BPCE - 2020 Universal Registration Document

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FINANCIAL REPORT

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

GOODWILL IMPAIRMENT TESTS 3.5.2 All of the goodwill underwent impairment testing, based on the value in use of the Cash GeneratingUnits (CGU) they are related to. At December 31, 2020, the Regional Banks CGU represents the sum of the CGUs of the following banks: BP Aquitaine Centre Atlantique, Retail Banque Populaire Sud CGU, Retail Groupe Banque Populaire Auvergne Rhône Alpes CGU and Banque Populaire Méditerranée.Goodwill is allocated to groups of CGUs (and non-CGUs)and the financial assumptionspresentedfor each group are averages of the assumptions for their component CGUs.

Key assumptions used to determine recoverable value The determination of the values in use was mainly based on a discounted cash flow (DCF) of the estimated future cash flows of the CGUs, based on the latest forecasts of the business line's earnings, adjusted to take account of the health crisis. For Corporate & Investment Banking, in an extremely uncertain environment (impact of the crisis on market and credit activities, regulatory changes, etc.), in which a DCF valuationwas deemed insufficient for this CGU at December 31, 2020, the impairment test was rounded out by an earnings multiple valuation for the scope of the M&A activity (which bears all goodwill at December 31, 2020), as this approach is more meaningful. The following assumptions were used:

Discount rate Long-term growth rate

Retail Banking & Insurance Regional banks

7.0% - 7.5%

2.0% 2.5% 2.5% 2.0% 2.0% 2.5%

Insurance Payments

7.6% 6.7% 8.0% 7.6% 9.5%

Financial Solutions & Expertise; Asset & Wealth Management Corporate & Investment Banking

estimated future cash flows: data from the most recent • multi-year earnings projections for each business line, drawn up in the course of preparing Natixis's strategic plan; perpetual growth rate: set at 2.5% for the Insurance and • Payments CGUs and for Corporate & Investment Banking's M&A activity, based on the growth outlook supported by their level of activity and resilience in the face of the crisis. The perpetual growth rate is unchanged at +2% for the Asset & Wealth ManagementCGU in a context still marked by intense stock market volatility. The perpetual interest rate was set at +2% for all CGUs for the June 30, 2020 test; discount rate: a different rate was applied to each CGU: 7.6% • for Asset & Wealth Management (versus 9.1% at December 31, 2019), 9.5% for Corporate & Investment Banking (versus 11.4% at December 31, 2019), 7.6% for Insurance (versus 10.6% at December31, 2019) and 6.7% for Payments (versus 6.9% at December 31, 2019). Market data are now calculated on a 5-year historical basis (was 10 years) to reflect a period more representative of current trading conditions for the CGUs, notably the constant fall in interest rates since the euro zone crisis. This change in methodology is the main reason for the reduction in discount rates this year. And, in more detail, the discount rates were determined by factoring in the following: for the Insurance and Payments CGUs, the 10-year OAT • risk-free rate of return averaged over a depth of 5 years; for the Asset & Wealth Management and Corporate & • Investment Banking CGUs, the average of the 10-year OAT and the US 10-year, averaged over a depth of 5 years. This is then increased by a risk premium based on a sample of representative companies in the CGU, averaged over a depth of 5 years;

for the Financial Solutions & Expertise CGU, a risk-free rate • (10-year OAT) over a depth of 9 years, plus a risk premium calculated based on a sample of listed European banks with a similar banking business, while factoring in the specific characteristics of these institutions; for the Regional Bank CGU, a risk-free rate (10-year OAT) over • a depth of 9 years, plus a risk premiumcalculatedbased on a sample of listed European banks with asimilar banking business, while factoring in the specificcharacteristicsof these institutions. These tests did not lead to the recognition of any impairment at December 31, 2020. Sensitivity of recoverable values A 50 bp increase in discount rates (assumption based on the historical annual variability observed over one year using 2012-2020 historical data) combined with a 50 bp reduction in perpetual growth rates would reduce the value in use of CGUs by: -13% for the Asset & Wealth Management CGU; • -12% for the Corporate & Investment Banking CGU (M&A • activity); -14% for the Insurance CGU; • -17% for the Payments CGU; • -6.3% for the Financial Solutions & Expertise CGU. • -7.1% for the Regional Banks CGU. • and would not lead to the recognition of any impairment losses for these CGUs.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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