BPCE - 2020 Universal Registration Document

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FINANCIAL REPORT

BPCE PARENT COMPANY ANNUAL FINANCIAL STATEMENTS

Equity interests and other long-term investments Shares in real estate companies are non-material. Other long-term investments include partner and association certificates for the Deposit Guarantee Fund (for an insignificant amount). The principal investments in associates acquired in 2020 included: acquisition of BPCE Solutions Immobilières from Crédit • Foncier (€7 million); subscription to the capital increase of the Caisse de • Refinancement de l’Habitat (€21 million); subscription to the Surassur capital increase (€17 million). • The main decreases in shares in 2020 are related to the conversion of 50% of Visa Inc. class Csecurities (€84 million). Other movements mainly relate to: the simplified merger of Holassure (decrease of the shares in • affiliated companies by €1,768 million and increase of €1,606 million in the CNP Assurances equity interests). This simplified merger generated a technical loss of €678 million representing part of the unrealized capital gain on these securities. This loss has been fully allocated to CNP securities and will be subject to a valuation test at least annually; the GCE Asap universal transmission of assets (decrease of • €11 million) fully offset by a reversal of provisions. There were no subscriptions or redemptions of TSSDI in 2020. Investments in affiliates As mentioned above, the simplified merger of Holassure reduces the investments in affiliates by €1,768 million. Work on the valuation of investments in associates at December 31, 2020 The valuation of BPCE’s major subsidiaries is based on multi-year forecasts discounted for expected dividend flows (Dividend Discount Model). Forecasts of expected dividend flows are based on the medium-term financial projections prepared by the entities concerned as part of Groupe BPCE’s annual budgetary procedure and prepared for the purposes of the Group’s management. These valuations are based on the concept of value in use. As a result, they take into account the specific situation of BPCE, the fact that these investments belong to Groupe BPCE and their integration within the solidarity mechanism, their strategic interest for BPCE and the fact that they are held with a long-term objective. These valuations are based on technical parameters based on a vision of long-term ownership and Group affiliation and not on valuation parameters. In particular: discount rate: • the determination of the discount rates at December 31, – 2020 for all entities reflects (i) the continued decline in

long-term interest rates observed in the euro zone and more particularly in France and (ii) an assumption of equity risk premium stable compared to last year (historical long-term premium of 5%), these changes are reflected in a reduction of around – 50 basis points in the discount rates used compared with the end of 2019, for Natixis, the discount rate used is 9.5%; it reflects Groupe – BPCE’smembershipand therefore lags behind the rate used by the market (in particular by research analysts covering the security; prudential requirements: • the valuationwork carriedout by DDM is based on the capital – requirements (CET1 capital) applicable to the various entities concerned,reflectingtheir affiliationwith the BPCE SAcentral institution. These are below the levels observed or targeted on the market in a context where banking players operate, at their level, with a capital buffer comparedto the requirements set by the European Central Bank, the lowering of prudential requirements, in particular the – lowering or even the cancellation-in the case of French exposures-of counter-cyclicalbuffers as well as the decision of the ECB of April 2020 to amend the composition of regulatory Pillar II (P2R), have also led to a reduction in the capital requirements of the various entities used for the valuations. These various parameters will be subject to an annual review, according to the evolution of the prospects of the various entities, but also of the macro-economic and regulatory environment. More specifically, the criteria used to determine the valuation of Natixis will be enhanced to take into account the completion of the proposed public offer described in Note 1.4. The valuation work carried out in connection with the closing of the accounts for 2020 mainly resulted in the recognition of the following impairment movements: recognition of impairment of €1,521 millionon Natixis shares, • decreasing the carrying amount to €11,794 million at December 31, 2020. This impairment is in addition to the impairment of €1,954 million recognized at December 31, 2019; an impairment of €164 million on Compagnie Européenne de • Garanties et de Cautions shares, thus reducing the net value to €929 million at December 31, 2020; an impairment of €106 million on BPCE International shares, • thus reducing the carrying amount to €720 million at December 31, 2020; an impairment of €102 million on BPCE Factor shares, thus • reducing the carrying amount to €76 million at December 31, 2020; recognition of a provision reversal of €453 million for Crédit • Foncier shares, increasing the carrying amount to €1,807 million at December 31, 2020; a provision reversal of €87 million on Banque Palatine shares, • thus increasing the carrying amount to €754 million at December 31, 2020.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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