BPCE - Risk Report - Pillar III 2020

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

DETAILED QUANTITATIVE DISCLOSURES

EU CCY B1 – VALUE OF EXPOSURES AND RWA USED TO DETERMINE THE COUNTERCYCLICAL CAPITAL BUFFER (CCYB)

12/31/2020

CCyB requirement specific to Groupe BPCE

CCyB rate specific to Groupe BPCE

Breakdown by country in millions of euros

CCyB rate

Exposures

RWAs

Bulgaria

0.50% 1.00% 1.00% 0.25% 1.00% 1.50% 0.00%

5

2

Czech Republic

16

13

Hong Kong Luxembourg

3,328

1,341 5,375

41,039

4

Norway Slovakia

668

197

57

26

Other countries with a 0% risk weight

831,975 877,089

342,951 349,905

TOTAL

0.0083%

36

EU PV1 – PRUDENT VALUATION ADJUSTMENTS

12/31/2020

Equity exposures

Interest rates

o/w in the trading book

o/w in the banking book

Forex

Credit Commodities

Total

in millions of euros

uncertainty, o/w:

244

20

7 2 5

100

- - - -

370 133

238

132

Mid-market value

59 54

7

65 23 12

41 67

92 27 13

Closeout cost Concentration

13

94

131

1

-

144

130

Early termination Model risk Operational risk

36 11

2 2

1 1

-

- -

39 22 11 22 48

26 12 11 18 25

13 11

9

Investing and funding costs Unearned credit spreads Future administrative costs Other TOTAL ADJUSTMENT

-

4

17

22

7

1

-

23

307

46

16

110

-

512

330

182

75

RISK REPORT PILLAR III 2020 | GROUPE BPCE