BPCE - 2018 Risk report / Pillar III

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Detailed quantitative disclosures

12/31/2018

12/31/2017

Phased-in amount

Phase-in measures

Phased-in amount

Phase-in measures

in millions of euros

3

o/w non-significant investments in the capital ofother financialsector - entities o/w significant investments in the capital ofother financialsectorentities - Amount tobe deducted from or added to Tier 2 capital with regard to additional filtersand deductions requiredpre-CRR TOTALREGULATORYADJUSTMENTSTO TIER 2(T2) CAPITAL Risk weightedassets in respectof amountssubject topre-CRR treatment and transitionaltreatments subjectto phase out asprescribed in Regulation (EU) No. 575/2013 (i.e. CRR residual amounts) o/w adjustmentof the 15% threshold,share comprisingsignificantCET1 - investments, items not deducted fromCET1 (Regulation(EU) No. 575/2013)(residualamounts) o/w adjustmentof the 15% threshold,share comprisingdeferredtax - assets, items not deducted from CET1 (Regulation(EU) No. 575/2013) (residualamounts) o/w items not deducted from AT1 items (Regulation(EU) No. 575/2013) - (residualamounts) o/w items not deducted from T2 items (Regulation(EU) No. 575/2013) - (residualamounts) Tier 2 (T2)capital TOTALCAPITAL(TC = T1 + T2)

-

(2)

56c

-

0

57 58 59

(1,319) 14,360 76,882

(1,160) 14,557 74,047

59a

-

0

60

TOTALRISKWEIGHTED ASSETS

392,420

386,331

Capital ratios andbuffers 61

CommonEquity Tier 1 (as a percentageof risk exposureamount)

15.80% 15.90%

15.28% 15.40%

62

Tier 1 (asa percentageof risk exposure amount)

TOTALCAPITAL(AS A PERCENTAGEOF RISK EXPOSURE AMOUNT) Institutionspecific buffer requirement (CET1 requirement in accordancewith Article 92 (1) (a) pluscapital conservation buffer and countercyclical buffer requirements, plussystemicrisk buffer, plussystemically important institution buffer expressed asa percentageof risk exposure amount)

63

19.60%

19.17%

64 65 66 67

10,379

6,768 4,829

o/w capital conservation bufferequirement - o/w countercyclicalbuffer requirement - o/w systemicrisk buffer requirement -

7,358

78

7

2,943

1,932

o/w GlobalSystemicallyImportantInstitution(G-SII) or OtherSystemically - ImportantInstitution (O-SII)buffer CommonEquity Tier 1availableto meet buffers (as a percentageof risk exposureamount)

67a

2,943

1,932

68 69 70 71

0

[not relevantin EU regulation] [not relevantin EU regulation]

[not relevantin EU regulation] Amountsbelowthe thresholdsfor deduction(before risk weighting)

Direct and indirect holdingsof the capital offinancial sectorentitieswhere the institution doesnot have a significant investment in those entities(amount below 10% thresholdand net of eligibleshort positions) Direct and indirect holdings by the institution ofthe CET 1 instruments of financial sectorentities wherethe institution hasa significant investment in those entities (amountbelow10% threshold and netof eligible short positions)

72

939

895

73 74

1,656

1,696

Empty set in theEU

Deferred tax assetsarising from temporarydifferences (amountbelow10% threshold,net of relatedtax liabilitywherethe conditionsin Article 38 (3)are met)

75

2,072

1,869

Applicable caps on the inclusionof provisionsin Tier 2

Credit riskadjustments included in T2 in respectof exposures subjectto standardizedapproach (priorto the applicationof the cap)

76

57

Risk Report Pillar III 2018