BPCE - 2020 Universal Registration Document

FINANCIAL REPORT

STATUTORY AUDITORS’ REPORT ON THE CONSOLIDATED FINANCIAL STATEMENTS

EMPHASIS OF MATTER III. Without qualifying the opinion expressed above, we draw your attention to the matter described in Note 5.2.3 to the consolidated statements regarding the change in presentation of option premiums. JUSTIFICATION OF ASSESSMENTS - KEY AUDIT MATTERS Due to the global crisis related to the Covid-19 pandemic, the financial statements of this period have been prepared and audited under specific conditions. Indeed, this crisis and the exceptional measures taken in the context of the state of sanitary emergency have had numerous consequences for companies, particularly on their operations and their financing, and have led to greater uncertainties on their future prospects. Those measures, such as travel restrictions and remote working, have also had an impact on the companies’ internal organization and the performance of the audits. In this complex and evolving context and in accordance with the requirements of Articles L. 823-9 and R. 823-7 of the French Commercial Code ( Code de commerce ) relating to the justification of our assessments, we inform you of the key audit matters relating to risks of material misstatement that, in our professional judgment, were of most significance in our audit of the consolidated financial statements of the current period, as well as how we addressed those risks. These matters were addressed in the context of our audit of the consolidated financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on specific items of the consolidated financial statements. Impairment of loans and receivables (stages 1, 2 and 3) Risk identified and main judgements

Loan outstandings having a proven counterparty risk (Stage 3) are mainly impaired on an individual basis. These impairments are assessed by Management depending on estimated future recoverable cash flows for each loan concerned. We considered the identification and assessment of credit risk to be a key audit matter for the fiscal year 2020, in the context of the Covid-19 crisis, given that the provisions resulting therefrom represent significant estimates for the preparation of the accounts and requires Management to exercise judgement with respect to classifying the loan outstandings in the different stages, determining the Stage 1 and 2 impairment calculation inputs and methods and the assessment of the amount of provisioning for Stage 3 loan outstandings onan individual basis. Exposures to credit and counterpartyrisk on which IFRS 9 impairments are calculated represent approximately 42% of total assets of Groupe BPCE SA at December 31, 2020 (438% and €324 billion of gross outstandingsonly for loans and receivables). The impairmenton outstandingand related loans amounts to €3.3 billion of which €0.2 billion for Stage 1, €0.4 billion for Stage 2, €2.6 billion for Stage 3. The cost of risk for fiscal year 2020 amounts to €1.2 billion. For more information on accounting principles and exposures, please see Notes 5.5 and 7.1 to the consolidated financial statements. The impacts of the Covid-19 crisis on credit risk are mentioned in Note 1.5.2.1 to the consolidated financial statements.

The Groupe BPCE SA is exposed to credit risk. This risk result from the inability of one of its clients or counterparties to honor their financial commitments, in particular, covering their loan activities. In accordance with the “impairment” aspect of IFRS 9, your Group records impairments and provisions intended to cover expected (Stages 1 and 2 loans) or proven (Stage 3loan) losses. Impairment for expected losses (Stages 1 and 2) is mainly determined based on models developed by BPCE integrating different inputs (probability of default, loss rate in the event of default, PD, LGD forward-lookinginformation…), in addition to, if necessary, sectoral-based charges based on local specificities. The Covid-19 pandemic led to health and economic crisis which affect the ability of borrowers to reimburse their loans, with contrasted situations depending on geographic zones and lines of business. In response to this crisis, government measures specific to each country have been deployed (partial unemployment, state-guaranteed loans, moratoriums, etc.). In this context of strong uncertainty due to the evolving nature of the pandemic and the lack of historical comparatives, the modalities of the impairment for expected losses calculation have known some adjustments, presented in Note 1.5.2.1 to the consolidated statements. These expected credit losses are supplemented when needed with sector- based impairments, taking into account local particularities.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE