BPCE - 2018 Registration document

5 FINANCIAL REPORT

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

These liabilities are measured at fair value on the reporting date with changes in value, including coupon, recorded in the “Net gains or losses on financial instruments at fair value through profit or loss” line on the income statement, with the exception of changes in fair value attributable to own credit risk associated with financial liabilities designated at fair value through profit or loss, which are recognized in “Revaluation of own credit risk on financial liabilities recognized at fair value through profit or loss” due to application of IFRS 9. Conditions for designating financial liabilities at fair value through profit or loss Financial liabilities are designated at fair value through profit or loss when this choice provides more pertinent information or when the instruments incorporate one or more significant and separable embedded derivatives. The use of the fair value option is considered to provide more pertinent information in two situations:

where there is an accounting mismatch between economically ● linked assets and liabilities. In particular, the fair value option is used when hedge accounting conditions are not met: in such cases, changes in the fair value of the hedged item automatically offset changes in the fair value of the economic hedging derivative; where a portfolio of financial liabilities is managed and recognized ● at fair value as part of a documented liability management policy. At Group level, financial liabilities designated at fair value through profit or loss are mostly held by Natixis. They mostly comprise issues originated and structured for customers and for which the risks and hedges are managed collectively. These issues include significant embedded derivatives for which changes in value are neutralized by those of the derivative instruments hedging them. Financial liabilities accounted for under the fair value option, excluding Natixis, also include some structured debt issues and structured deposits containing embedded derivatives ( e.g. structured medium-term notes and equities for personal savings plans).

Financial liabilities designated at fair

value through profit or loss

Accounting mismatches

Fair value measurement

Embedded derivatives

in millions of euros

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

12

61

73

125

125

17,770

6,406

24,176

Subordinated debt

100

100

Other

4,423

4,423

TOTAL

22,205

6,692

28,897

Financial liabilities designated at fair value through profit or loss and credit risk Financial liabilities designated at fair value through profit or loss for which credit risk must be recognized in other comprehensive income

12/31/2018

01/01/2018

Difference between the carrying amount and the contractual amount due at maturity

Difference between the carrying amount and the contractual amount due at maturity

Contractual amount due at maturity

Contractual amount due at maturity

Carrying amount

Carrying amount

in millions of euros

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

73

64

9

93 11

78 12

15 (1)

125

127

(2)

24,176

26,480

(2,304)

22,690

21,915

775

Subordinated debt

100

101

(1)

103

100

3

Other

4,423

4,421

2

3,390

3,390

TOTAL 792 * o/w -€95 million in change in the fair value of financial liabilities designated at fair value through profit or loss attributable to credit risk. 28,897 31,193 (2,296) 26,287 25,495

The total amount of changes in fair value reclassified to “Retained earnings” during the period essentially concerns redemptions of debt securities classified as “Financial liabilities designated at fair value through profit or loss” and amounted to - € 95 million at December 31, 2018, compared with € 314 million at December 31, 2017.

The amount contractually due on loans at maturity includes the outstanding principal amount at the balance sheet date plus accrued interest not yet due. In the case of securities, the redemption value is generally used.

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Registration document 2018