BPCE_REGISTRATION_DOCUMENT_2017

RISK REPORT Capital management and capital adequacy

Pillar I MREL (TLAC) This requirement only concerns G-SIIs. It has been set at 16% (excludingbuffers)of risk-weightedassets (with a minimumof 6% of the leverage ratio denominator)when it takes effect in 2019, and is raised to 18% of risk-weightedassets (with a minimumof 6.75% of the leverageratio denominator) as from 2022. Almost all TLAC-eligibleliabilities will have to meet a subordination criterion (contractual, statutory or structural). A new category of numerator-eligibleliabilities has been introduced by French law and is commonly referred to as senior non preferred debt. In the event of liquidation, these liabilities have a ranking between the ranking of own funds and other senior preferred debt. They must have a residual maturityof more than one year in order to be eligible forthe Pillar I MREL. The Single Resolution Board publicly stated on November 21, 2017 that an MREL requirement, eligible for a TLAC of 12% of risk-weighted assets + capital buffers, would be set for O-SIIs and that the requirementset for G-SIIs would be 13.5% of risk-weighted assets. The Group has already launched a program to issue this new senior non-preferred debt. Excluding the CRR/CRDIV phase-in measures, Groupe BPCE’s TLAC ratio cameto 20.8%at December 31, 2017. II MREL Requirement should be 2x (Pillar I + Pillar IIR capital requirement) + capital buffers, bearing in mind that this formula is subject to change by the Single ResolutionBoard. A broader range of liabilitiesmay be eligible for the numerator (compared to the Pillar I MREL), which may also include senior preferred debt with a residual maturity of more than one year. Pillar II MREL Guidance The Single Resolution Board is expected to define an additional tranche of liabilities referred to as Pillar II MREL Guidance, in accordance with a maximum limit set as the sum of the capital buffers and the Pillar IIG capital requirement. Institutions would be encouragedto build up this tranche over and above the Pillar II MREL Requirement, butnot doingso would notbe considered asa breach of regulatory requirements. Pillar II MREL Requirement According to a reference formula, the Pillar

OUTLOOK In 2018, Groupe BPCE as a whole will remain focused on its CET 1 ratio organic growth target (excludingcooperativeshare inflows), set at +50-or-morebasis points by the end of the 2018-2020 strategic plan, as wellas a target TLACratio of above21.5% from2019. In this respect, the removal of Groupe BPCE from the list of G-SIBs in 2017 had no impact, since the group has kept its target TLAC ratio above the regulatory minimum requirement and since the same prudential constraints will be applicable due to its D-SIB (Domestic SystemicallyImportantBank) status. MREL – TLAC The regulatory framework for bank resolution and bail-in was stabilized in 2015. New complementary indicators for capital adequacy and leverage ratios will be implemented via the Minimum Requirement for own funds and Eligible Liabilities (MREL) and Total Loss AbsorbingCapacity (TLAC). Groupe BPCE has already established internal oversight of these indicators. The MREL (Minimum Requirement for own funds and Eligible Liabilities) ratio was introduced by the BRRD. Senior unsecured debt with a maturity of more than one year and the Group’s own funds make up the numerator of the MREL ratio. In November 2015, the Single Resolution Board published a provisional methodology for setting the MREL requirement under the current regulatory framework. This methodology sets the MREL requirement based on risk-weighted assets equal to double the sum of total capital requirements,includingbuffers,minus 125 basis points. Data required for the MREL calculation are currently being collected, under the aegis of the Single ResolutionBoard, for the purpose of clarifyingthe determinationof the MREL and ensuring that Groupe BPCE complies with the requirement currently being set. Draft changes to the MREL’s regulatory framework and introduction of the TLAC ratio in Europe In the draft changes to the CRR/BRRD/CRDIV regulatory package of November 2016, the MREL requirement for G-SIIs would now be broken down asfollows: a Pillar I MREL requirement equal to the Total Loss Absorbing ● Capacity (TLAC) requirement, whose principles were set in November2015 by the Financial Stability Board; a Pillar II MREL requirement; ● an additional PillarII MRELGuidancetranche. ● The mainfeatures of these threecomponents are described below.

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Registration document 2017

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