BPCE - 2018 Registration document

RISK REPORT Credit risk

By credit derivative providers Regulations call for the use of clearing houses for interest rate risk on new exposures, which does not cover counterparty default risk, however (a granular risk). Volumes of collateral provided by clearing houses are gradually on the rise, generating a regulated and supervised risk. Currency risk is hedged for each CONTRACT by setting up margin calls at a frequency appropriate to the risk in question: these transactions are secured by using specialist interbank counterparties, subject to individual limits authorized by the Group Credit and Counterparties Committee. By credit business sector Groupe BPCE has established sector-specific mechanisms to guide the guarantee policy based on the business sector in question. Appropriate recommendations are issued to the institutions. By geographic area Groupe BPCE is mainly exposed to France and, via Natixis, to other countries to a lesser extent. Accordingly, most guarantees are located in France.

VALUATION AND MANAGEMENT OF COLLATERAL COMPRISING REAL GUARANTEES Groupe BPCE has an automatic valuation tool for real guarantees available to all its networks. Across the Banque Populaire network, in addition to real guarantees, the valuation tool also takes into account pledges of vehicles, equipment and tools, pleasure craft, and business assets. The Caisse d’Epargne network uses the appraisal tool in all risk segments. At Groupe BPCE, guarantees from Mutual Guarantee Companies recognized as providers of sureties considered equivalent to mortgages by the supervisory body are subject to a credit Insurance valuation. An enhanced Group valuation process was established to measure real guarantees above certain amounts. Crédit Foncier Expertise, a subsidiary of CFF, is certified to issue such guarantees, generating more synergies for the Group. Guarantees other than those referred to above are assessed and validated on the basis of a systematic valuation, either marked-to-market where the guarantees are quoted on liquid markets ( e.g. exchange-traded securities), or based on expert opinion demonstrating the value of the guarantee used to hedge risks ( e.g. the value of recent deals involving aircraft or ships, depending on their features, the value of commodity holdings, the value of a pledge given on merchandise, or the value of a business based on its location, etc.).

6

651

Registration document 2018