BPCE - 2020 Universal Registration Document

5

FINANCIAL REPORT

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

Impact of netting agreements on financial liabilities not recognized in the financial statements

12/31/2020

12/31/2019 (2)

Related financial assets and financial instruments pledged as collateral (1)

Related financial assets and financial instruments pledged as collateral

Net amount of financial liabilities recognized in the balance sheet

Net amount of financial liabilities recognized in the balance sheet

Margin calls paid (cash collateral)

Margin calls paid (cash collateral)

Net exposure

Net exposure

in millions of euros

Derivatives (trading and hedging)

51,444 109,245 160,689

35,101 108,981 144,082

14,488

1,855

60,638 107,594 168,232

39,625 101,969 141,594

11,319

9,694 5,617

Repurchase agreements

264

8

TOTAL

14,488

2,119

11,327

15,311

Including collateral received in the form of securities. (1) Amounts not restated compared to the financial statements published in 2019, following a change in the presentation of premiums on options to be paid or received (see Note (2) 5.2.3).

The net exposure does not reflect the accounting position, because it takes into account the reduced exposure arising from agreements that do not meet the restrictive netting criteria set by IAS 32.

TRANSFERRED FINANCIAL ASSETS, OTHER FINANCIAL ASSETS PLEDGED AS COLLATERAL AND ASSETS RECEIVED AS COLLATERAL THAT CAN BE SOLD OR REPLEDGED

5.19

Accounting principles A financial asset (or group of similar financial assets) is derecognizedwhen the contractualrights to the asset’s future cash flows have expiredor when such rights are transferredto a third party, togetherwith virtuallyall of the risks and rewards associatedwith ownership of the asset. In such case, rights and obligations created or retained as a result of the transfer are recorded in a separate line under financial assets and liabilities. When a financial asset is derecognized, a gain or loss on disposal is recorded in the income statement reflecting the differencebetween the carrying amount of the asset and the consideration received. In the event that the Group has neither transferred nor retained virtually all of the risks and rewards, but has retained control of the asset, the asset continues to be recognizedon the balance sheet to the extent of the Group’s continuing involvement. In the event that the Group has neither transferred nor retained virtually all of the risks and rewards and has not retainedcontrol of the asset, the asset is derecognizedand all of the rights and obligationscreated or retained as a result of the transfer are recorded in a separate line under financial assets and liabilities. If all the conditions for derecognizinga financial asset are not met, the Group keeps the asset in the balance sheet and recordsa liability representingthe obligationsarisingwhen the asset is transferred. The Group derecognizes a financial liability (or a part of a financial liability) only when it is extinguished, i.e. when the obligation specified in the contract is discharged, terminated or expires. Repurchase agreements Securities sold under repurchase agreements are not derecognizedin the vendor’saccounts.A liability representing the commitmentto return the funds received is identifiedand

recognized under “Securities sold under repurchase agreements”. This debt is a financial liability recorded at amortized cost or at fair value throughprofit or loss when this liability is considered part of a trading business model. The assets received are not recognized in the purchaser’s books, but a receivableis recordedwith respect to the vendor representing the funds loaned. The amount disbursed in respect of the asset is recognized under “Securities purchasedunder resale agreements”.On subsequentbalance sheet dates, the securities continue to be accounted for by the vendor in accordance with the rules applicable to the category in which they were initially classified. The receivable is valued according to methods specific to its category: at amortizedcost when classified in “Loans and receivables”,or at fair value throughprofit or loss when it is consideredpart of a trading business model. Outright securities lending Securities loaned under outright securities lending transactions are not derecognized in the vendor’s accounts. They continue to be recognized in their original accounting category and are valued accordingly. For the borrower, the securities borrowed are not recognized. Transactions leading to substantial changes in financial assets When an asset is subject to substantial changes (in particular following renegotiation or remodeling due to financial hardship) there is derecognition,since the rights to the initial cash flows have essentiallyexpired. The Group considersthat this is the case for: changes leading to a change of counterparty, especially if • the new counterparty has a very different credit quality than the previous counterparty; changes intended to move from a very structured to basic • indexing, as the two assets are not exposed to the same risks.

448

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

www.groupebpce.com