BPCE - 2020 Universal Registration Document

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CAPITAL MANAGEMENT AND CAPITAL ADEQUACY RISK FACTORS & RISK MANAGEMENT

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)

6,775

TOTAL RISK-WEIGHTED ASSETS

22,259

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

12/31/2020 Basel III phased-in

12/31/2019 Basel III phased-in

in millions of euros

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

68,969

65,992

8

23

68,977

66,015 13,309 79,324 367,728

Tier 2 (T2) capital

9,257

TOTAL REGULATORY CAPITAL

78,234 376,490

Credit risk exposure

Settlement/delivery risk exposure

6

35

CVA risk exposure Market risk exposure

1,969

1,650

14,439 38,318 431,222

12,888 39,298 421,599

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

16.0% 16.0% 18.1%

15.7% 15.7% 18.8%

Tier 1 ratio

Total capital ratio

CHANGES IN GROUPE BPCE’S CAPITAL ADEQUACY IN 2020 The Common Equity Tier 1 ratio was 16.0% on December 31, 2020 versus 15.7% on December 31, 2019. The change in the Common Equity Tier 1 ratio in 2020 can also be attributed to: the increase in Common Equity Tier 1 capital, driven in • particular by earnings taken to reserves (+30 basis points) and cooperative share inflows (+28 basis points); the increase in risk-weighted assets (-35 basis points), with • the impact of the early implementation of CRR2 allowing a lower weighting of SME exposures (+17 basis points), and the impact of TRIM Corporate at Natixis (-21 basis points) On December 31, 2020, the Tier 1 ratio came out at 16.0% and the total capital ratio at 18.1%, compared to 15.7% and 18.8%, respectively, on December 31, 2019. GROUPE BPCE CAPITAL ADEQUACY MANAGEMENT POLICY Capital and total loss absorbing capacity (TLAC) targets are determined according to Groupe BPCE’s target ratings, in line with prudential constraints.

Capital adequacy management is therefore subject to a high management buffer which not only greatly exceeds prudential constraints on capital adequacy ratios, but is also well below the trigger for the Maximum Distributable Amount. Capital and TLAC management is thus less sensitive to prudential changes ( e.g. not dependent on G-SIB classification). As a result, the Group very predominantly builds its total loss absorbing capacity from CET1 and additionally from subordinated MREL-eligible and TLAC-eligible debt (mainly Tier 2 capital and senior non-preferred debt). The issues of these eligible debts are carried out by BPCE. Finally, in addition to TLAC, Groupe BPCE carries bail-inable debt, the majority of which is accepted for the calculation of MREL: accordingly, senior preferred debt issued by BPCE is eligible for MREL, with Groupe BPCE leaving the possibility of meeting MREL requirements open, beyond its total loss absorbing capacity, with any bail-inable debt instrument. The Single Resolution Board set the Group’s MREL requirement in January 2020 (equivalentto 24.2% of risk-weighted assets at end-2017), which has now been met with room to spare. As a result, the Group does not need to modify or increase its issuance program. This requirement will be updated in the first half of 2021 by the Single Resolution Board and ACPR’s Resolution department on the basis of the BRRD2 directive.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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