BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

At December 31, 2020

Asset Management

Structured Financing Other activities

Securitization

in millions of euros

Size of structured entities

79,652

304,778

82,673

952

At December 31, 2019

Asset Management

Structured Financing Other activities

Securitization

in millions of euros

Size of structured entities

66,590

289,721

83,507

792

Securitization transactions in which BPCE SA group is simply an investor are listed in the Risk Management – Securitizations section of Chapter 6. The size criterion used varies according to the types of structured entities: securitization, the total amount of issues recorded in the • entities’ liabilities; Asset Management: the net assets of collective investment • vehicles (other than securitization); structured financing: the total amount of financing • outstandings remaining due by the entities to all banks; other activities, total assets. • TRANSFERRED TO SPONSORED NON-CONSOLIDATED STRUCTURED ENTITIES A structured entity is sponsored by a Group entity when the following two indicators are both satisfied: it is involved in the creation and structuring of the structured • entity; INCOME AND CARRYING AMOUNT OF ASSETS 12.5.3

it contributes to the success of the entity by transferring • assets to it or by managing relevant activities. When the Group entity’s role is limited to one of advisor, arranger, custodian or placement agent, the structured entity is not considered to be sponsored. BPCE SA group plays the role of sponsor for: UCITS initiated by an investment management company • belonging to BPCE SA group and in which BPCE SA group holds no investment or any other interest. Reported income includes managementand incentive fees charged by BPCE SA group entities, as well as profit or loss from ordinary business with these funds; a US activity involving the origination and disposal of portfolios • of home loans to securitization vehicles created by the Natixis group with third parties and in which Natixis group holds no interests. Reported income includes structuring fees as well as gains or losses on the disposal of receivables. For the non-consolidated structured entities that the Group sponsors without holding any interests, the impact on the financial statements is presented below:

5

Fiscal year 2020

Asset Management

Securitization

in millions of euros

Income from entities Net interest income

18

126

3 1

Net fee and commission income

139 (13)

Net gains or losses on financial instruments at fair value through profit or loss Carrying amount of assets transferred to the entity during the fiscal year

14

252

Fiscal year 2019

Asset Management

Securitization

in millions of euros

Income from entities Net interest income

32

185

1

Net fee and commission income

(1) 31

142

Net gains or losses on financial instruments at fair value through profit or loss Carrying amount of assets transferred to the entity during the year

43

948

509

UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE