BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

IFRS CONSOLIDATED FINANCIAL STATEMENTS OF GROUPE BPCE AS AT DECEMBER 31, 2020

OFFSETTING OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES

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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 Groupe BPCE, 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 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 OTC derivatives, this comprises the netting, by • currency, of the asset valuations and liability valuations of the derivatives; for repurchase agreements, the amount recorded in the • balance sheet corresponds to the net value of repurchase and reverse repurchase agreements: entered into with the same clearing house, and which: – have the same maturity date, – are for the same depositary (unless the depositary uses – the T2S platform), are denominated in the same currency, – for which the settlement / delivery is carried out by the – same depositary whose services make it possible to ensure the link, at the settlement date, between contracts concluded with the same counterparty and whose maturity and currency are identical, represent asset switch transactions that have similar – nominal amounts and identical maturities and currencies, the Group presents these as a single financial asset or liability.

At December 31,2020, OTC derivativestraded by Natixiswith the clearing houses LCH Clearnet Ltd,Eurex Clearing AGand CME Clearingare not subject to nettingwithin the meaningof IAS 32, but are settled daily (applicationof the Settlement to Market principle as provided for by these three clearing houses, which treats margin calls as daily settlement for derivatives instead of collateral as previously). Financial assets and liabilities under netting agreementsmay only be offset if theymeet the restrictivenettingcriteriaset by IAS 32. Offsetting may not be performed for derivatives or OTC repurchase agreementssubject to master agreementsthat do not meet the net settlementcriteriaor where the realizationof a simultaneoussettlementof the asset and liability cannot be demonstrated or for which the offsetting right can only be exercised in the event of default, insolvencyor bankruptcyby one of the parties to the agreement.However, the impact of such agreements in terms of reducing the exposure is presented 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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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE