BPCE - 2019 Universal Registration Document

5

FINANCIAL REPORT

IFRS CONSOLIDATED FINANCIAL STATEMENTS OF GROUPE BPCE AS AT DECEMBER 31, 2019

5.19.1

TRANSFERRED FINANCIAL ASSETS NOT FULLY DERECOGNIZED AND OTHER FINANCIAL ASSETS PLEDGED

AS COLLATERAL

Carrying amount

Assets transferred or pledged as collateral

Outright securities lending

Repurchase agreements

Securitizations

12/31/2019

in millions of euros

Financial assets at fair value through profit or loss – Held for trading Financial assets at fair value through profit or loss – Non SPPI Financial assets at fair value through other comprehensive income

4,537

9,238

3,893

448

18,117

105 265 238

10

115

6,077

1,607

7,949

Financial assets at amortized cost

947

94,925 100,435 88,099

40,125 40,573 40,573

136,235 162,416 150,080

TOTAL FINANCIAL ASSETS PLEDGED AS COLLATERAL o/w transferred financial assets not fully derecognized

11,562 11,562

9,846 9,846

The amount of liabilities associated with financial assets pledged as collateral for repurchase agreements came to €9,555 million at December 31, 2019 (€6,787 million at December 31, 2018). The fair value of assets pledged as collateral for non-deconsolidating securitization transactions was

€40,678 million at December 31, 2019 (€39,213 million at December 31, 2018) and the amount of related liabilities came to €12,470 million at December 31, 2019 (€15,406 million at December 31, 2018).

Transferred financial assets not fully derecognized and other financial assets pledged as collateral as of December 31, 2018

Carrying amount

Assets transferred or pledged as collateral

Outright securities lending

Repurchase agreements

Securitizations

12/31/2018

in millions of euros

Financial assets at fair value through profit or loss – Held for trading Financial assets at fair value through profit or loss – Non SPPI Financial assets at fair value through other comprehensive income

2,699

7,456

2,934

782

13,871

11

11

4,317 1,821

111

2,483

6,910

Financial assets at amortized cost

91,654

38,400

131,875

TOTAL FINANCIAL ASSETS PLEDGED AS COLLATERAL

8,837 8,837

7,566 7,566

97,082 81,787

39,182 39,182

152,667 137,373

o/w transferred financial assets not fully derecognized

5.19.1.1 SECURITIES REPURCHASING AND LENDING Groupe BPCE repurchases and loans securities.

Comments on transferred financial assets

SECURITIZATIONS CONSOLIDATED WITH OUTSIDE INVESTORS Securitizations consolidated with outside investors constitute an asset transfer according to the amendment to IFRS 7. The Group has an indirect contractual obligation to transfer to outside investors the cash flow from assets transferred to the securitization fund (although these assets are included in the Group’s balance sheet through the consolidation of the fund). In the interest of transparency, for consolidated securitization transactions: the share of receivables sold attributable to external investors • is considered to be pledged as collateral to third parties; the share of receivables sold attributable to units and bonds • subscribed for by the Group, and eliminated on consolidation, is not considered to be pledged as collateral unless these securities were brought to Groupe BPCE’s single treasury and central bank collateral management pool and used as part of a refinancing mechanism. The securitization transactions performed by BPCE in 2014 (BPCE Master Home Loans), 2016 (BPCE Consumer Loans 2016_5) and 2017 (BPCE Home Loans 2017_5) were fully subscribed for by the Group, while the senior tranches of the BPCE Home Loans FCT 2018 and BPCE Home Loans FCT 2019 securitizations were subscribed for by external investors (Note 13.1).

Under the terms of the agreements, the securities may be sold on by the purchaser throughout the duration of the repurchase or lending agreement. The purchaser must nevertheless return them to the vendor at the end of the agreement Cash flows generated by the securities are also transferred to the vendor. The Group believes that it retains almost all of the risks and benefits of securities under repurchase or loan agreements. They are therefore not derecognized. Financing has been recorded in liabilities for the repurchasing or lending of financed securities. SALES OF RECEIVABLES Groupe BPCE sells receivables as security (Articles L. 211-38 or L. 313-23 et seq . of the French Monetary and Financial Code) under guaranteed refinancing operations, notably with the central bank. This type of disposal for security involves the legal transfer of the associated contractual rights, and therefore a “transfer of assets” as per the amendment to IFRS 7. The Group nevertheless remains exposed to virtually all the risks and benefits, and as such the receivables are maintained on the balance sheet.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

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