BPCE - Risk Report - Pillar III 2020

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. The bank can use standardized or advanced methods to calculate its capital requirement.

REVIEW OF MINIMUM CAPITAL REQUIREMENTS UNDER PILLAR I

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2019

2020

Minimum regulatory capital requirements Common Equity Tier 1 (CET1)

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

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

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)

10.5% 12.0% 14.0%

10.5% 12.0% 14.0%

Total Tier 1 capital (T1 = CET1 + AT1)

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 2020, the total capital ratio in force for Groupe BPCE under Pillar II (P2R) was 9.75%, plus a 2.50% capital conservation buffer and a 1% 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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RISK REPORT PILLAR III 2020 | GROUPE BPCE