BPCE - 2019 RISK REPORT Pillar III

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CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

DETAILED QUANTITATIVE DISCLOSURES

TABLE 14 – BREAKDOWN OF REGULATORY CAPITAL BY CATEGORY The following table follows the own funds disclosure template presented in Annex VI of Commission Implementing regulation (EU) No. 1423/2013 of December 20, 2013. In order to simplify matters, the table uses the headings presented in Annex VI, i.e. the phase-in headings.

12/31/2019

12/31/2018

(C) Amounts subject to pre-regulation (EU)

(C) Amounts subject to pre-regulation (EU)

No. 575/2013 treatment or

No. 575/2013 treatment or

(A) Amount at disclosure date

(A) Amount at disclosure date

prescribed residual amount of regulation (EU) No. 575/2013

prescribed residual amount of regulation (EU) No. 575/2013

in millions of euros

Common Equity Tier 1 capital: instruments and reserves

Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus

1 2 3

26,740

- - -

23,513

- - -

Retained earnings

3,157

3,303

Accumulated other comprehensive income (and other reserves) Directly issued capital subject to phase out from CET1 (only applicable to non-joint stock companies) Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1 capital) Independently reviewed interim profits net of any foreseeable charge or dividend Common Equity Tier 1 (CET1) capital before regulatory adjustments

35,553

34,210

4

-

-

-

-

5

5,059

5,059

4,859

4,859

5a

2,675

-

2,641

-

6

73,184

-

68,526

-

Common Equity Tier 1 (CET1): regulatory adjustments

-

7 8

Prudent valuation adjustments Goodwill (net of related tax liability)

(561)

- -

(545)

- -

(5,101)

(5,098)

Other intangibles other than mortgage-servicing rights (net of related tax liability) Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) (negative amount)

-

-

-

-

9

10

(706)

(706)

(547)

(684)

11 Cash flow hedge reserve

218

- -

292

- -

12 Shortfall of provisions to expected losses

(387)

(252)

Securitization gain on sale (as set out in paragraph 36 of Basel III framework) Gains and losses due to changes in own credit risk on fair valued liabilities

13

-

-

-

-

14

68

- -

(155)

- -

15 Defined-benefit pension fund net assets

-

-

Investments in own shares (if not already netted off paid-in capital on reported balance sheet)

16

(57)

(57)

(44)

(44)

17 Reciprocal cross-holdings in common equity

-

-

-

-

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold) Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold)

18

-

-

-

-

19

- -

- -

- -

- -

20 Mortgage servicing rights (amount above 10% threshold) Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) 21

- - - - -

- - - - -

- - - - -

- - - - -

22 Amount exceeding the 15% threshold

23 of which: significant investments in the common stock of financials

24 of which: mortgage servicing rights

25 of which: deferred tax assets arising from temporary differences

68

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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