BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

Note 13

Details of the scope of consolidation

SECURITIZATION TRANSACTIONS

13.1

The fair value of these residual ties is remeasured at each reporting date. At December 31, 2020, the net impact of the CFHL-2 transactions was +€7 million. 13.2 Guaranteed UCITS are funds designed to reach a specific amount at the end of a given period, determined by applying a predefined calculation formula based on financial market indicators and, where appropriate, to distribute revenues derived from the investments as determined using the same methods. The portfolio management targets of these funds are guaranteed by a credit institution. Based on an analysis of the substance of these funds in accordance with IFRS 10, the Group does not control relevant activities (as management flexibility is limited) and is not exposed to variable returns (as a solid risk monitoring system has been implemented) and therefore does not consolidate these structures. GUARANTEED UCITS MAJOR RESTRICTIONS The Group has not been faced with any major restrictions relating to stakes held in its structured or non-structured subsidiaries. SUPPORT OF CONSOLIDATED STRUCTURED ENTITIES The Group did not grant any financial support to consolidated structured entities. AT DECEMBER 31, 2020 Only those entities providing a material contribution are consolidated. For entities meeting the definition of financial sector entities given in Regulation (EU) No. 575/2013 of the European Parliament and of the Council of June 26, 2013 (the CRR), the accounting consolidation thresholds have been aligned, since December 31, 2017, with those applied for the prudential scope of consolidation. Article 19 of the CRR sets a threshold of €10 million in total balance sheet and off-balance sheet assets. For non-financial sector entities, materiality is assessed at the level of the consolidated entities. Based on the principle of ascending materiality, any entity included at a sub-consolidation level is included at all higher consolidation levels, even if it is not material at those levels. The percentage interest is specified for each entity in the scope of consolidation. The percentage of interest describes the share of equity held by the Group, either directly or indirectly, in companies within the scope. The percentage of interest can be used to determine the share attributable to equity holders of the parent in the net assets of the company held. SCOPE OF CONSOLIDATION 13.4 OTHER INTERESTS IN CONSOLIDATED SUBSIDIARIES AND STRUCTURED ENTITIES 13.3

Accounting principles Securitization is a financial engineeringtechniquethat aims to enhance balance sheet liquidity. From a technical perspective, assets to be securitizedare groupedaccording to the qualityof the associatedcollateralor guarantees,and sold to special purpose entities that finance their acquisition by issuing securities underwritten by investors. Entities created specifically for this purpose are consolidated if the Group exercises control over them. Control is assessed according to the criteria provided in IFRS 10. SECURITIZATION TRANSACTIONS WITHIN GROUPE BPCE In 2020, a new ad hoc entity (Fonds Communs de Titrisation or “FCT”) was consolidated within the BPCE SA group: BPCE Financement Purple Master Credit Cards (PuMaCC), • resulting from a Group securitization operation by BPCE Financement for BPCE SA group on October 26, 2020. Under this transaction €768 million of renewable loans were ceded to FCT PuMaCC 2020 and third-party investors subscribed for €550 million of senior debt issued by the FCT. Despite the placement in the market, this transaction does not lead to deconsolidation since the entities that transferred the loans subscribed for subordinatedsecurities and residual shares. They therefore retain control within the meaning of IFRS 10. SECURITIZATION TRANSACTIONS CARRIED OUT WITH FULL OR PARTIAL DERECOGNITION Note: Crédit Foncier has entered into two public securitizations backed by home loans (Crédit Foncier Home Loans No. 1 in May 2014 and Crédit Foncier Home Loans No. 2 in August 2015). As a receivables manager, Crédit Foncier does not have the ability to use its power to influence the variability of returns. Therefore, it does not control the securitization funds within the meaning of IFRS 10, and the funds are not consolidated. However, given its ongoing ties with CFHL-2, the criteria needed to establish full derecognition of assets under IFRS 9 are not entirely met. As a result, the transaction leads to deconsolidation in accordance with IFRS 10, and to partial derecognition in accordance with IFRS 9. The CFHL-2 assets transferred are recognized in proportion to Crédit Foncier’s continued involvement. As a result, the Group continues to recognize the maximum loss associated with each of the residual ties to the fund (swaps, clean-up calls, management fees) in balance sheet assets. These adjustments led to the recognition of total assets of €89 million and total liabilities of €5 million at December 31, 2020.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE