BPCE - 2019 RISK REPORT Pillar III

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

DETAILED QUANTITATIVE DISCLOSURES

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

26 National specific regulatory adjustments

(667)

-

-

-

Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount) TOTAL REGULATORY ADJUSTMENTS TO COMMON EQUITY TIER 1 CAPITAL

4

27

-

-

-

-

28

(7,193) 65,992

- -

(6,348) 62,178

- -

29 Common Equity Tier 1 capital (CET1) Additional Tier 1 (AT1) capital: instruments

30 Directly issued qualifying Additional Tier 1 instruments plus related stock surplus (i) 31 of which: classified as equity under applicable accounting standards 32 of which: classified as liabilities under applicable accounting standards Directly issued capital instruments subject to phase out from Additional Tier 1 capital Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1 capital) 35 of which: instruments issued by subsidiaries subject to phase out 36 Additional Tier 1 capital before regulatory adjustments 33 34 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 common share capital of the entity (amount above 10% threshold) Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation Regulatory adjustments applied to Additional Tier 1 capital due to insufficient Tier 2 capital to cover deductions TOTAL REGULATORY ADJUSTMENTS TO ADDITIONAL TIER 1 CAPITAL Tier 2 (T2) capital: instruments and provisions 46 Directly issued qualifying Tier 2 instruments plus related stock surplus Directly issued capital instruments subject to phase out from Tier 2 capital Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2) 49 of which: instruments issued by subsidiaries subject to phase out 47 48 40 41 National specific regulatory adjustments 42 43 44 Additional Tier 1 capital (AT1) 45 Tier 1 capital (T1 = CET1 + AT1) Additional Tier 1 (AT1) capital: regulatory adjustments 37 Investments in own Additional Tier 1 instruments 38 Reciprocal cross-holdings in Additional Tier 1 instruments 39

- - -

- - -

- - -

- - -

45

-

366

-

- -

- -

- -

- -

45

-

366

-

- -

- -

- -

- -

-

-

-

-

(22)

(22)

(22)

(22)

-

-

-

-

-

-

-

-

(22)

- - -

(22) 344

- - -

23

66,015

62,522

14,411

-

15,088

-

19

-

25

-

- -

- - - -

- -

- - - -

50 Provisions

457

567

51 Tier 2 capital before regulatory adjustments Tier 2 (T2) capital: regulatory adjustments 52 Investments in own Tier 2 instruments

14,887

15,680

(75)

-

(75)

-

Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities

53

-

-

-

-

69

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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