BPCE - 2018 Registration document

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

Maturity of the notional amount of hedging derivatives at December 31, 2018

in millions of euros

< 1 year 81,527

1 to 5 years

6 to 10 years

> 10 years

Interest rate risk hedging

206,871

114,750

98,478

Cash flow hedges Fair value hedges

2,837

9,277

5,923

9,675

78,690

197,594 13,331

108,827 13,156

88,803

Currency risk hedging

711 134 577

5,784 2,451 3,333

Cash flow hedges Fair value hedges

6,515 6,816

9,541 3,615

TOTAL

82,238

220,202

127,906

104,262

Hedged items Fair value hedges

Fair value hedges

12/31/2018

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

5

32,800 32,800

570 570

683 675

Debt securities

Shares and other equity instruments Financial assets at amortized cost

8

205,354 22,857 169,503 12,994 153,118 35,149 12,720 93,660 11,589 391,272

7,974

372

5,486

982

Loans or receivables due from credit institutions Loans or receivables due from customers

409

533

5,920 1,645

22

97

16

Debt securities

350

4,856

966

LIABILITIES Financial liabilities at amortized cost

5,281

390

14,141

396

Amounts due to credit institutions

771

195

Amounts due to customers

(1)

Debt securities

4,007

390

9,813 4,133

396

Subordinated debt

504

TOTAL

13,825

762

20,310

1,378

(1) (2)

Excluding accrued interest

Declassification, end of hedging relationship

The ineffective portion of hedging for the period is presented in Note 4.3 “Gains and losses on financial assets and liabilities at fair value through profit or loss” or in Note 4.4 “Gains and losses recognized directly in other comprehensive income” for equity instruments recognized at fair value through other comprehensive income not recyclable to income.

Cash flow hedges

12/31/2018

Balance of hedges due and remaining to be recognized*

Fair value of the hedging derivative

o/w effective portion of hedges not due

o/w ineffective portion

in millions of euros

Interest rate risk hedging Currency risk hedging

(221) (193) (413)

(222) (207) (429)

1

96

15 16

TOTAL – CASH FLOW HEDGES

96

*

Declassification, end of hedging relationship.

297

Registration document 2018