BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

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

The table below provides the main unobservable inputs and the value ranges for these instruments at December 31, 2020:

Unobservable data ranges min - max (DEC20)

Instrument class

Main types of products

Valuation techniques used

Main unobservable data

Interest rate options valuation models

Mean reversion inputs

[1.75%; 5%]

Interest rate derivatives

Sticky CMS/Volatility Bonds Callable Spread Options and Corridor Callable Spread Options

Model representing several yield curve factors

Interest rate derivatives Interest rate derivatives

Mean reversion spread

[0%; 30%]

Bermuda Accreting

Accreting Factor

[69.5%; 94%]

Interest rate option valuation models

Interest rate derivatives

Volatility caps/floors

Interest rate volatility

[5.46% ; 87.46%] [1.00% ; 171.79%] [1.5%; 40.27%] [18.50%; 96.28%] [-0.76%; 0.91%]

Equity volatility Fund volatility

Different valuation models for equity, equity basket or fund options

Stock/stock correlation Repo of general baskets

Simple and complex equity, equity basket or fund derivatives

Equity

Exchange rate option valuation models

Forex

Exchange rate derivatives

Currency volatility

[7.3%; 12.739%] [11.5%;32.8%]

Correlation between foreign exchange rates and interest rates as well as long-term volatility levels

Hybrid currency/interest rate options valuation model

Forex

Long-term PRDC/PRDKO/TARN Helvetix: Strip of long-term options, Strip of quanto options, Strip of digital options

[7.3% ; 12.739%]

Black & Scholes model

EURCHF/EURUSD correlations

[23.46%; 38.90%]

USDCHF volatility: [8.0701%; 11.0529%] EURCHF volatility: [7.3352%; 8.8223%]

Helvetix: Options spread and digital options spread

Long-term USD/CHF & EUR/CHF volatility

Forex

Gaussian copula

The default rates are based on the market prices of the underlying PFI bonds and the recovery rates are based on historical ratings agency data Discounted expected cash flows based on early redemption

Correlation between the assets, base spread between the cash asset and derivative asset, recovery rate

5

Credit

CDO

80%

assumptions on the underlying portfolio

Credit

Securitization swaps

Prepayment rate

[3.3%; 40.0%]

Equity-FX correlations Equity/FI correlations

[63.23%; 59.54%]

Hybrid models coupled with equity, forex and interest rate diffusion

[-40%; 45%] [-35%; 35%]

Hybrid equity/fixed income/forex (FX) derivatives

Hybrids

FI-FX correlations

Policy concerning fair value hierarchy transfers Transfers between fair value levels are reviewed and validated by ad hoc committees at Natixis comprising representatives of various functions, particularly Finance, Risk and Business Lines. The committees consider various indicators of market activity and liquidity as described in the General Principles. A review is undertaken for any instrument that ceases to meet these criteria or once again complies with the criteria. Transfers to and from Level 3 must be approved in advance. Main reclassifications at December 31, 2020 were as follows: Bermudan accreters (in AUD), with residual maturities • between 10 and 20 years were transferred to fair value Level 2, due to the immaterialityof the accreting factor variable (see table above); mono underlying equity indices were transferred to fair value • Level 3 following a review of the observability of the underlyings. In fiscal year 2019, the main reclassifications involved accreting Bermudan swaptions (in euros and in Australian dollars), specific

complex derivatives with single or multiple underlyings structured on indexes and the associated liabilities designated at fair value. These instruments were reclassified from Level 2 to Level 3 of the fair value hierarchy due to an examination of observability during the period which demonstrated an absence of observable prices for the corresponding inputs and products, leading to their reclassification to Level 3 of the fair value hierarchy. Instruments affected by the financial crisis Instruments affected by the financial crisis and carried at fair value on the balance sheet are essentially held by Natixis, which calculates their fair value using the models described below: CDS CONTRACTED WITH CREDIT ENHANCERS (MONOLINE INSURERS AND CDPCS) Since December 31,2015, the valuationmodel used to measure write-downs on CDSs contracted with monoline insurers has been similar to the Credit Valuation Adjustment (CVA) used for counterparty risk. The model also takes into account the expected amortizationof exposures and the counterpartyspread implicit in market data.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE