BPCE_REGISTRATION_DOCUMENT_2017
5 FINANCIAL REPORT
IFRS Consolidated Financial Statements of Groupe BPCE as at December 31, 2017
SECURITIZATION TRANSACTIONS 17.2 Securitization is a financial engineering technique that aims to enhance balance sheet liquidity. From a technical perspective,assets to be securitized are grouped according to the quality of the associated collateral or guarantees, and sold to special purpose entities that finance their acquisition by issuing securities underwrittenby investors.
Entities created specifically for this purpose are consolidated if the Group exercises control over them. Control is assessed according to the criteriaprovidedin IFRS 10. The following statement lists the securitization transactions carried out by the Retail Banking and Insurance entities without (total or partial) derecognition:
Balance at 12/31/2017
Type of assets
Inception date Expected maturity Nominal at inception
in millionsof euros
Elide 2011 Elide 2012 Elide 2014
Residential home loans Residential home loans Residential home loans Residential home loans Residential home loans
04/06/2011 January 2036
1,089 1,190
247 353 453
06/26/2012
April 2037
11/18/2014 October 2039 02/02/2017 December 2037 04/27/2017 October 2041
915
Elide 2017-1 Elide 2017-2
1,842 1,051 6,087
1,443
911
Elide sub-total
3,407
BPCEMaster Home Loans/BPCE Master HomeLoansDemut
Residential home loans
05/26/2014 05/27/2016
April 2032 May 2032
44,068
39,283
BPCEConsumer Loans
Personalloans
5,000
4,782 9,910
BPCEHome Loans FCT 2017_5 Residential home loans
05/29/2017
May 2054
10,500 59,568 65,655
Othersub-total
53,975 57,382
TOTAL
However, given its ongoing ties with CFHL-2, the criteria needed to establish full derecognition of assets under IAS 39 are not entirely met. As a result, the transaction is deconsolidating in accordance with IFRS10, and partially derecognized in accordance with IAS39. The transferredassets are recognizedin proportionto Crédit Foncier’s continuedinvolvement.As a result, the Group continuesto 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 € 92 million and total liabilities of € 49 million at December31, 2017. The fair value of these residual ties is remeasured at each reporting date. For 2017, the net impact of the CFHL-2 transactions was - € 35 million,related to prepayments during the year. GUARANTEED UCITS 17.3 GuaranteedUCITS 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 monitoringsystemhas been implemented)and therefore does not consolidate these structures.
Securitization transactions within Groupe BPCE Groupe BPCE consolidated two new special purpose entities (two securitization funds) in 2017: BPCE Home Loans FCT 2017_5 and BPCE Home Loans FCT 2017_5 Demut, both of which arose from an intra-groupsecuritizationtransactionby the Banque Populaire banks and the Caisses d’Epargne onMay 22, 2017. Under this transaction, about € 10.5 billion in home loans was transferred to BPCE Home Loans FCT 2017_5, and the institutions that transferred the loans subscribed for the securities issued by the special purpose entities. The deal extended the ongoing BPCE Master Home Loans transaction implemented in May 2014, based on a transfer of home loans, and expandedon Groupe BPCE’scentralized cash management. As a result, the transactionhelped ensure that the amount of Groupe BPCE’s collateral eligible for Eurosystem refinancing operations remainedhigh while also diversifyingthe assets availablefor this type of transaction. Deconsolidating securitization transactions carried out with full or partial derecognition As a reminder, Crédit Foncier 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 August2015). As a receivablesmanager, Crédit Foncier does not have the ability to use its power to influencethe variabilityof returns. Therefore,it does not control the securitizationfunds within the meaning of IFRS 10, and the funds are not consolidated.
328
Registration document 2017
Made with FlippingBook - professional solution for displaying marketing and sales documents online