BPCE - 2019 Universal Registration Document

RISK REPORT

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

The TLAC ratio serves the same purpose as subordinated MREL and only applies to G-SIBs. CRR 2, published at the same time as BRRD 2, transcribed TLAC into positive law. As indicated above, the Group has set its own TLAC target above the regulatory requirement, which is 19.74% of RWAs in 2020. TLAC (Total Loss Absorbing Capacity) amounted to €98.2 billion at end-December 2019. The TLAC ratio was 23.3% at December 31, 2019 versus 22.5% at December 31, 2018 (pro forma).

With the notification received in January 2020, the Group also received its subordinated MREL requirement for the first time, set at a level equivalent to 19.5% of RWA at end-December 2017, i.e. 18.7% at end-2019 with a total effective ratio of 23.3%. For subordinated MREL, the numerator only includes junior liabilities through senior non-preferred debt. As BRRD2, published in June 2019, is being transposed into national law, the methodology for setting the requirement may change. The Single Resolution Board, the authority in charge of setting the requirement, will communicate its new methodology.

TLAC

12/31/2019

in millions of euros

Regulatory capital elements of TLAC and adjustments Common Equity Tier 1 capital (CET1) Additional Tier 1 capital (AT1) before TLAC adjustments

65,992

23

Other adjustments

0

TLAC-eligible Tier 1 instruments

66,015 13,309

Tier 2 capital (T2)

Amortized fraction of Tier 2 instruments with residual maturity of at least 1 year

817

TLAC-eligible Tier 2 instruments

14,126 80,141

TLAC arising from regulatory capital Non-regulatory capital elements of TLAC Senior non-preferred debt instruments

18,066 18,066 98,207

TLAC arising from non-regulatory capital instruments before adjustments

Total loss absorbing capacity (elements of TLAC)

Risk-weighted assets and leverage exposure measure for TLAC purposes Total risk-weighted assets adjusted as permitted under the TLAC regime

421,599

Leverage exposure measure

1,245,148

TLAC ratios TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime)

23.29% 7.89%

TLAC (as a percentage of leverage exposure)

The ranking of creditors for TLAC capital elements is as follows by order of repayment priority: senior non-preferred debt, subordinated debt eligible as Tier 2 capital on issuance and subordinated debt eligible as Tier 1 capital on issuance. Eligible liabilities and their features are published at the following address: https://groupebpce.com/en/investors/results-and-publications/pillar-iii

6

597

UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE