BPCE - 2020 Universal Registration Document

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FINANCIAL REPORT

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

Note 13

Details of the scope of consolidation

SECURITIZATION TRANSACTIONS

13.1

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.

The following statement lists the securitization transactions carried out by the Retail Banking and Insurance entities without (full or partial) derecognition:

Nominal at inception

Inception date 04/06/2011 06/26/2012 11/18/2014 02/02/2017 04/27/2017 05/29/2018

Type of assets

Expected maturity

12/31/2020

in millions of euros

Elide 2011 Elide 2012 Elide 2014 Elide 2017-1 Elide 2017-2 Elide 2018

Residential home loans Residential home loans Residential home loans Residential home loans Residential home loans Residential home loans

January 2036

1,089 1,190

117 156 231 738 500 922

April 2037

October 2039 December 2037 October 2041 September 2046

915

1,842 1,051 1,390 7,477

Elide sub-total

2,664

BPCE Master Home Loans/BPCE Master Home Demut

Residential home loans

05/26/2014 05/27/2016 05/29/2017

April 2032 May 2032 May 2054

44,068

39,725

BPCE Consumer Loans

Personal loans

5,000

4,814 6,140

BPCE Home Loans FCT 2017_5

Residential home loans Residential home loans Residential home loans Residential home loans

10,500

BPCE Home Loans 2018 BPCE Home Loans 2019 BPCE Home Loans 2020

10/29/2018 October 2053 (call 2023)

1,125 1,100 1,090

602 803

10/29/2019 10/28/2020

October 2054 October 2054

1,059

Other sub-total

62,883 70,360

53,145 55,809

TOTAL

SECURITIZATION TRANSACTIONS WITHIN GROUPE BPCE In 2020, Groupe BPCE consolidated several new special purpose entities (securitization funds): BPCE Home Loans FCT 2020 and BPCE Home Loans FCT • 2020 Demut, both resulting from an internal securitization transaction carried out by the Banques Populaire and the Caisses d'Epargne on October 28, 2020. Under this transaction, €1.08 billion in home loans were transferred to BPCE Home Loans FCT 2020, and external investors subscribed for senior securities issued by the FCT (€1 billion). 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), BPCE Home Loans FCT 2018 (real estate loan securitization) and BPCE Home Loans FCT 2019 (real estate loan securitization). It was the third transaction with a placement of senior securities on the markets; BPCE Financement Purple Master Credit Cards (PuMaCC), • resulting from a Group securitizationby BPCE Financement for BPCE SA group on October 26, 2020. Under this transaction €768 million of renewable loans were ceded to FCT PuMaCC 2020 and third-party investors subscribed for €550 million of senior debt issued by the FCT;

BCL transaction on the BPCE Financement personal loan, • resulting from an internal securitization transaction carried out by the Banques Populaire and the Caisses d'Epargne on May 25, 2020. Under this self-subscribeddeal €5 billion of personal loans were ceded to the FCT BCL2020 and subscribed for by the Banques Populaires and Caisses d’Epargne. Despite the placement in the market, these transactions do not allow deconsolidation since the entities that transferred the loans subscribed for subordinatedsecurities and residual shares. They therefore retain control within the meaning of IFRS 10. 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.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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