BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

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

5.18

OFFSETTING OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES

Accounting principles Financial assets and liabilities were offset on the balance sheet in accordance with IAS 32. Under this standard, a financial asset and financial liability are offset and a net balance is recorded in the balance sheet if and only if: the Group has the legally enforceable right to offset the • recorded amounts; and it has the intention either to settle the net amount or to • simultaneously realize the asset and settle the liability. Within BPCE SA group, most offset amounts are the result of repurchase agreements and derivatives transactions largely carried out by Natixis with clearing houses, which meet the requirements of IAS 32: for OTC derivatives, this comprises the netting, by • currency, of the asset valuations and liability valuations of the derivatives and margin calls (variation margin); for asset switch transactions that have similar nominal • amounts and identical maturities and currencies, the Group presents them as a single financial asset or liability; for listed derivatives, the positions recorded under the • respective asset and liability items for: index options and futures options are offset by maturity – and by currency, equity options are offset by ISIN code and maturity date; – for repurchase agreements, the amount recorded in the • balance sheet corresponds to the net value of repurchase and reverse repurchase agreements that: are entered into with the same clearing house, – have the same maturity date, –

the same depositary (unless the depositary uses the T2S – platform), are denominated in the same currency. – Financial assets and liabilities under netting agreements may only be offset if they meet the restrictive netting criteria set by IAS 32. Offsetting may not be performed for derivatives or OTC repurchase agreements subject to master agreements that do not meet the net settlement criteria or where the realization of a simultaneous settlement of the asset and liability cannot be demonstrated or for which the offsetting right can only be exercised in the event of default, insolvency or bankruptcy by one of the parties to the agreement. However, the impact of such agreements in terms of reducing the exposure is reflected in the second table. For these instruments, the “Related financial assets and financial instruments received as collateral” and “Related financial liabilities and financial instruments pledged as collateral” columns include in particular: for repurchase agreements: • loans or borrowings resulting from reverse repurchase – agreements with the same counterparty, and securities pledged or received as collateral (for the fair value of said securities), margin calls in the form of securities (for the fair value – of said securities); for derivatives, the fair values of reverse transactions with • the same counterparty, as well as margin calls in the form of securities. Margin calls received or paid in cash are shown in “Margin calls received (cash collateral)” and “Margin calls paid (cash collateral)”.

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FINANCIAL ASSETS 5.18.1 Impact of offsetting on financial assets under netting agreements in the balance sheet

12/31/2019

12/31/2018

Gross amount of financial liabilities offset in the balance sheet

Net amount of financial assets recognized in the balance sheet

Gross amount of financial liabilities offset in the balance sheet

Net amount of financial assets recognized in the balance sheet

Gross amount of financial assets (1)

Gross amount of financial assets

in millions of euros

Derivatives (trading and hedging)

90,909 103,612 194,521

31,354 20,610 51,964

59,555 83,002 142,557

76,982 94,592 171,574

20,981

56,001 84,638 140,639

Repurchase agreements

9,954

Financial assets at fair value

30,935

Repurchase agreements (portfolio of loans and receivables)

9,061

1,100

7,961

10,295 181,869

700

9,595

TOTAL 150,234 Includes the gross amount of financial assets subject to netting or an enforceable master netting agreement or similar and financial assets not subject to any agreement. (1) 203,582 53,064 150,518 31,635

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE