BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

the original effective interest rate must be recognizedin profit or loss. To assess the substantialnatureof the change, IFRS 9 includes a thresholdof 10% based on discountedcash flows, integrating potential costs and fees: when the difference is greater than or equal to 10%, all of the costs or fees incurred are recognized as profit or loss on debt extinguishment. The Groupmay considerother changesto be substantial,such as a change of issuer (even within the same group) or a change in currency.

Transactions leading to substantial changes in financial liabilities A substantial change to the terms of a lending instrument must be recorded as the extinguishmentof the existing debt and its replacement with a new debt. The amendment to IFRS 9 of October 12, 2017 clarified the treatment under IFRS 9 of modifications of liabilities recognized at amortized cost if the modification does not result in derecognition: the profit or loss resulting from the difference between the original cash flows and the modifiedcash flows discountedat

5.19.1

TRANSFERRED FINANCIAL ASSETS NOT FULLY DERECOGNIZED AND OTHER FINANCIAL ASSETS PLEDGED

AS COLLATERAL

Carrying amount

Assets transferred or pledged as collateral

Outright securities lending

Repurchase agreements

Securitizations

12/31/2020

in millions of euros

Financial assets at fair value through profit or loss – Held for trading Financial assets at fair value through profit or loss – Non-SPPI Financial assets at fair value through other comprehensive income Financial assets at amortized cost TOTAL FINANCIAL ASSETS PLEDGED AS COLLATERAL

3,089

8,898

373

12,360

9

9

355

250

10,436 10,445

3,799 4,172 4,172

14,840 27,209 25,940

3,444 3,444

9,148 9,148

o/w transferred financial assets not fully derecognized

9,176

The amount of liabilities associatedwith financial assets pledged as collateral for repurchase agreements came to €8,927 million at December 31, 2020 (€8,989 million at December 31, 2019). The fair value of assets pledged as collateral for non-deconsolidating securitization transactions was

€4,172 million at December 31, 2020 (€4,809 million at December 31, 2019) and the amount of related liabilities came to €4,412 million at December 31, 2020 (€4,214 million at December 31, 2019).

5

Transferred financial assets not fully derecognized and other financial assets pledged as collateral at December 31, 2019

Carrying amount

Assets transferred or pledged as collateral

Outright securities lending

Repurchase agreements

Securitizations

12/31/2019

in millions of euros

Financial assets at fair value through profit or loss – Held for trading Financial assets at fair value through profit or loss – Non-SPPI Financial assets at fair value through other comprehensive income

4,255

9,208

3,790

448

17,701

10

10

414

414

Financial assets at amortized cost

158

14,539 18,753 11,119

4,360 4,808 4,808

19,057 37,182 29,548

TOTAL FINANCIAL ASSETS PLEDGED AS COLLATERAL o/w transferred financial assets not fully derecognized

4,413 4,413

9,208 9,208

5.19.1.1 SECURITIES REPURCHASING AND LENDING BPCE SA group repurchases and loans securities.

Comments on transferred financial assets

SALES OF RECEIVABLES BPCE SA group sells receivables as security (Articles L. 211-38 or L. 313-23 et seq . of the French Monetary and Financial Code) under guaranteed refinancing operations, notably with the central bank. This type of disposal for security involves the legal transfer of the associated contractual rights, and therefore a “transfer of assets” within the meaning of the amendment to IFRS 7. The Group nevertheless remains exposed to virtually all the risks and benefits, and as such the receivables are maintained on the balance sheet.

Under the terms of the agreements, the securities may be sold on by the purchaser throughout the duration of the repurchase or lending agreement. The purchaser must nevertheless return them to the vendor at the end of the agreement. Cash flows generated by the securities are also transferred to the vendor. The Group believes that it retains almost all of the risks and benefits of securities under repurchase or loan agreements. They are therefore not derecognized. Financing has been recorded in liabilities for the repurchasing or lending of financed securities.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE