BPCE - Risk Report - Pillar III 2020

4

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

SCOPE OF APPLICATION

Scope of application 4.2

Regulatory scope

Groupe BPCE is required to submit consolidated regulatory reports to the European Central Bank (ECB), the supervisory authority for euro zone banks. Pillar III is therefore prepared on a consolidated basis. The regulatory scope of consolidation is established based on the statutory scope of consolidation. The main difference between these two scopes lies in the consolidation method for insurance companies, which are accounted for by the equity method within the regulatory scope, regardless of the statutory consolidation method. The following insurance companies are accounted for by the equity method within the regulatory scope of consolidation: Surassur; • Muracef; • Natixis Assurances; • Compagnie Européenne de Garanties et de Cautions; • Prépar-Vie; • Prépar-IARD; • Oney Insurance; • Oney Life. •

The following insurance companies are accounted for by the equity method within both the statutory and regulatory scopes of consolidation: CNP Assurances; • Caisse de Garantie Immobilière du Bâtiment; • Coface; • Parnasse Garanties. • In addition, since the second quarter of 2020, the Versailles entity is consolidated using the equity method. This change, which concerns only the regulatory scope, since the entity is still considered to be under control within the meaning of IFRS, follows a detailed analysis of the regulatory texts. The latter stipulate that non-financial entities that do not constitute ancillary services within the meaning of the standard are accounted for using the equity method for the purposes of regulatory reporting and the calculation of the various ratios. This decision, approved by the Group’s bodies, allows for an alignment of the scopes used to calculate liquidity and solvency.

EU LI1 – DIFFERENCES BETWEEN ACCOUNTING AND REGULATORY SCOPES OF CONSOLIDATION The table below shows the transition from an accounting balance sheet to a regulatory balance sheet for Groupe BPCE on December 31, 2020.

BPCE statutory scope

Prudential restatements

Regulatory scope BPCE

Assets on 12/31/2020 in millions of euros

Cash and amounts due from central banks Financial assets at fair value through profit or loss

153,403 196,260 30,055 38,529

282 102

153,685 196,362 29,805 38,529

o/w debt instruments • o/w equity instruments •

(250)

o/w loans (excluding repurchase agreements) •

6,154

(20) 308

6,134

o/w repurchase agreements • o/w trading derivatives • o/w security deposits paid •

65,947 40,233 15,340

66,255 40,292 15,347

59

6

Hedging derivatives

9,608

9,608

Financial assets at fair value through other comprehensive income

49,630 26,732 90,018 746,809

156

49,786 26,729 89,656 747,661

Securities at amortized cost

(3)

Loans and receivables due from banks at amortized cost Loans and receivables due from customers at amortized cost Revaluation differences on interest rate risk-hedged portfolios

(361)

852

8,941

8,941

Insurance business investments

124,566

(123,851)

715 711

Current tax assets Deferred tax assets

747

(36)

3,667

45 (9)

3,712

Accrued income and other assets Non-current assets held for sale

16,366

16,357

2,599 4,586

2,599 8,220

Investments in associates

3,634

Investment property

770

770

Property, plant and equipment

6,222 1,038 4,307

(6)

6,215

Intangible assets

(196)

841

Goodwill

(51)

4,256

TOTAL ASSETS

1,446,269

(119,443)

1,326,826

44

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com