BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

12.5.2

NATURE OF RISKS ASSOCIATED WITH INTERESTS HELD IN NON-CONSOLIDATED STRUCTURED ENTITIES

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 thefinancing 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.

At December 31, 2020 Excluding insurance business investments in millions of euros

Asset Management

Structured Financing Other activities

Securitization

Financial assets at fair value through profit or loss

214 112

1,762

1,309

592 517

Trading derivatives

42 29

455 640 209

Trading financial instruments (excluding derivatives) Financial assets at fair value through profit or loss – Non-SPPI Financial instruments designated at fair value through profit or loss

48 49

63

1,408

13

Equity instruments not held for trading

5

270

4 3

12

Financial assets at fair value through other comprehensive income

5

Financial assets at amortized cost

6,255

984

11,645

824

Other assets

15

37

19

6

TOTAL ASSETS

6,484

2,783

12,976

1,422

Financial liabilities at fair value through profit or loss

10

82

140

249

Provisions

5

1

15

2

TOTAL LIABILITIES

15

82

155

252 418

Loan commitments given

7,089

274 160

2,064 3,098 4,127 6,556

Guarantee commitments given (1)

161 233

84 27

Guarantees received

Notional amount of derivatives MAXIMUM LOSS EXPOSURE

1,200

281

14,696 2,176 For the Asset Management activity, Natixis guarantees the capital and/or returns on units in certain UCITS. These guarantees were recognized as derivatives at December 31, 2020 (1) (see Note 6.2, Guarantee commitments). 3,216 20,553

507

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE