BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

IFRS CONSOLIDATED FINANCIAL STATEMENTS OF BPCE SA GROUP AS 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; • and would not lead to the recognition of any impairment • losses for these CGUs. Similarly, the sensitivity of these CGUs’ future cash flows, as forecast in the business plan, to changes in the main assumptions would not significantly affect their recoverable value: for Asset &Wealth Management, a 10% decline in the equity • markets (a uniform decline across all years) would have a -10% negative impact on the CGU’s recoverable value and would not lead to the recognition of impairment. for Corporate& Investment Banking, sensitivity to the dollar or • to higher liquidity costs would have a limited impact on net banking income and would not result in the recognition of impairment; a 10% decline in the equity markets (a uniform decline across all years) would have a -5% negative impact on

the CGU’s recoverable value and would not lead to the recognition of impairment; for Insurance : • the main vector of sensitivity for life insurance is interest rates and the financial markets but various steps are being taken to reduce their impact (diversification of investments, reserves, hedging of equity positions, etc. ). Accordingly, the impact on the income statement is limited and would not significantly affect the CGU’s value. For non-life insurance, the main vector of sensitivity is the loss ratio, which is notably measured via the combined ratio. Natixis’ strategic plan, New Dimension, sets this ratio at below 94%. A one-point deterioration in this ratio over all years would lead to a limited decline of 3% in the value of the CGU, with no impact on impairment; for the payments, in terms of business activity, the division’s • business model is diversified, with i) a historic payments business line for the Groupe BPCE networks, posting a highly recurring business volume over the years (and strong momentum in electronic payments) and ii) a portfolio of fintechs offering multiple products to Group and external customers (book entry securities, merchant solutions, e-commerce, solutions for Works Councils, etc.). This business model generates lower volatility in earnings trends; for Financial Solutions & Expertise, the sensitivity of future • cash flows, as forecast in the business plan, to a 5%-point fall in recurring net income combined with an increase in the target prudential ratio of 25 basis points would have a negative impact on the CGU’s value of -5.3% and would have no impact in terms of impairment.

Note 4

Notes to the income statement

5

Key points Net banking income (NBI) includes: interest income and expenses; • fees and commissions; • net gains or losses on financial instruments at fair value • through profit or loss;

net gains or losses on financial instruments at fair value • through other comprehensive income; net gains or losses resulting from the derecognition of • financial assets at amortized cost;

net income from insurance businesses; • income and expenses from other activities. •

4.1

INTEREST AND SIMILAR INCOME AND EXPENSES

Accounting principles Interest income and expenses are recognized in the income statement for all financial instruments measured at amortized cost using the Effective Interest Method, which include interbank and customer items, the portfolio of securities at amortized cost, subordinateddebt and lease liabilities. This item also includes interest receivable on fixed income securities classified as financial assets at fair value through other comprehensiveincome and hedging derivatives, it being specified that accrued interest on cash flow hedging derivatives is taken to income in the same mannearnd period as the accrued interest on the hedged item. Interest income also consists of interest on non-SPPI debt instruments not held under a trading model as well as interest on the related economic hedges (classified by default as instruments at fair value through profit or loss).

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE