BPCE - 2018 Registration document

RISK REPORT Capital management and capital adequacy

DTAs assets that rely on future profitability and arise from - temporary differences have been gradually deducted in 20% increments since 2014 (and have therefore been fully deducted since January 1, 2018) for the share exceeding the common allowance for equity interests of more than 10%. In 2017, the remaining 20% was still accounted for in accordance with CRD III; the items covered by the allowance are weighted at 250%, Common Equity Tier 1 instruments held in equity interests of - more than 10% have been fully deducted since January 1, 2018: the residual amount of the share exceeding the allowance, applicable to DTAs as referred to in the previous point, is deducted using the same methods as in the point above. The items covered by the allowance are weighted at 250%, hybrid debt instruments eligible to be included in capital under - Basel II, and which are no longer eligible under the new regulation, may under certain conditions be eligible for the grandfathering clause. In accordance with this clause, they are

gradually excluded over an eight-year period, with a 10% decrease each year. Since January 1, 2018, 40% of all such instruments declared at December 31, 2013 have been recognized, then 30% in 2019 and so forth in subsequent years. The unrecognized share may be included in the lower equity tier if it meets the relevant criteria. Credit institutions must comply with prudential requirements, which are based on three pillars that form an indivisible whole: PILLAR I Pillar I sets minimum requirements for capital. It aims to ensure that banking institutions hold sufficient capital to provide a minimum level of coverage for their credit risk, market risk and operational risk. The bank can use standardized or advanced methods to calculate its capital requirement.

REVIEW OF MINIMUM CAPITAL REQUIREMENTS UNDER PILLAR I ➡

2014

2015

2016

2017

2018 From 2019

Minimum regulatory capital requirements Common Equity Tier 1 (CET1)

4.0% 4.5% 4.5% 4.5% 4.5% 4.5% 5.5% 6.0% 6.0% 6.0% 6.0% 6.0% 8.0% 8.0% 8.0% 8.0% 8.0% 8.0%

Total Tier 1 capital (T1 = CET1 + AT1)

Regulatory capital (T1 + T2) Additional requirements Capital conservation buffer

0.625% 1.250% 1.875% 2.5% 0.25% 0.50% 0.75% 1.0% 0.625% 1.250% 1.875% 2.5%

G-SIB buffer applicable to Groupe BPCE (1)

Maximum countercyclical buffer applicable to Groupe BPCE (2) Maximum total capital requirements for Groupe BPCE Common Equity Tier 1 (CET1)

4.0% 4.5% 6.0% 7.5% 9.0% 10.5% 5.5% 6.0% 7.5% 9.0% 10.5% 12.0% 8.0% 8.0% 9.5% 11.0% 12.5% 14.0%

Total Tier 1 capital (T1 = CET1 + AT1)

Regulatory capital (T1 + T2)

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G-SIB buffer: buffer for global systemically important banks (1) The countercyclical buffer is calculated quarterly. It was virtually nil in 2018, as Groupe BPCE’s activities are mainly carried out in France or in countries which have set this buffer at 0%. (2)

PILLAR II Pillar II establishes a process of prudential supervision that complements and strengthens Pillar I. It consists of: an analysis by the bank of all of its risks, including those already ● covered by Pillar I; an estimate by the bank of the capital requirement for these risks; ● a comparison by the banking supervisor of its own analysis of the ● bank’s risk profile with the analysis conducted by the bank, in order to adapt its choice of prudential measures where applicable, which may take the form of capital requirements exceeding the minimum requirements or any other appropriate technique.

For fiscal year 2018, the total capital ratio in force for Groupe BPCE under Pillar II (P2R) was 9.5%, plus a 1.875% capital conservation buffer and a 0.75% G-SIB buffer.

PILLAR III The purpose of Pillar III is to establish market discipline through a series of reporting requirements. These requirements – both qualitative and quantitative – are intended to improve financial transparency in the assessment of risk exposure, risk assessment procedures and capital adequacy.

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Registration document 2018