BPCE - Risk Report - Pillar III 2020

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

DETAILED QUANTITATIVE DISCLOSURES

EU CC1 – BREAKDOWN OF REGULATORY CAPITAL BY CATEGORY The following table follows the own funds disclosure template presented in Annex VI of Commission Implementing regulation (EU) No. 1423/2013 of December 20, 2013. In order to simplify matters, the table uses the headings presented in Annex VI, i.e. the phase-in headings.

12/31/2020

12/31/2019

(C) Amounts subject to pre-regulation treatment or prescribed residual amount of regulation (EU) No. 575/2013

(C) Amounts subject to pre- treatment or prescribed residual amount of regulation (EU) No. 575/2013

4

(A) Amount at disclosure date

Amount at disclosure date

in millions of euros

Common Equity Tier 1 capital: instruments and reserves 1 Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus 3 Accumulated other comprehensive income (and other reserves) 4 Directly issued capital subject to phase out from CET1 (only applicable to non-joint stock companies) Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1 capital) 5a Independently reviewed interim profits net of any foreseeable charge or dividend 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments Common Equity Tier 1 (CET1): regulatory adjustments 2 Retained earnings

27,481

- - -

26,740

- - -

3,094

3,157

39,011

35,553

-

-

-

-

4,229

-

5,059

0

1,246

-

2,675

-

75,061

- -

73,184

-

-

7 Prudent valuation adjustments 8 Goodwill (net of related tax liability)

(512)

- -

(561)

- -

(4,834)

(5,101)

9 Other intangibles other than mortgage-servicing rights (net of related tax liability) 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 are met) (negative amount)

-

-

-

-

(698)

- - -

(706)

- - -

11 Cash flow hedge reserve

258

218

12 Shortfall of provisions to expected losses

(391)

(387)

13 Securitization gain on sale (as set out in Paragraph 36 of Basel III framework) 14 Gains and losses due to changes in own credit risk on fair valued liabilities

-

-

-

-

86

- -

68

- -

15 Defined-benefit pension fund net assets

-

-

16 Investments in own shares (if not already netted off paid-in capital on reported balance sheet)

(2)

- -

(57)

- -

17 Reciprocal cross-holdings in common equity

-

-

18 Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold) 19 Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) 20 Mortgage servicing rights (amount above 10% threshold)

-

-

-

-

- -

- -

- -

- -

69

RISK REPORT PILLAR III 2020 | GROUPE BPCE