BPCE - Risk Report - Pillar III 2020

4

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

DETAILED QUANTITATIVE DISCLOSURES

LR2 (LRCOM) – LEVERAGE RATIO The leverage ratio is determined by dividing Tier 1 capital by on- and off-balance sheet exposures calculated quarterly using a prudential approach. Derivatives and repurchase agreements are specifically restated. A conversion factor in accordance with CRR Article 429 (10).

12/31/2020

12/31/2019

in millions of euros

On-balance sheet exposure 1 On-balance sheet items (excluding derivatives and SFTs and after application of the Quick Fix regulation)

1,071,091

1,075,767

2 3

(Asset amounts deducted in determining Basel III Tier 1 capital) Total on-balance sheet exposures (excluding derivatives and SFTs)

(5,688)

(6,722)

1,065,403

1,069,045

Derivative exposures

-

-

4 Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral netting)

9,740

8,224

5

Add-on amounts for PFE associated with all derivatives transactions

20,404

22,017

6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework

-

-

7 8 9

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

(17,162)

(15,581)

(Exempted CCP leg of client-cleared trade exposures) Notional amount of written credit derivatives

(137)

-

18,244 (13,649) 17,441

13,176 (9,010) 18,825

10 11

(Notional offsets and add-on deductions for written credit derivatives)

Total derivative exposures

Repurchase agreements

-

-

12 Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions

71,662 (7,909)

92,519 (22,150)

13 14 15 16 17 18 19

(Netted amounts of cash payables and cash receivables of gross SFT assets) Securities financing transactions: CCR exposure for SFT assets Agent transaction exposures pursuant to Article 429 ter (6) of the CRR

6,461

7,079

-

-

Total securities financing transaction exposures

70,214

77,448

Other off-balance sheet items

-

-

Off-balance sheet exposure at gross notional amount (Adjustments for conversion to credit equivalent amounts)

190,213 (105,129)

182,953 (103,123)

Other off-balance sheet items

85,085

79,830

Capital and total exposures

-

-

20 21

Tier 1 capital

68,978

66,015

Total exposures (sum of lines 3, 11, 16 and 19)

1,238,142

1,245,148

Leverage ratio 22

Basel III leverage ratio

5.6%

5.3%

76

RISK REPORT PILLAR III 2020 | GROUPE BPCE

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