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

78 Provisions eligible for inclusion in Tier 2 capital in respect of exposures subject to internal ratings-based approach (prior to application of cap) Cap for inclusion of provisions in Tier 2 capital under internal ratings-based approach Capital instruments subject to phase-out arrangements (only applicable between Jan. 1, 2013 and Jan. 1, 2022) 80 Current cap on CET1 instruments subject to phase-out arrangements Amount excluded from CET1 capital due to cap (excess over cap after redemptions and maturities) 82 Current cap on AT1 instruments subject to phase-out arrangements 79 81

457

-

567

-

4

951

-

853

-

-

-

-

-

-

- -

-

- -

45

366

Amount excluded from AT1 capital due to cap (excess after redemptions and maturities)

83

106

- -

548

- -

84 Current cap on T2 instruments subject to phase-out arrangements Amount excluded from T2 capital due to cap (excess over cap after redemptions and maturities) 85

19

25

149

-

586

-

TABLE 15 – ADDITIONAL TIER 1 CAPITAL

12/31/2019 Basel III phased-in

12/31/2018 Basel III phased-in

in millions of euros

Ineligible AT1 capital instruments subject to grandfathering clause (1)

45

366 (22)

Holdings of AT1 instruments of financial sector entities where the Group has an investment above the 10% threshold

(22)

Phase-in measures applicable to AT1 capital ADDITIONAL TIER 1 (AT1) CAPITAL

-

-

23

344

After the application of phase-in measures, i.e. 30% of perpetual subordinated notes oustanding at 12/31/2019 and 40% at 12/31/2018. (1)

TABLE 16 – ISSUES OF DEEPLY SUBORDINATED NOTES AT DECEMBER 31, 2019

Outstandings in original currency (in millions)

Net prudential outstandings (in millions of euros)

Net outstandings (in millions of euros)

Issuer

Issue date 1/25/2005

Currency

Natixis TOTAL

EUR

156

152 152

45 45

A detailed breakdown of debt instruments recognized as Tier 1 capital, as required by Commission Implementing regulation No. 1423/2013, is published at the following address: https://groupebpce.com/en/investors/results-and-publications/pillar-iii

TABLE 17 – TIER 2 CAPITAL

12/31/2019 Basel III phased-in

12/31/2018 Basel III phased-in

in millions of euros

Eligible Tier 2 capital instruments

14,410

15,088

Own Tier 2 instruments

(75)

(76)

Ineligible Tier 2 capital instruments subject to grandfathering clause*

19

25

Holdings of T2 instruments of financial sector entities where the Group has an investment above the 10% threshold

(1,501)

(1,244)

Phase-in measures applicable to Tier 2 capital Provisions in excess of expected losses

-

-

457

567

TIER 2 CAPITAL

13,309

14,360

Amount after the application of phase-in measures, i.e. 30% of perpetual subordinated notes outstanding at 12/31/2019 and 40% at 12/31/2018. *

71

RISK REPORT PILLAR III 2019 | GROUPE BPCE