fair value through profit or loss

Accounting principles These are financial liabilities held for trading or classified in this category on a voluntary basis at initial recognition using the fair value option available under IFRS 9. The trading book includes liabilities arising from short-selling transactions, repurchase agreements and

derivative instruments. The qualifying criteria used when applying this option are described above. These liabilities are measured at fair value at the date of initial recognition and at each balance sheet date.

Fair-value fluctuations over the period, interest, and gains or losses related to these instruments are booked as “Net gains or losses on financial instruments at fair value through profit or loss,” except for fair-value fluctuations attributable to the change in own credit risk for financial liabilities at fair value through profit or loss, which have been booked, since January 1, 2016, in “Revaluation of own credit risk of financial liabilities designated at fair value through profit or loss” within “Gains and losses recognized directly in equity.” If the liability is derecognized before its maturity (early redemption, for example), fair value gains or losses attributable to own credit risk are directly transferred to retained earnings. Financial liabilities designated at fair value through profit or loss IFRS 9 allows entities to designate financial liabilities at fair value through profit or loss on initial recognition. However, an entity’s decision to do so may not be reversed. Compliance with the criteria stipulated by the standard must be verified prior to any recognition of an instrument using the fair value option. In practice, this option may be applied only under the specific circumstances described below: Elimination of or significant reduction in an accounting mismatch Applying the option eliminates accounting mismatches stemming from the application of different valuation rules to instruments managed under a single strategy. Harmonization of accounting treatment for performance management and measurement The option applies for liabilities managed and measured at fair value, provided that such management is based on a formally documented risk management policy or investment strategy, and that internal monitoring also relies on a fair value measurement. Hybrid financial instruments containing one or more embedded derivatives An embedded derivative is a component of a financial or non-financial hybrid (combined) instrument that qualifies as a derivative. It must be separated from the host contract and accounted for as a derivative if the hybrid instrument is not measured at fair value through profit or loss, and if the economic characteristics and risks associated with the derivative are not closely related to those of the host contract. The fair value option may be applied to a financial liability when the embedded derivative substantially modifies the cash flows of the host contract and when the separate recognition of the embedded derivative is not specifically prohibited by IFRS 9 ( e.g. an early redemption option at cost embedded in a debt instrument). The option allows the entire instrument to be measured at fair value, and therefore avoids the need to extract, recognize or separately measure the embedded derivative. This accounting treatment applies in particular to some structured debt issues containing material embedded derivatives.

5

Financial liabilities in the trading book include liabilities arising from short-selling transactions, repurchase agreements and derivative instruments.

12/31/2018

01/01/2018

Financial liabilities issued for trading

Financial liabilities designated at fair value

Financial liabilities issued for trading

Financial liabilities designated at fair value

Total

Total

in millions of euros

Short sales

21,167 46,614

/// /// 73

21,167 46,614

26,644 47,490

/// /// 93 11

26,644 47,490

Trading derivatives*

Interbank term accounts and loans Customer term accounts and loans Non-subordinated debt securities

73

41

134

2

125

126

2

12

301

24,176

24,476

303

22,690

22,993

Subordinated debt

///

100

100

///

103

103

Repurchase agreements* Guarantee deposits received

90,170

/// ///

90,170

98,140

/// ///

98,140

7,717

7,717 4,423

8,031

8,031 3,390

Other

///

4,423

///

3,390

TOTAL FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS

165,970

28,897

194,867

180,651

26,287

206,938

This information is presented in consideration of netting effects, in accordance with IAS 32 (see Note 5.18.2). *

291

Registration document 2018