BPCE - 2020 Universal Registration Document

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FINANCIAL REPORT

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

European Regulation (EU) 2016/1011 of June 8, 2016 on the indexes used as benchmarks ("the Benchmark Regulation" or "BMR") introduces a common framework aimed at guaranteeing the accuracy and integrity of the indexes used as benchmarks for financial instruments and contracts, or to measure the performance of investment funds within the European Union. The purpose of the Benchmark Regulation is to regulate the provision of benchmarks, the provision of data underlying benchmarks, and the use of benchmarks, within the European Union. It provides for a transition period for administrators, which have until January 1, 2022 to be approved or registered. After this date, the use by entities supervised by the EU of benchmarks whose administrators are not approved or registered (or, if they are not located in the EU, are not subject to equivalent or otherwise recognized or approved regulations) will be prohibited. Under the BMR, the interest rate benchmarksEURIBOR, LIBOR and EONIA have been declared critical. Uncertainties relating to the definition of new benchmark rates in the euro zone were partially resolved in the first half of 2019. Work to propose new indexes has been completed for the EONIA, which became an €STR tracker from October 1, 2019 to December 31, 2021. The €STR will replace the recalibrated EONIA beginning on January 1, 2022. The introduction of a new calculation approach aimed at transitioning to a hybrid methodology for the EURIBOR, which has been recognized by the Belgian regulator as being consistent with the requirements laid down by the Benchmark Regulation, was finalized in November 2019. Currently, modest doubts persist as to the continuationof the EURIBOR, given the limited number of banks which contribute to setting the index. Two consultations were launched in November 2020 by the Europeanworking group on alternative benchmark rates, to help banks with drafting fallback clauses. These consultations deal

with identifying trigger events for the permanent closure of EURIBOR and the best methods for determining rates based on the €STR, which would then replace it. The degree of uncertainty regarding derivatives or hedged items indexed to the EURIBOR or EONIA rates, which account for most of Groupe BPCE’s hedging activities, is less pronounced than the uncertainty surrounding those indexed to the LIBOR. Regarding LIBOR, at the moment alternative "risk-free" rates have been defined for GBP, USD, CHF and JPY LIBOR. However, work is ongoing to define the way to transition to these rates. Legislative solutions are also on the cards at European, UK and US levels, for contracts benchmarked to LIBOR, which would not have to be renegotiated at the end of the transition period. In the first half of 2018, Groupe BPCE established a project team tasked with anticipating the impacts of the benchmark reform, from a legal, commercial, financial, risk, systemic and accounting viewpoint. During the year 2019, work focused on the reform of the EURIBOR and the transition from the EONIA to the €STR and the strengthening of contractual clauses regarding the termination of indices. In 2020, a more operational phase began, focused on the transition and reducing exposures to the benchmark rates that are likely to disappear. This includes the use of new indexes, addressing existing exposures and more active communications with the Bank’s clients. However, the vast majority of contracts affected by the reform will only be amended to include alternative rates in 2021. Information on non-derivative financial assets, non-derivative financial liabilities and derivatives outstanding that will need to be transitioned is presented in the section on "Liquidity, Interest Rate and Exchange Rate Risks" in chapter 6 "Risk Management".

Note 6

Commitments

Accounting principles Commitments are materialized by the existence of acontractual obligation and are binding.

It must not be possible for commitments included in this item to be deemed financial instruments falling within the scope of IFRS 9 for classification and measurement purposes. However, loan commitments and guarantees given are covered by IFRS 9 provisioning rules, as set out in Note 7. The effects of the rights and obligations covered by such commitments must be subject to the occurrence of conditions or subsequent transactions. Commitments are broken down into: loan commitments (confirmed credit facilities orefinancing agreements); • guarantee commitments (off-balance sheet commitments or assets received as collateral). •

The amounts shown correspond to the nominal value of commitments given.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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