BPCE - 2020 Universal Registration Document

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FINANCIAL REPORT

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

an additional three-month delay, to twelve months, would • result in an additional allocation of around €11 million; an increase in the probability of occurrence of the pessimistic • scenario by 5%, at the expense of the central scenario, would result in the recognition of an additional allocation of €1 million. Fair value of financial assets impacted 1.5.2.2 by the public health crisis In view of the impact of the Covid-19 health emergency on the financial markets, the value of some products was affected by illiquid markets during financial year 2020. Given the context, Natixis’ Corporate & Investment Banking activities were exposed to significant adjustments on certain valuation inputs, for example the “dividend” component: the suspension of dividend payments by many companies • practically wiped out most short-term dividends and was also reflected in the consensus values used to revalue this component; as the stressed market environment generated wide • fluctuations, the “volatility” input was also revalued for all transactions concerned. REGULATORY FRAMEWORK 2.1 The consolidated financial statements of the BPCE SA group were prepared under International Financial Reporting Standards (IFRS) as adopted by the European Union and applicable at the reporting date, excluding certain provisions of lAS 39 relating to hedge accounting. 2.2 The standards and interpretations used and detailed in the annual financial statements as at December 31, 2019 were complemented by standards, amendments and interpretations whose application is mandatory for reporting periods starting from January 1, 2020. IFRS 9 replaced IAS 39 on January 1, 2018. It defines the new rules for classifying and measuring financial assets and liabilities, the new impairment methodology for the credit risk of financial assets, and hedge accounting, except for macro-hedging,which the International Accounting Standards Board (IASB) is currently studying in a separate draft standard. BPCE SA group used the option available in IFRS 9 not to apply the provisions of the standard relative to hedge accounting, and to continue to apply IAS 39 as adopted by the European Union for the recognition of these transactions, i.e. excluding certain provisions relating to macro-hedging. In view of the limited volume of asset reclassifications, most transactions recognized using hedge accounting under IAS 39 continue to be disclosed in the same way from January 1, 2018. However, IFRS 7 amended by IFRS 9 requires additional information on hedge accounting to be provided in the Notes. On November 3, 2017, the European Commission adopted the amendment to IFRS 4 applying IFRS 9 “Financial instruments” with IFRS 4 “Insurance contracts” with specific provisions for financial conglomerates, applicable from January 1, 2018. European regulations therefore allow European financial conglomerates to opt to defer application of IFRS 9 for their insurance activities until January 1, 2021 (effective date of first-time application of the new IFRS 17, Insurance contracts), provided they: ACCOUNTING STANDARDS Note 2

Equity interests in unlisted private equity funds are valued according to the International Private Equity and Venture Capital Valuation (IPEV) Guidelines, which are also recommended by Invest Europe. The value of BPCE SA group’s holdings in unlisted funds (around €673 million) was subject to an in-depth review at December 31, 2020. Where no recent net asset value (NAV) was provided by the asset management company or when it did not include the effects of the crisis (even partially), a haircut was applied to the latest NAV, using a sector-based approach. The value of investments in real estate funds was also reviewed at December 31, 2020 and, where applicable, a haircut was applied to reflect the impact of the crisis on the value of the underlying assets. Any property discounts are based on estimates by BPCE Solutions Immobilièreswhich are calculated using macro-economicand property indicators (GDP per region, household disposable income per department, rent forecasts, rate of return forecasts, risk premium forecasts).

Applicable accounting standards and comparability

do not transfer financial instruments between the insurance • sector and other sectors of the conglomerate (with the exception of financial instruments designated at fair value through profit or loss for the two sectors affected by the transfer); indicate the insurance entities that apply IAS 39; • disclose specific additional information in the notes to the • financial statements. At its meeting on March 17, 2020, the IASB decided to defer application of the standard by two years, as clarifications still need to be given regarding key aspects of it. It also decided to defer the expiry of insurance companies’ temporary exemption from IFRS 9 to January 1, 2023, to align it with the application of IFRS 17. An amendment was published on June 25, 2020. This amendment improves the application of IFRS 17. As BPCE SA group is a financial conglomerate, it elected to apply this provision to its insurance businesses, which continue to be covered by IAS 39. The main entities affected by this measure are CEGC, the insurance subsidiaries of COFACE, Natixis Assurances,BPCE Vie and its consolidatedfunds, Natixis Life, BPCE Prévoyance, BPCE Assurances, BPCE IARD, Surassur, Oney Insurance and Oney Life. In accordance with the Implementing Regulation of November 3, 2017, the Group took the necessary steps to prohibit any transfer of financial instruments between its insurance sector and the rest of the Group that would lead to derecognition for the transferring entity; this restriction is not, however, required for transfers of financial instruments measured at fair value through profit or loss by the two sectors involved. Regulation (EU) 2017/2395 dated December 12, 2017 relating to transitional arrangements for mitigating the impact of the introduction of IFRS 9 on capital and for the large exposures treatment of certain public-sector exposures was published in the Official Journal on December 27, 2017. BPCE SA group has decided not to opt to neutralize IFRS 9 transitional impacts at the prudential level due to the limited impact when applying the standard.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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