BPCE - 2018 Risk report / Pillar III

3 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Detailed quantitative disclosures

TABLE 19 – LEVERAGE RATIO ➡ The leverage ratio is determined by dividing Tier

1 capital by on- and off-balance sheet exposures calculated quarterly using a prudential approach. Derivativesand repurchaseagreementsare specificallyrestated. A conversionfactor is applied to commitmentsgiven, in accordance with CRR Article429(10).

12/31/2018

12/31/2017

in millionsof euros

On-balancesheet exposure 1 On-balance sheet items (excluding derivatives and SFTs) 2 (Asset amounts deducted in determining Basel IIITier 1 capital) 3 Total on-balancesheet exposures (excluding derivatives and SFTs)

1,016,905

1,004,979

(5,672)

(6,499)

1,011,233

998,480

Derivativeexposures

Replacement costassociatedwith allderivativestransactions( i.e.

net of eligiblecash variation margin

4

and/or bilateral netting)

7,752

8,333

5 Add-on amountsfor PFE associated with all derivatives transactions

23,087

22,868

6 Gross-up for derivativescollateralprovidedwhere deductedfrom thebalancesheet assets pursuantto the operative accounting framework 7 (Deductions ofreceivablesassets for cashvariationmargin providedin derivativestransactions)

(12,940)

(13,037)

8 (Exempted CCP legof client-cleared trade exposures) 9 Adjusted effective notional amount ofwritten credit derivatives

-

11,253 (8,766) 20,387

16,209

10 (Adjusted effectivenotional offsets and add-on deductions for writtencredit derivatives)

(14,213)

11 Total derivative exposures

20,160

Securities financing transaction exposures 12 GrossSFT assets (with no recognitionof netting), after adjusting for sale accountingtransactions

94,908 (24,155)

98,875

13 (Nettedamounts of cash payables and cashreceivablesof gross SFT assets) 14 Securitiesfinancingtransactions:CCRexposure for SFTassets 15 Agent transactionexposures pursuant toArticle 429b (6) of the CRR 16 Total securities financing transaction exposures

(19,761)

6,983

6,361

77,736

85,475

Otheroff-balance sheet items 17 Off-balance sheetexposure atgross notional amount 18 (Adjustmentsfor conversion tocredit equivalent amounts)

167,636 (93,581) 74,055

161,421 (88,293)

19 Off-balance sheet items Capital andtotal exposures 20 Tier 1 capital

73,128

62,522

59,490

21 TOTALEXPOSURES(SUM OF LINES3, 11, 16 AND 19)

1,183,411

1,177,243

Leverage ratio 22 Basel IIIleverage ratio

5.28%

5.05%

62

Risk Report Pillar III 2018