PILLAR III 2024

Regulation (EU) No. 2019/876 (CRR2) provides for new provisions relating to the calculation of risk-weighted assets and new ratio requirements, applicable from June 28, 2021. The main impacts for Groupe BPCE are as follows:

• the leverage ratio and long-term structural liquidity ratio (NSFR) requirements become effective, with a minimum of 3% for leverage and 100% for NSFR;
• a new Standardized Approach (SA-CCR), corresponding to the sum of the replacement cost and the calculated potential future exposure, is now applied to calculate the exposure value of derivatives; this exposure was previously modeled using the mark-to-market method.

This report presents information on Groupe BPCE’s risks; the format of the Pillar III tables changed on June 30, 2021, in accordance with the technical standards defined by Implementing Regulation (EU) No. 2021/637.

Groupe BPCE has put an internal control framework in place to verify that the reported information is appropriate and compliant.

Structure of the Pillar III report

The Pillar III report is divided into 19 sections dedicated to risk management:

• section 1 presents the key figures, the type of risks and the regulatory context;
• section 2 is dedicated to risk factors;
• section 3 explains the overall organization of Groupe BPCE’s risk management system;
• section 4 is dedicated to capital management and capital adequacy;
• section 5 summarizes the main elements relating to credit risk management;
• section 6 presents counterparty risk;
• securitization transactions are detailed in section 7;
• market risks are presented in section 8;
• liquidity, interest rate and foreign exchange risk is detailed in section 9;
• the following sections 10 to 15 provide detailed information on the other main risks;
• environmental, social and governance risks are presented in section 16.

Each section describes the principles of organization and risk management, presents an overview of the essential information and sets out detailed quantitative information in a dedicated section.

The internal control policy and the statement on the publication of information required under Pillar III are presented in section 18.

Section 19 is dedicated to the annexes which contain the index of tables, the Pillar III cross-reference table and the glossary.

KEY INDICATORS

1. According to CRR/CRD IV regulations.
2. Reserves net of prudential restatements.
3. Including settlement-delivery risk.
4. Based on FSB TLAC term sheet dated November 9, 2015.
5. Following receipt of the MREL 2024 annual letter.

Additional indicators

EU KM1 – Key indicators

The new banking package (CRR3 regulation and CRD6 directive) was published on June 19, 2024, in the Official Journal of the European Union.

This banking package implements the final component of the Basel III regulatory reform within the European Union. Most provisions of the CRR3 regulation will come into effect on January 1, 2025. However, the rules concerning market risks have been postponed by one year to January 1, 2026, in order to maintain a consistent global regulatory framework.

The governance of financial institutions is at the core of the provisions of the CRD6 directive, which will be applicable starting from January 11, 2026.

CRR3 introduces significant technical modifications that directly influence risk management in banks. These adjustments primarily concern the methods for calculating credit risks, market risks, and credit valuation adjustments (CVA). Furthermore, CRR3 imposes more rigorous reporting and data collection standards to enhance the transparency and comparability of financial information.

Among the key issues, the introduction of the output floor (which establishes that capital requirements calculated using internal models cannot fall below 72.5% of the requirements set out by the standardized approach) is of major importance.

Regarding the resolution framework, the Eurogroup validated a pragmatic approach in June 2022 and requested the Commission to strengthen the reform project on a limited number of topics (hierarchy of claims, notion of public interest, etc.) concerning, in particular, the treatment applicable to medium-sized banks. The European Commission published its proposals for revising the resolution framework and the crisis management and deposit insurance framework (CMDI) on April 18, 2023, which continues to be the subject of intense discussions. The trilogue began in December 2024. In France, Article 2-I of the DDADUE 2025 bill transposes various provisions of the 2024/1174 directive “Daisy Chains II”.

The banking and financial environment in which Groupe BPCE operates is exposed to numerous risks and requires the implementation of an increasingly demanding and strict policy to control and manage these risks.

Some of the risks to which Groupe BPCE is exposed are set out below. However, this is not a comprehensive list of all of the risks incurred by Groupe BPCE in the course of conducting its business or given the environment in which it operates. The risks presented below are those identified to date as significant and specific to Groupe BPCE, and liable to have a material adverse impact on its business, financial position and/or results. For each of the risk sub-classes listed below, the risk factor considered to date by Groupe BPCE as the most significant is listed first.

The risks presented below are those identified to date as liable to have an adverse impact on the businesses of BPCE SA.

The risk factors described below are presented as of the date of this document and the situation described may change, even significantly, at any time.

Groupe BPCE is exposed to credit and counterparty risks that could have a material adverse effect on the Group’s business, financial position and income.

Groupe BPCE is significantly exposed to credit and counterparty risk through its financing or market activities. The Group could thus incur losses in the event of default by one or more counterparties, in particular if the Group encounters legal or other difficulties in exercising its collateral or if the value of the collateral does not allow it to fully cover the exposure in the event of a default. Despite the due diligence carried out by the Group aimed at limiting the effects of having a concentrated credit portfolio, both in units and sectors, counterparty defaults may be amplified within a specific economic sector or world region by the effects of interdependence between these counterparties. Default by one or more major counterparties could thus have a material adverse effect on the Group’s cost of risk, results and financial position.

For information, on December 31, 2024, Groupe BPCE’s gross exposure to credit risk amounted to €1,511 billion, with the following breakdown for the main types of counterparty: 37% for retail customers, 30% for corporates, 16% for central banks and other sovereign exposures, and 6% for the public sector and similar entities. The credit risk-weighted assets amounted to €398 billion (including counterparty risk).

The main economic sectors to which the Group was exposed in its non-financial companies portfolio were Real Estate (38% of gross exposures at December 31, 2024), Wholesale and Retail Trade (11%), Finance/Insurance (10%) and Specialized, Scientific and Technical Activities (6%).

Groupe BPCE develops its activities mainly in France. The Group’s gross exposure (gross carrying amount) to France was €1,070 billion, representing 82% of the total gross exposure. The remaining exposures were mainly concentrated in the United States, for 5%, with other countries accounting for 12% of the total gross exposures.

For further information, please see Chapters 5 “Credit risks” and 6 “Counterparty risk” in this document.

A substantial increase in impairments or provisions for expected credit losses recognized in Groupe BPCE's accounts could have a material adverse effect on its results and financial position.

In the course of its activities, Groupe BPCE regularly recognizes charges for impairments in order to reflect, if necessary, actual or potential losses on its portfolio of loans and advances, on its portfolio of fixed-income securities (at amortized cost or at fair value through other comprehensive income) and in respect of its commitments given. These impairments are booked in the income statement under “Cost of risk”. Groupe BPCE’s total charges for asset impairments are based on the Group’s measurement of past losses on loans, volumes and types of loans granted, industry standards, loans in arrears, economic conditions and other factors associated with the recoverability of various types of loans. While Groupe BPCE makes every effort to set aside a sufficient level of provisions for asset impairment expenses, its lending activities may cause it, in the future, to have to increase its expenses for losses on loans, due to a rise in non-performing loans or for other reasons such as the deterioration of market conditions or factors affecting certain countries. Any substantial increase in charges for losses on loans, material change in Groupe BPCE’s estimate of the risk of loss associated with its portfolio of loans, or any loss on loans exceeding past impairment expenses, could have an adverse impact on Groupe BPCE’s results and financial position.

For information, Groupe BPCE’s cost of risk amounted to €2,061 million in 2024 compared to €1,731 million in 2023, with credit risks accounting for 87% of Groupe BPCE’s risk-weighted assets. On the basis of gross exposures, 37% relate to retail customers and 30% to corporate customers (of which 68% of exposures are located in France).

Consequently, the risk associated with a significant increase in impairment expenses on assets booked to Groupe BPCE’s loans and advances portfolio is significant in terms of impact and probability, and is therefore monitored carefully and proactively. In addition, prudential requirements supplement these provisioning mechanisms via the prudential backstop process, which results in a deduction in equity of non-performing loans beyond a certain maturity in line with the quality of the guarantees and according to a regulatory timetable defined by regulatory texts.

A decline in the financial strength and performance of other financial institutions and market players may have an unfavorable impact on Groupe BPCE.

Groupe BPCE’s ability to execute transactions may be affected by a decline in the financial strength of other financial institutions and market players. Financial institutions are closely interconnected owing to their trading, clearing, counterparty and financing operations. A default by a significant sector player (systemic risk), or even mere rumors or concerns regarding one or more financial institutions or the financial industry in general, may lead to a general contraction in market liquidity and subsequently to losses or further defaults in the future. Groupe BPCE is directly or indirectly exposed to various financial counterparties, such as investment service providers, commercial or investment banks, clearing houses and CCPs, mutual funds, hedge funds, and other institutional clients, with which it regularly conducts transactions. The default or failure of any such counterparties may have an adverse impact on Groupe BPCE’s financial position. Moreover, Groupe BPCE may be exposed to the risk associated with the growing involvement of operators subject to little or no regulation in its business segment and to the emergence of new products subject to little or no regulation (including in particular crowdfunding and trading platforms). This risk would be exacerbated if the assets held as collateral by Groupe BPCE could not be sold or if their selling price would not cover all of Groupe BPCE’s exposure to defaulted loans or derivatives, or in the event of fraud, embezzlement or other misappropriation of funds committed by financial sector participants in general to which Groupe BPCE is exposed, or if a key market operator such as a CCP defaults.

In addition, the distribution risk in the event of market difficulties or a deterioration in the economic environment may  entail a potential loss in a severe scenario. 

The exposures to “financial institutions” represented 4% of Groupe BPCE’s total gross exposures of €1,511 billion at December 31, 2024. In geographic terms, 67% of gross exposures to “institutions” are located in France.

The Group Risk and Compliance Committee, chaired by the Chairman of the Management Board, met five times in 2024 to review the adequacy of Groupe BPCE’s risk management systems, and validated the annual review of the Group’s risk policies. These systems cover all risks, as described in the Ministerial Order of November 3, 2014 on internal control as amended by the Order of February 25, 2021.

The coverage of risks was found to be adequate, consistent with the risk appetite framework validated by the BPCE Management Board and Supervisory Board, and related closely to the Group’s strategy and budget oversight.

All risks are covered by central and local risk management systems, in line with the Group’s risk appetite and strategy.

Groupe BPCE’s Supervisory Board approved the Group’s risk appetite framework: quantitative indicators, resilience threshold for each indicator and associated governance. During its annual review, the Supervisory Board examined and approved the Group’s risk appetite on December 12, 2024.

As a decentralized and united cooperative Group, Groupe BPCE structures its activity around share capital, held predominantly by the regional institutions, and centralized market funding, optimizing the resources allocated to the entities.

Groupe BPCE:

• through its cooperative nature, is firmly committed to generating recurring and resilient income for its cooperative shareholders and investors by offering the best service to its customers;
• must preserve the solvency, liquidity and reputation of each Group entity – a duty assumed by the central institution through the oversight of consolidated risks, a risk policy and shared tools;
• consists of regional banks, which own the Group and its subsidiaries. In addition to normal management operations, in the event of a crisis, solidarity mechanisms between Group entities ensure the circulation of capital and prevent the entities or the central institution from defaulting;
• focuses on the structural risks of its full-service banking model, with a predominant retail banking component in France, while incorporating other business lines necessary to provide quality service to all of its customers;
• diversifies its exposures by developing certain activities in line with its strategic plan:
  • development of the Corporate & Investment Banking, bancassurance and asset management businesses,
  • international expansion (predominantly Corporate & Investment Banking and asset management, with a more targeted approach for retail banking customers).

Groupe BPCE’s risk appetite is defined as the level of risk it is willing to accept with the goal of increasing its profitability while maintaining solvency. This risk appetite must be aligned with the institution’s operating environment, strategy and business model, while making customer interests the top priority. In determining its risk appetite, Groupe BPCE aims to steer clear of any major pockets of concentration and to optimize capital allocation.

In terms of risk profile, Groupe BPCE incurs risks intrinsically associated with its retail banking and Corporate & Investment Banking activities. Changes to its business model are increasing the Group’s exposure to some types of risks, particularly risks related to asset management and international businesses.

The Group does not conduct business unless it has the associated risks sufficiently under control, nor does it exercise proprietary trading activities. Activities with high risk-reward profiles are strictly controlled.

In all activities, entities and regions of operation, the Group undertakes to meet the highest standards of ethics, conduct, best execution and transaction security.

Risk management is governed by two main bodies at Group level: the Supervisory Board, which is supported by the Board’s Risk Committee, and the Executive Management Committee, of which the Head of Risk Management is a member.

Chaired by the Chairman of the Management Board, the Group Risk and Compliance Committee, an umbrella committee, sets the broad outlines of the risk policy and examines issues related to non-financial risks (specifically those related to banking, insurance and investment service compliance, and to financial security), annually reviews the risk appetite framework, and approves a prospective risk analysis.

The Group control system relies on three levels of controls, in accordance with banking regulations and sound management practices (two levels of permanent controls and one level of periodic control), as well as the establishment of consolidated control processes in accordance with provisions approved by BPCE’s Management Board.

Structure of Groupe BPCE's internal control system

1. SPP: Safety of People and Property.

The organization of permanent control in the Group is specified in the Internal Control Charter (updated on July 23, 2020) in paragraph 3 and in the DRCCP Charter (updated on December 9, 2021) in paragraphs 2 and 5 in accordance with the Ministerial Order of November 3, 2014 (revised on February 25, 2021), in particular in Article 12.

In terms of governance, the assessment of the permanent control system is the responsibility of the Group Internal Control Coordination Committee (or 3CI or CCFC in its local implementation).

The permanent control system is based on the taxonomy of controls, which includes definitions of control methods.

The system comprises two types of level 1 controls (first line of defense LOD1) carried out by employees carrying out operational activities. These employees identify the risks associated with their activity and comply with the procedures and limits set:

• level 1.1 consists of production controls (detection of production anomalies, compliance with internal rules and procedures) usually carried out on an ongoing basis;
• level 1.2 consists of controls aimed at identifying risks/ compliance with rules/procedures carried out by line managers (a line manager control implies a control distinct from the person who carried it out) or by a separate team dedicated to level 1 control. The formalization of procedures and operating modes describing the controlled operational activities are the responsibility of the first line of defense.

The system also includes two types of level 2 controls (second line of defense LOD2) performed by agents at the central and local levels:

• level 2.1 consists of controls aimed at verifying that the risks have been identified and managed by the first level of control in accordance with the rules and procedures provided for. They are carried out by employees of departments dedicated exclusively to risk management, compliance, security, permanent control or specialized functions that do not perform level 1 controls: these controls are formalized and assessed;
• level 2.2 concerns overall system controls or quality controls performed by each business line of an institution as the head of the Group or of BPCE as the central institution. These controls are formalized and assessed.

Coordination of permanent controls in institutions

In accordance with the Group’s Risk, Compliance and Permanent Control Charter, it is recommended that a permanent control coordination function be set up in each institution or Group head office covering the entire Risk/Compliance/Security area. The person(s) responsible for permanent control in the institutions is/ are the Chief Risk and/or Compliance Officer, it being understood that the designated effective manager remains responsible for the consistency and effectiveness of the internal control system, within the meaning of the Order of November 3, 2014, amended by the Order of February 25, 2021.

Coordination of permanent central controls

In the Corporate Secretary's Office the main role of the Group Coordination of Permanent Controls department is to coordinate the Group’s level 1 and 2 permanent control system. In this context, it:

• proposes standards and methodological guides for the exercise of permanent control in Groupe BPCE;
• ensures that the institutions comply with the permanent control standards defined by BPCE, namely the Permanent Control Framework document - operational implementation of the Internal Control Charter - and the control sampling standard and other standards;
• analyzes all the annual control plans of the institutions within its scope of supervision in connection with the central risk management, compliance and security functions;
• performs controls to assess the permanent control system of each entity within its scope of supervision;
• assists the business lines in the review of controls and to ensure their risk coverage is complete. The various permanent control standards are overseen and constantly updated and expanded in the tool;
• performs consolidated reporting of the results of controls carried out by the institutions for the Group Internal Control Committee;
• ensures the transverse management of the system.

Permanent control culture

The control culture has been strengthened by the implementation of a certification in permanent control of the banking and insurance business lines validated by the external body France Compétences. This certification is intended for the level 1 and level 2 Permanent Control functions but also for the LOD2 functions.

HIGHLIGHTS

The Supervisory Board of BPCE approved the Group’s Recovery Plan for 2025.

The plan is in line with European regulatory measures on the recovery and resolution of banks and investment firms, and with the provisions of the French Monetary and Financial Code.

The objective of the Recovery Plan is to identify measures to restore the Group’s financial solidity in the event it deteriorates significantly.

The plan presents the options available to the Group to launch a crisis management system. It assesses the relevance of the different options in various crisis scenarios and the methods and resources available for their implementation.

The Recovery Plan is mainly based on the:

• Group’s organizational structure and the specific implications of its cooperative status;
• identification of the Group’s critical responsibilities;
• capital and liquidity management systems;
• analysis of financial crisis scenarios;
• identification of options impacting the restoration of the Group’s financial position and their impacts on the Group’s business model;
• preventative oversight of leading indicators on financial and economic conditions;
• establishment of the organizational structures needed to implement the recovery.

This system is monitored and coordinated by a permanent office at BPCE.

The Recovery Plan is kept up to date and approved by the Supervisory Board, aided by its Risk Committee for these purposes.

The Recovery Plan is updated annually on these various components (description of the Group, analysis of scenarios, analysis of the options available).

Credit institutions’ capital is regularly monitored in accordance with regulations defined by the Basel Committee.

These regulations were reinforced following the introduction of Basel III, with an increase in the level of regulatory capital requirements and the introduction of new risk categories.

The Basel III recommendations were incorporated in EU directive 2013/36/EU (Capital Requirements Directive – CRD IV) and Regulation No. 575/2013 (Capital Requirements Regulation – CRR) of the European Parliament and of the Council, as amended by Regulation (EU) No. 2019/876 (the “CRR2”). As of January 1, 2014, all EU credit institutions are subject to compliance with the prudential requirements set out in these texts.

Credit institutions subject to CRD and CRR are thus required to continuously observe:

• the Common Equity Tier-1 (CET1) ratio;
• the Tier-1 ratio, i.e. CET1 plus Additional Tier-1 (AT1) capital;
• the total capital ratio, i.e. Tier-1 plus Tier-2 capital; and
• as of January 1, 2016, the capital buffers which can be used to absorb losses in the event of tensions.

These buffers include:

• a capital conservation buffer, comprised of Common Equity Tier-1, aimed at absorbing losses in times of serious economic stress,
• a countercyclical buffer, aimed at protecting the banking sector from periods of excess aggregate credit growth. This Common Equity Tier-1 surcharge is supposed to be adjusted over time in order to increase capital requirements during periods in which credit growth exceeds its normal trend and to relax them during slowdown phases,
• a systemic risk buffer for each Member State aimed at preventing and mitigating the systemic risks that are not covered by regulations (low for Groupe BPCE),
• the different systemic risk buffers aimed at reducing the risk of failure of systemically important financial institutions. These buffers are specific to each bank. Groupe BPCE is on the list of other systemically important institutions (O-SIIs) and global systemically important institutions (G-SIIs). As these buffers are not cumulative, the highest buffer applies.

The capital ratios are equal in terms of the relationship between capital and the sum of:

• credit and dilution risk-weighted assets;
• capital requirements for the prudential supervision of market risk and operational risk, multiplied by 12.5.

In 2024, Groupe BPCE is required to observe a minimum Common Equity Tier-1 ratio of 4.5% under Pillar I, a minimum Tier-1 capital ratio of 6% and, lastly, a minimum total capital ratio of 8%.

Alongside Pillar I minimum capital requirements, Groupe BPCE is subject to additional Tier-1 capital requirements:

• as of January 1, 2019, the Tier-1 capital conservation buffer is 2.5% of the total amount of risk exposures;
• Groupe BPCE’s countercyclical buffer equals the EAD-weighted average of the buffers defined for each of the Group’s countries of operation. Groupe BPCE’s maximum countercyclical buffer as from January 1, 2019 is 2.5%;
• the G-SII buffer has been set at 1% for the Group;
• the systemic risk buffer is applied to all exposures located in the Member State setting this buffer and/or to sectoral exposures located in the same Member State. As most of Groupe BPCE’s exposures are located in countries whose systemic risk buffer has been set at 0%, the Group considers that this rate will be very close to 0%.

Credit institutions must comply with the prudential requirements, which are based on three pillars that form an indivisible whole:

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 1

1. G-SII buffer: global systemic buffer.
2. The countercyclical buffer requirement is calculated quarterly.

Groupe BPCE is required to submit consolidated regulatory reports to the European Central Bank (ECB), the supervisory authority for Eurozone 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 prudential scope of consolidation:

• Surassur;
• BPCE Assurances (formerly 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:

• Caisse de Garantie Immobilière du Bâtiment;
• Parnasse Garanties.

In addition, since the second quarter of 2020, the Versailles entity is consolidated using the equity method. This change, which concerns only the regulatory scope, since the entity is still considered to be under control within the meaning of IFRS, follows a detailed analysis of the regulatory texts. The latter stipulate that non-financial entities that do not constitute ancillary services within the meaning of the standard are accounted for using the equity method for the purposes of reporting ratios. This decision, approved by the Group’s bodies, allows for an alignment of the scopes used to calculate liquidity and solvency.

EU CC2 – Transition from accounting balance sheet to prudential balance sheet

The table below shows the transition from an accounting balance sheet to a prudential balance sheet for Groupe BPCE at December 31, 2024.

The differences between the data in the statutory scope and those of the prudential scope result from the restatement of subsidiaries excluded from the prudential scope (see description of the prudential scope below) and the reintegration of intra-group transactions related to these subsidiaries.

1. References refer to those in table EU CC1 in column b.

1. Restated figures for 2023 (see 6.1.4 Statement of changes in equity).
2. References refer to those in table EU CC1 in column b

Regulatory capital

Regulatory capital is determined in accordance with Regulation No. 575/2013 of the European Parliament of June 26, 2013, on capital (“CRR”) amended by Regulation (EU) No. 2019/876 (“CRR2”).

It is divided into three categories: Common Equity Tier-1 capital, Additional Tier-1 capital and Tier-2 capital. Deductions are made from these categories.

These categories are broken down according to decreasing degrees of solidity and stability, duration and degree of subordination.

BPCE01 – Regulatory capital

1. Including non-current assets and entities classified as held for sale.
2. The Common Equity Tier-1 included €29,581 million in cooperative shares (after taking allowances into account) on December 31, 2024, and €29,314 million at December 31, 2023.

Details of debt instruments recognized as additional Tier-1 and Tier-2 capital, other instruments eligible for TLAC, as well as their characteristics, as required by Implementing Regulation No. 1423/2013 are published at https://groupebpce.com/en/investors/results-and-publications/pillar-iii.

Common Equity Tier-1 (CET1) capital

Core capital and deductions

Common Equity Tier-1 consists of:

• share capital;
• additional paid-in capital or merger premiums;
• reserves, including revaluation differences and gains or losses recognized directly in other comprehensive income;
• retained earnings;
• net income attributable to equity holders of the parent;
• non-controlling interests in banking or related subsidiaries for the share after CET1 eligibility caps.

The following deductions are made:

• treasury shares held and measured at their carrying amount;
• intangible assets (excluding the amount of prudently valued software, exempt from deduction) including start-up costs and goodwill;
• deferred tax assets and liabilities that rely on future profitability;
• prudential filters resulting from CRR Articles 32, 33, 34 and 35: gains or losses on cash flow hedges, gains on transactions in securitized assets, own credit risk;
• negative amounts arising from the comparison between provisions and expected losses (in this calculation, performing loans are clearly separated from loans in default);
• equity interests in eligible banking, financial and insurance institutions, according to the rules on allowances for these holding companies and the phase-in period;
• value adjustments arising from the prudent valuation of assets and liabilities measured at fair value according to a prudential method, deducting any value adjustments;
• defined benefit pension fund assets net of related deferred tax liabilities;
• insufficient hedging of non-performing exposures under Pillar I and Pillar II.

These deductions are supplemented by capital items that are not covered by CRR2.

BPCE02 – Changes in CET1 capital

BPCE03 – Breakdown of non-controlling interests (minority interests)

Additional Tier-1 capital includes:

• subordinated instruments issued in compliance with the restrictive eligibility criteria set forth by CRR Article 52;
• additional paid-in capital related to these instruments.

Deductions comprise equity interests in eligible banking, financial and insurance institutions, according to the rules on allowances for these holding companies.

As of December 31, 2024, the Group had no additional Tier-1 capital.

BPCE04 – Change in AT1 capital

In accordance with Regulation No. 575/2013 (CRR) of the European Parliament as amended by Regulation (EU) No. 2019/876 (the “CRR2”), credit risk exposures can be measured using two approaches:

• the “standardized” approach, based on external credit ratings and specific risk weightings according to Basel exposure classes;
• the “internal ratings based” (IRB) approach, based on the financial institution’s internal ratings system, broken down into two categories:
  • the Foundation IRB approach – banks use only their probability of default estimates for this approach,
  • the Advanced IRB approach – banks use all their internal component estimates for this approach, i.e. probability of default, loss given default, exposure at default and maturity.

The methodology applied for IRB approaches is described in greater detail in Section 5 “Credit risk.”

In addition to the requirements related to counterparty risk in market transactions, the regulation of June 26, 2013 provides for the calculation of an additional charge to hedge against the risk of loss associated with counterparty credit risk (CCR). Capital requirements for the Credit Valuation Adjustment (CVA) are determined using the Standardized Approach.

EU OV1 – Overview of risk-weighted assets

The table below complies with the CRR format, presenting capital requirements for credit and counterparty risks, before the CVA and after the application of risk mitigation techniques.

BPCE06 – Risk-weighted assets by type of risk and business line

1. Including settlement-delivery risk and other risk exposure amounts.

EU INS1 – Non-deducted participations in insurance undertakings

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

BPCE07 – Regulatory capital and Basel III phased-in capital ratios

Changes in Groupe BPCE’s capital adequacy in 2024

The Common Equity Tier-1 ratio was 16.2% on December 31, 2024, compared to 15.6% on December 31, 2023.

The change in the Common Equity Tier-1 ratio in 2024 was mainly due to:

• growth in Common Equity Tier 1-capital, driven by retained earnings (+60 basis points) and to a lesser extent by the collection of cooperative shares (+6 basis points), but mitigated notably by the increase in the deduction for insufficient provisioning of non-performing loans (-3 basis points), the prudent valuation (-3 basis points) and other impacts on equity (-3 basis points);
• the control of risk-weighted assets (+3 basis points), favored by the change in the weighting of local authorities to 0% and the transition to corporate IRBA for the high-end segment of the Banques Populaires and the Caisses d’Epargne.

At December 31, 2024, the Tier-1 ratio stood at 16.2% and the total capital ratio at 18.8% compared to 15.6% and 18.2%, respectively, at December 31, 2023. These ratio levels remain well above the regulatory requirements defined by the European Central Bank (ECB) during the Supervisory Review and Evaluation Process (SREP) in 2025.

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 above the trigger for the Maximum Distributable Amount.

Capital and TLAC management goes beyond integrating prudential changes (e.g. G-SIB classification). As such, the Group predominantly builds its total loss absorbing capacity from CET1 and additionally from subordinated MREL-eligible and TLAC-eligible debt (mainly eligible Tier-2 capital and senior non-preferred debt). The issues of these eligible debts are carried out by BPCE.

Lastly, in addition to this capacity to absorb losses, Groupe BPCE has an MREL. The MREL capacity consists of instruments eligible for loss absorption, as well as senior preferred debt with residual maturity of more than one year.

The Group’s current MREL requirement was received in March 2024 by the Autorité de contrôle prudentiel et de résolution (ACPR), the French prudential supervisory authority for the banking and insurance sector It amounts to 27.30% of the Group’s risk-weighted assets (RWA) and is respected with a margin. It does not require the Group to modify or increase its issuance program.

With regard to the subordination constraint, Groupe BPCE complies with Articles  92a  1(a) and 494 of CRR Regulation No.  575/2013 which, since 2022, provides for a requirement of 18% of RWA plus solvency buffers, i.e. 22.4% of RWA. The subordination requirement in the leverage base has been set at 6.75% since 2022 pursuant to Article 92a 1(b) of the CRR. This is also respected with a margin.

Capital allocation equity and solvency management

The Group implemented action plans over the course of 2024 aimed specifically at ensuring the capital adequacy of its networks and its subsidiaries. BPCE SA thus subscribed for €475 million to a Tier 1 issue by Natixis, replacing a Tier 1 issue of $500 million repaid by the subsidiary. BPCE SA also set up a repayable Tier 2 subordinated loan of €60 million for the benefit of its subsidiary Banque Palatine and a second loan of €100 million granted to Natixis.

Leverage ratio

The entry into force of the Capital Requirements Regulation, known as CRR2, makes the leverage ratio a binding requirement as from June 28, 2021. The minimum requirement for this ratio is 3%, plus a buffer for global systemic banks of 0.5% in 2024.

The leverage ratio is not sensitive to risk factors and as such, it is considered as a measure that complements the solvency and liquidity management system, which already limits the size of the balance sheet. The leverage ratio is projected and managed at the same time as Groupe BPCE’s solvency trajectory. The risk of excessive leverage is also measured in the internal stress test via the projection of the regulatory leverage ratio.

Groupe BPCE’s leverage ratio, calculated according to the capital requirements regulation, known as CRR2, was 5.1% at December 31, 2024, based on phased-in Tier-1 capital.

EU LR1 – Lrsum – Transition from balance sheet to leverage exposure

1. 2023 restated figures (see 5.1.4 Table of changes in equity)

Financial conglomerate ratio

As an institution exercising banking and insurance activities, Groupe BPCE is also required to comply with a financial conglomerate ratio. This ratio is determined by comparing the financial conglomerate’s total capital against all the regulatory capital requirements for its banking and insurance activities.

The financial conglomerate ratio demonstrates that the institution’s prudential capital sufficiently covers the total regulatory capital requirements for its banking activities (in accordance with CRR2) and insurance sector activities, in accordance with the Solvency 2 regulation.

The calculation of surplus capital is based on the statutory scope. Insurance company capital requirements, determined for the banking capital adequacy ratio by weighting the equity-method value, are replaced with capital requirements based on the solvency margin. The capital requirements within the banking scope are determined by multiplying the risk-weighted assets by the applicable rate under Pillar II, i.e. 15.75% at December 31, 2024, compared to 15.22% at December 31, 2023.

At December 31, 2024, Groupe BPCE’s surplus capital amounted to €16.2 billion.

The detailed quantitative information relating to capital management and capital requirements in the following tables enhances the information in the previous section under Pillar III.

EU LI3 – Explanation of differences between the statutory and prudential scope of consolidation

All companies consolidated by the equity method are associates.