BPCE - 2019 RISK REPORT Pillar III

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

REGULATORY FRAMEWORK

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. Banks can use the standardized or advanced approach to calculate their capital requirements.

REVIEW OF MINIMUM CAPITAL REQUIREMENTS UNDER PILLAR I

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2018

2019

Minimum regulatory capital requirements Common Equity Tier 1 (CET1)

4.5% 6.0% 8.0%

4.5% 6.0% 8.0% 2.5% 1.0% 2.5%

Total Tier 1 capital (T1 = CET1 + AT1)

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

1.875% 0.75% 1.875%

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)

9.0%

10.5% 12.0% 14.0%

Total Tier 1 capital (T1 = CET1 + AT1)

10.5% 12.5%

Regulatory capital (T1 + T2)

G-SIB buffer: buffer for global systemically important banks. (1) The countercyclical buffer requirement is calculated quarterly. (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 2019, Groupe BPCE’s total capital ratio requirement was 9.75%, including the Pillar II Requirement (P2R), plus a 2.50% capital conservation buffer, a 1% G-SIB buffer and a persistently low countercyclical buffer (with respect to the Group’s countries of establishment).

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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RISK REPORT PILLAR III 2019 | GROUPE BPCE