BPCE - 2020 Universal Registration Document

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FINANCIAL REPORT

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

CONSOLIDATED SECURITIZATIONS Securitizationsconsolidatedwith outside investors constitute an asset transfer according to the amendment to IFRS 7. The Group has an indirect contractual obligation to transfer to outside investors the cash flow from assets transferred to the securitization fund (although these assets are included in the Group’s balance sheet through the consolidation of the fund). In the interest of transparency, for consolidated securitization transactions: the share of receivables sold attributable to external investors • is considered to be pledged as collateral to third parties; the share of receivables sold attributable to units and bonds • subscribed for by the Group, and eliminated on consolidation, is not considered to be pledged as collateral unless these securities were brought to the BPCE SA group's single treasury and central bank collateral management pool and used as part of a refinancing mechanism. The senior units of the BPCE Financement Purple Master Credit Cards securitization transactions are subscribed by external investors. Comments on financial assets pledged 5.19.1.2 as collateral but not transferred Financial assets provided as collateral but not transferred are generally pledged. The main mechanisms involved are the CRH (Caisse de Refinancement de l’Habitat), the ESNI industry-wide funding mechanism and securities pledged as collateral for European Central Bank (ECB) refinancing operations. Moreover, in accordance with French law, the intrinsic guarantees attached to issues of covered bonds are not recognized under guarantee commitments given. The covered Accounting principles In accordance with the amendments to IFRS 9 and IAS 39 relating to the reform of the benchmarkrates, (phase 1), until the uncertainties relating to the reform disappear, it is considered that: transactions designated as cash flow hedges are • considered “highly probable”, as it is assumed that the cash flows will not change as a result of the reform; prospective effectiveness tests of fair value hedges and • cash flow hedges are not affected by the reform, and in particular hedge accounting can continue if retrospective assessment results are outside the 80%-125% range during the transition period, while the ineffective portion of hedging relationshipsshall continue to be recognized in the income statement; hedged risk components determined using a benchmark • rate are considered to be separately identifiable. BPCESA group considersthat all its hedgingagreementswith a BOR or EONIAcomponentare concernedby the reformand therefore qualify for the amendmentsfor as long as there is uncertainty as to the contractual changes required by 5.20

bonds issued by BPCE SFH and Compagnie de Financement Foncier benefit from a legal privilege comprised of eligible assets. Financial assets received as collateral that can be sold or repledged This heading covers financial assets received as security under financial guarantee agreements with the right to reuse the assets in the absence of any default on the part of the owner of the guarantee. The fair value of the financial assets received as collateral that BPCE SA group may sell or repledge amounted to €198 billionat December 31, 2020, compared to €211 billion at December 31, 2019. The fair value of the financial assets received as collateral that were actually sold or repledged amounted to €150 billion at December 31, 2020, compared with €166 billion at December 31, 2019. 5.19.1.3

5.19.2

FULLY DERECOGNIZED FINANCIAL ASSETS FOR WHICH THE GROUP RETAINS AN ONGOING COMMITMENT

Fully derecognized transferred financial assets for which the Group retains an ongoing commitmentconsist of asset transfers to a deconsolidated securitization vehicle in which BPCE SA group has an interest or an obligation, although this does not call into question the transfer of almost all of the benefits and risks relating to the assets transferred. Ongoing commitments retained by the Group in relation to securitization vehicles were not significant on December 31, 2020.

FINANCIAL INSTRUMENTS SUBJECT TO BENCHMARK INDEX REFORM

regulations or regarding the replacement benchmark to be used or the application period of temporary rates. BPCE SA group’s exposure primarily lies with its derivatives contracts and lending and borrowing contracts that use the EURIBOR, EONIA or US LIBOR interest rates. Hedging transactionsare presented in Note 5.3. The amendments of phase 2, after implementation of the alternative rates, introduce a practical expedient, which consists of modifying the effective interest rate prospectively without impact on net income in cases where the changes in flows of financial instruments are exclusively related to the reform and make it possible to maintain an economic equivalence between the old flows and the new ones. They also introduce, if these conditionsare met, relaxationsin the eligibility criteria for hedge accounting in order to be able to maintain the hedging relationships concerned by the reform. These provisions relate in particular to the impacts related to hedge redocumentation, portfolio hedging, treatment of the OCI reserve for the CFH hedging, identification of an identifiable risk component, retrospective effectiveness tests.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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