BPCE - 2019 Universal Registration Document

RISK REPORT

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

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

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. REGULATORY SCOPE Groupe BPCE is required to submit consolidated regulatory reports to the European Central Bank (ECB), the supervisory authority for euro zone banks. Pillar III is therefore prepared on a consolidated basis. The regulatory scope of consolidation is established based on the statutory scope of consolidation. The main difference between these two scopes lies in the consolidation method for insurance companies, which are accounted for by the equity method within the regulatory scope, regardless of the statutory consolidation method. The following insurance companies are accounted for by the equity method within the regulatory scope of consolidation: Surassur; • Scope of application 6.4.2

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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Muracef; • Coface; • Natixis Assurances; • Compagnie Européenne de Garanties et de Cautions; • Prépar-Vie; • Prépar-IARD; • Oney Insurance; • Oney Life. • The following insurance companies are accounted for by the equity method within both the statutory and regulatory scopes of consolidation: CNP Assurances; • Caisse de Garantie Immobilière du Bâtiment; • Parnasse Garanties. •

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE