BPCE - 2019 RISK REPORT Pillar III

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

MANAGEMENT OF CAPITAL ADEQUACY

Management of capital adequacy 4.5

The methods used by Groupe BPCE to calculate risk-weighted assets are described in section 4.4 “Regulatory capital requirements and risk-weighted assets”.

Regulatory capital and capital ratios

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TABLE 10 – REGULATORY CAPITAL AND BASEL III PHASED-IN CAPITAL RATIOS

12/31/2019 Basel III phased-in

12/31/2018 Basel III phased-in

in millions of euros

Common Equity Tier 1 (CET1) Additional Tier 1 (AT1) capital TOTAL TIER 1 (T1) CAPITAL

65,992

62,178

23

344

66,015 13,309 79,325 367,728

62,522 14,360 76,882 341,436

Tier 2 (T2) capital

TOTAL REGULATORY CAPITAL

Credit risk exposure

Settlement/delivery risk exposure

35

6

CVA risk exposure Market risk exposure

1,650

2,317

12,888 39,298 421,599

10,604 38,057 392,420

Operational risk exposure TOTAL RISK EXPOSURE Capital adequacy ratios Common Equity Tier 1 ratio

15.7% 15.7% 18.8%

15.8% 15.9% 19.6%

Tier 1 ratio

Total capital ratio

CHANGES IN GROUPE BPCE’S CAPITAL ADEQUACY IN 2019 The Common Equity Tier 1 ratio was 15.7% at December 31, 2019 versus 15.8% at December 31, 2018. Several non-recurring items impacted the Common Equity Tier 1 ratio in 2019: the implementation of IFRS 16 (-5 basis points); • the deduction, at the instruction of the supervisory authority, • of the portion of SRF and FGDR (deposit insurance and resolution fund) comprising irrevocable payment commitments (-14 basis points); the consolidation of the Natixis Factoring, Sureties • & Guarantees, Leasing, Consumer Finance and Securities Services business lines (-20 basis points); the acquisition of a 50.1% stake in Oney Bank by BPCE SA • (-12 basis points); the methodology impact related to the calculation of • risk-weighted assets associated with the funding of speculative real estate assets (-17 basis points). The change in the Common Equity Tier 1 ratio in 2019 can also be attributed to: the increase in Common Equity Tier 1 capital, driven in • particular by earnings taken to reserves (+74 basis points) and cooperative share inflows (+39 basis points); the increase in business risk-weighted assets (-74 basis • points).

At December 31, 2019, the Tier 1 ratio came out at 15.7% and the total capital ratio at 18.8%, compared to 15.9% and 19.6%, respectively, at December 31, 2018.

GROUPE BPCE CAPITAL ADEQUACY MANAGEMENT POLICY

Capital and total loss absorbing capacity (TLAC) targets are determined according to Groupe BPCE’s target ratings, in line with prudential constraints. Capital adequacy management is therefore subject to a high management buffer which not only greatly exceeds prudential constraints on capital adequacy ratios, but is also well below the trigger for the Maximum Distribution Amount. Capital and TLAC management is thus less sensitive to prudential changes ( e.g. not dependent on G-SIB classification). As a result, the Group very predominantly builds its total loss absorbing capacity from CET1 and additionally from TLAC-eligible debt (mainly Tier 2 capital and senior non-preferred debt). Moreover, taking a “single point of entry” (SPE) approach, BPCE also issues TLAC-eligible debt. Finally, in addition to TLAC, Groupe BPCE carries bail-inable debt, the majority of which is accepted for the calculation of MREL when deemed by the supervisory authority to have a high capacity for activation: by that definition, senior preferred debt issued by BPCE is eligible for MREL, with Groupe BPCE leaving the possibility of meeting MREL requirements open, beyond its total loss absorbing capacity, with any bail-inable debt instrument.

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RISK REPORT PILLAR III 2019 | GROUPE BPCE