BPCE - 2019 RISK REPORT Pillar III

4

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

Investments in the capital and other TLAC liabilities 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 the 10% threshold) Investments in the other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation and where the bank does not own more than 10% of the issued common share capital of the entity: amount previously designated for the 5% threshold but that no longer meets the conditions (for G-SIBs only) Significant investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)

54

-

-

-

-

54a

-

-

-

-

55

(1,502)

(1,502)

(1,244)

(1,244)

56 National specific regulatory adjustments

-

-

-

-

57 TOTAL REGULATORY ADJUSTMENTS TO TIER 2 (T2) CAPITAL

(1,577) 13,309 79,325 421,599

- - - -

(1,319) 14,360 76,882 392,420

- - - -

58 Tier 2 (T2) capital

59 TOTAL REGULATORY CAPITAL (= T1 + T2)

60 TOTAL RISK-WEIGHTED ASSETS

Capital ratios and buffers 61 Common Equity Tier 1 capital (as a percentage of risk-weighted assets)

15.7% 15.7% 18.8%

- - -

15.8% 15.9% 19.6%

- - -

62 Tier 1 capital (as a percentage of risk-weighted assets) 63 Total capital (as a percentage of risk-weighted assets)

Institution specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)

64

15,748 10,540

- - - -

10,379

- - - -

65 o/w capital conservation buffer requirement 66 o/w bank-specific countercyclical buffer requirement

7,358

992

78

67 o/w higher loss absorbency requirement

-

-

67a o/w Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirement (if different from Basel III) National minimum Common Equity Tier 1 capital adequacy ratio (if different from Basel III minimum) National minimum Tier 1 capital adequacy ratio (if different from Basel III minimum) National minimum Total capital adequacy ratio (if different from Basel III minimum) Amounts below the thresholds for deduction (before risk weighting) 68 69 70 71 Non-significant investments in the capital and other TLAC liabilities of other financial entities 73 Significant investments in the common stock of financial entities 72

4,216

-

2,943

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

915

- - -

939

- - -

2,105

1,656

74 Mortgage servicing rights (net of related tax liability)

-

-

Deferred tax assets arising from temporary differences (net of related tax liability)

75

2,142

-

2,072

-

Applicable caps on the inclusion of provisions in Tier 2 capital

Provisions eligible for inclusion in Tier 2 capital in respect of exposures subject to standardized approach (prior to application of cap) Cap on inclusion of provisions in Tier 2 capital under standardized approach

76

-

-

-

-

77

1,863

-

1,818

-

70

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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