BPCE - 2019 Universal Registration Document

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FINANCIAL REPORT

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

Details of the scope of consolidation

Note 13

13.1

SECURITIZATION TRANSACTIONS

These adjustments led to the recognition of total assets of €92 million and total liabilities of €9 million at December 31, 2019. The fair value of these residual ties is remeasured at each reporting date. At December 31, 2019, the net impact of the CFHL-2 transactions was +€17 million. 13.2 Guaranteed UCITS are funds designed to reach a specific amount at the end of a given period, determined by applying a predefined calculation formula based on financial market indicators and, where appropriate, to distribute revenues derived from the investments as determined using the same methods. The portfolio management targets of these funds are guaranteed by a credit institution. Based on an analysis of the substance of these funds in accordance with IFRS 10, the Group does not control relevant activities (as management flexibility is limited) and is not exposed to variable returns (as a solid risk monitoring system has been implemented) and therefore does not consolidate these structures. GUARANTEED UCITS MAJOR RESTRICTIONS The Group has not been faced with any major restrictions relating to stakes held in its structured or non-structured subsidiaries. SUPPORT OF CONSOLIDATED STRUCTURED ENTITIES The Group did not grant any financial support to consolidated structured entities. AT DECEMBER 31, 2019 Only those entities providing a material contribution are consolidated. For entities meeting the definition of financial sector entities given in Regulation (EU) 575/2013 of the European Parliament and of the Council of June 26, 2013 (the CRR), the accounting consolidation thresholds have been aligned, from December 31, 2017, with those applied for the prudential scope of consolidation. Article 19 of the CRR sets a threshold of €10 million in total balance sheet and off-balance sheet assets. For non-financial sector entities, materiality is assessed at the level of the consolidated entities. Based on the principle of ascending materiality, any entity included at a sub-consolidation level is included at all higher consolidation levels, even if it is not material at those levels. The percentage interest is specified for each entity in the scope of consolidation. The percentage of interest describes the share of equity held by the Group, either directly or indirectly, in companies within the scope. The percentage of interest can be used to determine the share attributable to equity holders of the parent in the net assets of the company held. SCOPE OF CONSOLIDATION 13.4 OTHER INTERESTS IN CONSOLIDATED SUBSIDIARIES AND STRUCTURED ENTITIES 13.3

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. 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 Banques Populaires 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. It follows previous transactions: 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.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

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