BPCE - 2019 Universal Registration Document

5

FINANCIAL REPORT

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

TRANSFERRED FINANCIAL ASSETS NOT FULLY DERECOGNIZED AND OTHER FINANCIAL ASSETS PLEDGED AS 5.19.1 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

4,255

9,208

3,790

448

17,701

10

10

414

414

Financial assets at amortized cost

158

14,539 18,753 11,119

4,360 4,808 4,808

19,057 37,182 29,548

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

4,413 4,413

9,208 9,208

The amount of liabilities associated with financial assets pledged as collateral for repurchase agreements came to €8,989 million at December 31, 2019 (€6,653 million at December 31, 2018). The fair value of assets pledged as collateral for non-deconsolidating securitization transactions was

€4,809 million at December 31, 2019 (€6,239 million at December 31, 2018) and the amount of related liabilities came to €4,214 million at December 31, 2019 (€5,190 million at December 31, 2018).

Transferred financial assets not fully derecognized and other financial assets pledged as collateral at 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

2,071

7,455

2,641

782

12,950

11

11

5

407

412

Financial assets at amortized cost

18,654 21,713 11,779

5,457 6,239 6,239

24,111 37,483 27,549

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

2,071 2,071

7,460 7,460

5.19.1.1 SECURITIES REPURCHASING AND LENDING BPCE SA group 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. Comments on financial assets pledged as 5.19.1.2 collateral but not transferred Financial assets provided as collateral but not transferred are generally pledged. The main mechanisms involved are the CRH (Caisse de Refinancement de l’Habitat), the ESNI industry-wide funding mechanism and securities pledged as collateral for ECB refinancing operations.

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 BPCE SA group 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” within the meaning of 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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