BPCE - 2019 Universal Registration Document

6

RISK REPORT

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

RWAS BY TYPE OF RISK AND BY BUSINESS LINE

Basel III phased-in

Operational risk

Credit risk (1)

CVA

Market risk

in millions of euros

December 31, 2018 (2) December 31, 2019 December 31, 2018 (2) December 31, 2019 December 31, 2018 (2) December 31, 2019 December 31, 2018 (2) December 31, 2019 December 31, 2018 (2) DECEMBER 31, 2019

235,024 258,345

134

1,154 1,584

24,604 23,961

260,917 283,957 11,697 13,922 59,760 62,051 60,047 61,669 392,420 421,599

66

Retail banking

7,041 9,277

-

-

4,656 4,644 7,053 6,879 1,744 3,813

-

-

Asset & Wealth Management

43,755 45,183 55,623 54,957 341,442 367,762

1,660 1,335

7,292 8,654 2,158 2,650

Corporate & Investment Banking

522 249

Other

2,317 1,650

10,604 12,888

38,057 39,298

TOTAL RISK-WEIGHTED ASSETS

Including settlement risk. (1) Segment information was modified from March 31, 2019 in order to present Groupe CFF and Groupe BPCE I as run-off activities; the data shown in the above table are estimates (2) based on this presentation at December 31, 2018.

NON-DEDUCTED PARTICIPATIONS IN INSURANCE UNDERTAKINGS

Value

in millions of euros

Holdings of own funds instruments of a financial sector entity where the institution has a significant investment not deducted from own funds (before risk-weighting)

6,467

TOTAL RISK-WEIGHTED ASSETS

21,226

Management of capital adequacy 6.4.5

The methods used by Groupe BPCE to calculate risk-weighted assets are described in section 4.4 “Regulatory capital requirements and risk-weighted assets”.

REGULATORY CAPITAL AND CAPITAL RATIOS REGULATORY CAPITAL AND BASEL III PHASED-IN CAPITAL RATIOS

12/31/2019 Basel III phased-in

12/31/2018 Basel III phased-in

in millions of euros

Common Equity Tier 1 (CET1) Additional Tier 1 (AT1) capital TOTAL TIER 1 (T1) CAPITAL

65,992

62,178

23

344

66,015 13,309 79,325 367,728

62,522 14,360 76,882 341,436

Tier 2 (T2) capital

TOTAL REGULATORY CAPITAL

Credit risk exposure

Settlement/delivery risk exposure

35

6

CVA risk exposure Market risk exposure

1,650

2,317

12,888 39,298 421,599

10,604 38,057 392,420

Operational risk exposure TOTAL RISK EXPOSURE Capital adequacy ratios Common Equity Tier 1 ratio

15.7% 15.7% 18.8%

15.8% 15.9% 19.6%

Tier 1 ratio

Total capital ratio

594

UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

www.groupebpce.com