BPCE - 2018 Registration document

5 FINANCIAL REPORT

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

Note 13

Scope of consolidation

SECURITIZATION TRANSACTIONS 13.1

Accounting principles Securitization is a financial engineering technique that aims to enhance balance sheet liquidity. From a technical perspective, assets to be securitized are grouped according to the quality of the associated collateral or guarantees, and sold to special purpose entities that finance their acquisition by issuing securities underwritten by investors. Entities created specifically for this purpose are consolidated if the Group exercises control over them. Control is assessed according to the criteria provided in IFRS 10.

The following statement lists the securitization transactions carried out by the Retail Banking and Insurance entities without (full or partial) derecognition:

Expected maturity

Nominal at inception

12/31/2018

Type of assets

Inception date

in millions of euros

Elide 2011 Elide 2012 Elide 2014

Residential home loans Residential home loans Residential home loans Residential home loans Residential home loans Residential home loans

04/06/2011 January 2036

1,089 1,190

196 276 369

06/26/2012

April 2037

11/18/2014 October 2039 02/02/2017 December 2037 04/27/2017 October 2041 05/29/2018 September 2046

915

Elide 2017-1 Elide 2017-2

1,842 1,051 1,390 7,477

1,178

762

Elide 2018

1,299 4,080

Elide sub-total

BPCE Master Home Loans/BPCE Master Home Demut

Residential home loans

05/26/2014 05/27/2016 05/29/2017

April 2032 May 2032 May 2054

44,068

39,773

BPCE Consumer Loans

Personal loans

5,000

4,710 8,480

BPCE Home Loans FCT 2017_5

Residential home loans

10,500

October 2053 (call 2023)

BPCE Home Loans FCT 2018

Residential home loans

10/29/2018

1,125

1,063

Other sub-total

60,693 68,170

54,026 58,106

TOTAL

Securitization transactions within Groupe BPCE In 2018, Groupe BPCE consolidated two new special purpose entities (two securitization funds): BPCE Home Loans FCT 2018 and BPCE Home Loans FCT 2018 Demut, both of which arose from an intra-group securitization transaction by the Banque Populaire banks and the Caisses d’Epargne on October 29, 2018. Under this transaction, € 1.12 billion in home loans was transferred to BPCE Home Loans FCT 2018, and external investors subscribed for senior securities issued by the FCT ( € 1 billion). Despite a placement in the market, this transaction is not deconsolidating since the entities that transferred the loans subscribed for subordinated securities and residual shares. They therefore retain control within the meaning of IFRS 10. The deal extended the ongoing BPCE Master Home Loans and BPCE Home Loans FCT 2017_5 transactions, based on a transfer of home loans, and expanded on Groupe BPCE’s refinancing system. Deconsolidating securitization transactions carried out with full or partial derecognition As a reminder, Crédit Foncier entered into two public securitizations backed by home loans (Crédit Foncier Home Loans No. 1 in May 2014 and Crédit Foncier Home Loans No. 2 in August 2015).

As a receivables manager, Crédit Foncier does not have the ability to use its power to influence the variability of returns. Therefore, it does not control the securitization funds within the meaning of IFRS 10, and the funds are not consolidated. However, given its ongoing ties with CFHL-2, the criteria needed to establish full derecognition of assets under IFRS 9 are not entirely met. As a result, the transaction is deconsolidating in accordance with IFRS 10, and partially derecognized in accordance with IFRS 9. The transferred assets are recognized in proportion to Crédit Foncier’s continued involvement. As a result, the Group continues to recognize the maximum loss associated with each of the residual ties to the fund (swaps, clean-up calls, management fees) in balance sheet assets. These adjustments led to the recognition of total assets of € 65 million and total liabilities of € 26 million at December 31, 2018. The fair value of these residual ties is remeasured at each reporting date. At December 31, 2018, the net impact of the CFHL-2 transactions was + € 2 million. GUARANTEED UCITS 13.2 Guaranteed UCITS are funds designed to reach a specific amount at the end of a given period, determined by applying a predefined calculation formula based on financial market indicators and, where

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Registration document 2018