BPCE - 2019 RISK REPORT Pillar III

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

DETAILED QUANTITATIVE DISCLOSURES

TABLE 19 – VALUE OF EXPOSURES AND RWA USED TO DETERMINE THE COUNTERCYCLICAL CAPITAL BUFFER (CCYB)

12/31/2019

CCyB requirement specific to Groupe BPCE

CCyB rate specific to Groupe BPCE

Breakdown by country in millions of euros

CCyB rate

Exposure

RWA amount

Bulgaria

0.50% 1.25% 1.00% 0.25% 1.00% 2.00% 1.00% 1.75% 1.00% 2.00% 2.50% 1.50%

7

2 8

Czech Republic

15

Denmark

439

384

France

674,219

286,800

4

United Kingdom

9,669 2,965 2,128

3,994

Hong Kong

894 800

Ireland Iceland

5

4 3

Lithuania Norway Sweden Slovakia

62

748 606

218 301

52

24

Other countries with a 0% risk weight

140,333 831,245

46,048 339,482

TOTAL

0.2354%

992

TABLE 20 – PRUDENT VALUATION ADJUSTMENTS

12/31/2019

Interest rates

Foreign exchange

o/w in the trading book

o/w in the banking book

Equity

Credit Commodities

Total

in millions of euros

Closeout uncertainty, of which:

282

31 10 20

3 0 2

93 48 28 16

1 0 0

409 158 116 135

239

170 115

Mid-market value

99 66

43 82

Closeout cost Concentration

34 21

118

1

-

-

114

Early termination Model risk Operational risk

19 11

6 3

0 0

0 5

-

25 19 11 21 76

13 13

12

0

6 3 7

Investing and funding costs Unearned credit spreads Future administrative costs Other TOTAL ADJUSTMENT

8

14 46

4

62

1

7

1

30

317

101

5

105

1

561

333

228

73

RISK REPORT PILLAR III 2019 | GROUPE BPCE