BPCE - Risk Report - Pillar III 2020

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

COMPOSITION OF REGULATORY CAPITAL

Common Equity Tier 1 (CET1)

CORE CAPITAL AND DEDUCTIONS Common Equity Tier 1 consists of: share capital; • additional paid-in capital or merger premiums; • reserves, including revaluation differences and gains or losses • recognized directly in other comprehensive income; retained earnings; • net income attributable to equity holders of the parent; • non-controlling interests in banking or related subsidiaries for • the share after CET1 eligibility caps. The following deductions are made: treasury shares held and measured at their carrying amount; •

intangible assets (except software covered by the “quick fix” • regulation), including set-up costs and goodwill; deferred tax assets and liabilities that rely on future • profitability; prudential filters resulting from CRR Articles 32, 33, 34 and 35: • gains or losses on cash flow hedges, gains on transactions in securitized assets, own credit risk; negative amounts arising from the comparison between • provisions and expected losses (in this calculation, performing loans are clearly separated from loans in default); equity interests in eligible banking, financial and insurance • institutions, according to the rules on allowances for these holdings and the phase-in period; value adjustments arising from the prudent valuation of assets • and liabilities measured at fair value according to a prudential method, deducting any value adjustments.

4

BPCE02 – CHANGES IN CET1 CAPITAL

CET1 capital

in millions of euros

12/31/2019

65,992

Cooperative share issues

1,190 1,264

Income net of proposed dividend payout

Other items 12/31/2020

524

68,969

BPCE03 – BREAKDOWN OF NON-CONTROLLING INTERESTS (MINORITY INTERESTS)

Non-controlling interests

in millions of euros

CARRYING AMOUNT (REGULATORY SCOPE) – 12/31/2020 Perpetual deeply subordinated notes classified as non-controlling interests

5,968 (152) (562) (762) 4,438 (209) 4,229 (55)

Ineligible non-controlling interests

Proposed dividend payout

Caps on eligible non-controlling interests

NON-CONTROLLING INTERESTS (EXCLUDING OTHER ITEMS)

Other items

PRUDENTIAL AMOUNT – 12/31/2020

47

RISK REPORT PILLAR III 2020 | GROUPE BPCE