BPCE - Risk Report - Pillar III 2020

1

KEY FIGURES

KEY FIGURES FULLY-LOADED CAPITAL RATIOS (1) (as a %)

TOTAL FULLY LOADED REGULATORY CAPITAL (1) (in billions of 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

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 %

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.

6

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com