BPCE - 2020 Universal Registration Document

RISK FACTORS & RISK MANAGEMENT

KEY FIGURES

Key figures 6.1

KEY FIGURES FULLY-LOADED CAPITAL RATIOS (1) (as a %) FONDS PROPRES GLOBAUX FULLY LOADED (1) (2) (en milliards d’euros)

TOTAL FULLY LOADED REGULATORY CAPITAL (1) (in billions of euros) FONDS PROPRES GLOBAUX FULLY LOADED (1) (2) (en milliards d’euros)

79.3

78.2

19.2 %

18.8 %

75.4

18.1

%

9.3

13.3

3.6 0.1

3.1

14.5 0.3 24.1

2.1

26.9

25.7

● Tier 2 capital (T2) ● Additional Tier-1 capital ● Cooperative shares ● Reserves

● T2 contribution ● AT1 contribution ● CET1 ratio

16.0

15.7

CET1 60.6

CET1 66.0

CET1 69.0

15.5

42.1

40.3

36.5

12/31/2018

12/31/2019

12/31/2020

12/31/2018

12/31/2019

12/31/2020

BREAKDOWN OF RISK-WEIGHTED ASSETS BY TYPE OF RISK (2)

BREAKDOWN OF RISK-WEIGHTED ASSETS BY BUSINESS LINE

Operational risk 9 %

Other 13 %

Market risk 3 %

Credit risk (2) 88 %

Corporate & Investment Banking 16 %

Retail Banking & Insurance 68 %

12/31/2020 € 431 bn

12/31/2020 € 431 bn

Asset & Wealth Management 3 %

6

TLAC RATIO (as a % of RWAs)

MREL RATIO (as a % of RWAs)

30.2 %

23.6 %

24.9 %

6.6 %

>19.5 %

2.6 % 5.0 %

2.6 % 5.0 %

● Eligible senior preferred debt ● Senior non-preferred ● Tier 2 ● CET1

16.0 %

● Senior non-preferred ● Tier 2 ● CET1

16.0 %

Total MREL requirement 12/31/2020 (3)

12/31/2020

12/31/2020

Target at early 2020

(3)

(1) CRR/CRD IV without transitional measures; additional Tier 1 capital takes into account subordinated issues that have become ineligible at the phase-out rate in force. (2) Including settlement-delivery risk. (3) Based on the ACPR notification of 01/20/2020.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE