BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

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

Debt instruments such as bonds or securitized transactions (ABS, CMBS, RMBS, cash CDOs) are considered impaired and are classified as Stage 3 when there is a known counterparty risk. The Group uses the same impairment indicators for Stage 3 debt securities as those used for individually assessing the impairment risk on loans and receivables, irrespective of the portfolio to which the debt securities are ultimately designated. For perpetual deeply subordinated notes that meet the definition of financial liabilities as per IAS 32, particular attention is also paid if, under certain conditions, the issuer may be unable to pay the coupon or extend the issue beyond the scheduled redemption date. Impairment for expected credit losses on Stage 3 financial assets is determined as the difference between the amortized cost and the recoverable amount of the receivable, i.e. the present value of estimated recoverable future cash flows, whether these cash flows come from the counterparty’s activity or from the potential activation of guarantees. For short-term assets (maturity of less than one year), there is no discounting of future cash flows. Impairment is determined globally, without distinguishing between interest and principal. Expected credit losses arising from Stage 3 off-balance sheet commitments are taken into account through provisions recognized on the liability side of the balance sheet. Specific impairment is calculated for each receivable on the basis of the maturity schedules determined based on historic recoveries for each category of receivable.

For the purposes of measuring expected credit losses, pledged assets and other credit enhancements that form an integral part of the contractual conditions of the instrument and that the entity does not recognize separately are taken into account in the estimate of expected cash flow shortfalls. Recognition of impairment of assets classified at amortized cost and at fair value through other comprehensive income, and of provisions for financing and guarantee commitments. For debt instruments recognized on the balance sheet in the financial assets at amortized cost category, impairment is recorded against the line on which the asset was initially shown for its net amount (regardless of whether the asset is S1, S2, or S3). Impairment charges and reversals are recognized in the income statement under “Cost of credit risk”. For debt instruments recognized as financial assets at fair value through other comprehensive income on the balance sheet, impairment is carried on the liabilities side of the balance sheet at the level of other comprehensive income recyclable to profit or loss, with a corresponding entry on the income statement under “Cost of credit risk” (regardless of whether the asset is classified S1, S2, or S3). For loan and financial guarantee commitments given, provisions are recorded on the liabilities side of the balance sheet under “Provisions” (irrespective of whether the commitment given is classified S1, S2, or S3). Additions to/reversals from provisions are recognized in the income statement under “Cost of credit risk”.

CHANGE IN EXPECTED CREDIT LOSSES ON FINANCIAL ASSETS AND COMMITMENTS 7.1.3 In the tables presented in this Note, the line “Other changes” includes amortization, consolidations and changes relating to the implementation of IFRS 5 (see Note 1.3). Change in impairment for credit losses on financial assets through other comprehensive income 7.1.3.1

5

Stage 1

Stage 2

Stage 3

TOTAL

Gross carrying amount

Impairment for expected credit losses

Gross carrying amount

Impairment for expected credit losses

Gross carrying amount

Impairment for expected credit losses

Gross carrying amount

Impairment for expected credit losses

in millions of euros

BALANCE AT 12/31/2018

37,366

(5)

30

(2)

79

(60)

37,475

(67)

Origination and acquisitions

4,558

(2)

///

///

4,558

(2)

Derecognition (redemptions, disposals and debt forgiveness) Impairment (write-off) Transfers of financial assets

(2,042)

(2,042)

///

///

///

///

(3)

1

(3)

1

(97)

1

96 (5)

(1)

1

(1)

(1)

Transfers to S1 Transfers to S2 Transfers to S3

5

(101)

1

101

(1)

(1)

1

(1)

(1)

Other changes (1)

1,635

2

(13) 114

11 88

(16) (76)

1,634

(13) (81)

BALANCE AT 12/31/2019

41,420

(4)

(1)

41,623

O/w amortization of receivables, change in credit risk inputs, foreign exchange fluctuations and changes variations related to scope changes (including IFRS 5). (1)

285

UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE