BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

plain vanilla fixed income, foreign exchange and other – underlying derivatives, as well as securities lending/borrowing and repurchase transactions, plain vanilla guarantees and financing granted to family – non-trading real estate companies (SCI) or to certain holdings; external structured entities in which Groupe BPCE simply acts • as an investor. These consist of: investments in external UCITS that the Group does not • manage, except for those in which the Group owns almost all the shares; a limited scope of interests held in securitization vehicles • (exposures on these funds are included in the information published in Chapter 6 “Risk Management – Securitizations”); interests held in external real estate funds or private equity • funds in which Groupe BPCE acts as a simple minority investor. The structured entities with which the Group has a relationship can be divided into four categories: entities involved in asset management, securitization vehicles, entities created for structured financing purposes, and entities created for other Financial Asset Management (also known as portfolio management) consists of managing equity or funds entrusted by investors by investing in shares, bonds, cash SICAV or hedge funds, etc. The Asset Management line of business which uses structured entities is represented by collective investment management or fund management. More specifically, it encompasses collective investment vehicles within the meaning of the French Monetary and Financial Code (other than securitization structures) as well as equivalent bodies governed by foreign law. These notably include entities such as UCITS, real estate funds and private equity funds. Securitization Securitization transactions are generally established as structured entities in which assets or derivatives representing credit risk are isolated. These entities serve to diversify the underlying credit risks and to split them into various levels of subordination (tranches) with a view, generally, to sell them to investors seeking a certain level of return, according to the degree of risk accepted. These vehicles’ assets and the liabilities that they issue are rated by the rating agencies, which monitor that the level of risk associated with each tranche of risk sold is commensuratewith the attributed rating. types of transactions. Asset Management

The kind of securitization transactions used and which require the intervention of structured entities are as follows: transactions where the Group (or a subsidiary) sells on its own • behalf to a dedicated vehicle, in cash or synthetic form, the credit risk associated with one of its asset portfolios; securitizationtransactionsperformedon behalf of third parties. • These transactions consist of housing in a dedicated structure (generally a Special Purpose Entity (SPE)) the assets belonging to another company. The SPE issues shares that can, in certain cases, be subscribed for directly by investors, or subscribed for by a multi-seller conduit which refinances the acquisition of these shares through the issue of short-term notes (commercial paper). Structured financing (of assets) Structured financing covers the range of activities and products set up to provide financing to economic players while reducing risks through the use of complex structures. These include the financing of movable assets (pertaining to aeronautic, marine or terrestrial transport, telecommunications, etc.), real estate assets and the acquisition of targeted companies (LBO financing). The Group may need to create a structured entity that houses a specific financing transaction on behalf of a customer. This is a contractual and structural organization. The particularities of these types of financing are related to risk management, with the use of notions such as limited recourse or waivers of recourse, standard and/or structural subordination and the use of dedicated legal vehicles used in particular to carry a single-contract finance lease representing the financing granted. Other activities This comprises all remaining activities. Assets and liabilities recognized in the Group’s various balance sheet accounts relating to interests in non-consolidated structured entities contribute to determining the risks associated with these entities. The values recorded under the balance sheet assets, along with financing and guarantee commitments given less guarantee commitments received and provisions recorded in liabilities, are used to assess the maximum exposure to risk of losses. The “notional amounts” line corresponds to the notional amount of options sold to structured entities. The data are presented below, aggregated based on their activity classification. NATURE OF RISKS ASSOCIATED WITH INTERESTS HELD IN NON-CONSOLIDATED STRUCTURED ENTITIES 12.5.2

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE