BPCE - 2019 Universal Registration Document

5

FINANCIAL REPORT

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

Details of the scope of consolidation

Note 13

13.1

SECURITIZATION TRANSACTIONS

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:

Nominal at inception

Inception date 04/06/2011 06/26/2012 11/18/2014 02/02/2017 04/27/2017 05/29/2018

Type of assets

Expected maturity

12/31/2019

in millions of euros

Elide 2011 Elide 2012 Elide 2014 Elide 2017-1 Elide 2017-2 Elide 2018

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

January 2036

1,089 1,190

154 214 301 940 632

April 2037

October 2039 December 2037 October 2041 September 2046

915

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

1,135 3,376

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

39,824

BPCE Consumer Loans

Personal loans

5,000

4,663 7,250

BPCE Home Loans FCT 2017_5

Residential home loans Residential home loans Residential home loans

10,500

BPCE Home Loans 2018 BPCE Home Loans 2019

10/29/2018 October 2053 (call 2023)

1,125 1,100

818

10/29/2019

October 2054

77

Other sub-total

60,693 68,170

53,626 57,002

TOTAL

SECURITIZATION TRANSACTIONS WITHIN GROUPE BPCE In 2019, Groupe BPCE consolidated two new special purpose entities (two securitization funds): BPCE Home Loans FCT 2019 and BPCE Home Loans FCT 2019 Demut, both of which were created for an intra-group securitization transaction by the Banque Populaire banks and the Caisses d’Epargne on October 29, 2019. Under this transaction, €1.1 billion in home loans were transferred to BPCE Home Loans FCT 2019, and external investors subscribed for senior securities issued by the FCT (€1 billion). Despite the placement in the market, this transaction does not allow deconsolidation since the entities that transferred the loans subscribed for subordinated securities and residual shares. They therefore retain control within the meaning of IFRS 10. These transactions follow on from previous transactions named BPCE Master Home Loans, BPCE Consumer Loans 2016 (personal loan securitization), BPCE Home Loans FCT 2017_5 (real estate loan securitization) and BPCE Home Loans FCT 2018 (real estate loan securitization). It was the second transaction with a placement of senior securities on the markets.

DECONSOLIDATING SECURITIZATION TRANSACTIONS CARRIED OUT WITH FULL OR PARTIAL DERECOGNITION Note: Crédit Foncier has 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 €92 million and total liabilities of €9 million at December 31, 2019.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

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