BPCE - Risk Report - Pillar III 2020

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

DETAILED QUANTITATIVE DISCLOSURES

– ADDITIONAL TIER 1 CAPITAL

12/31/2019 Basel III phased-in

12/31/2020 Basel III phased-in

in millions of euros

Ineligible AT1 capital instruments subject to grandfathering clause (1)

30

45

Holdings of AT1 instruments of financial sector entities where the group has an investment above the 10% threshold

(22)

(22)

Phase-in measures applicable to AT1 capital ADDITIONAL TIER 1 (AT1) CAPITAL

-

-

8

23

Amount after the application of phase-in measures, i.e. 20% of outstanding perpetual subordinated notes on 12/31/2020 and 30% on 12/31/2019. (1)

4

BPCE09 – ISSUES OF DEEPLY SUBORDINATED NOTES AT DECEMBER 31, 2020

Outstandings in original currency (in millions)

Net prudential outstandings (in millions of euros)

Net outstandings (in millions of euros)

Issuer

Issue date

Currency

Natixis TOTAL

01/25/2005

EUR

156

152 152

30 30

A detailed breakdown of debt instruments recognized as Tier 1 capital, as required by Commission Implementing regulation No. 1423/2013, is published at the following address: https://groupebpce.com/en/investors/results-and-publications/pillar-iii

BPCE10 – TIER 2 CAPITAL

12/31/2019 Basel III phased-in

12/31/2020 Basel III phased-in

in millions of euros

Eligible Tier 2 capital instruments

10,805

14,410

Own Tier 2 instruments

(50)

(75)

Ineligible Tier 2 capital instruments subject to grandfathering clause*

12

19

Holdings of T2 instruments of financial sector entities where the Group has an investment above the 10% threshold

(2,105)

(1,501)

Phase-in measures applicable to Tier 2 capital Provisions in excess of expected losses

-

-

594

457

TIER 2 CAPITAL

9,257

13,309

Amount after the application of phase-in measures, i.e. 20% of outstanding perpetual subordinated notes on 12/31/2020 and 30% on 12/31/2019. *

73

RISK REPORT PILLAR III 2020 | GROUPE BPCE