BPCE - 2018 Registration document

2 NON-FINANCIAL PERFORMANCE REPORT

A range of services to meet the challenges facing our customers

Integration of climate change in stress tests The Group took part in an industry-wide project to prepare scenarios for climate change stress tests overseen by the French Treasury and the ACPR (French prudential supervisory authority for the banking and insurance sector), further to paragraph 5 of Article 173 of the French Act of August 17, 2015 on the energy transition for green growth. This project provided the opportunity to review the Group’s exposure to business sectors incurring climate change risk from two different perspectives: physical risk and transition risk. The Group’s work on physical risks uncovered that French banks have a low degree of exposure to geographic regions with high vulnerability to climate change. The Group is continuing the analysis of its local exposure. A more detailed mapping is performed for the non-financial performance report, allowing it to better understand the level of risk incurred and adapt its risk policies accordingly. Mandatory disclosures for institutional investors on their management of climate change risks Relevant Groupe BPCE institutions disclose this information in their own publications, two of which are presented below. Mirova: innovative measurement of a portfolio’s carbon footprint Mirova has developed a method to assess a portfolio’s coherence with climate scenarios using:

a database on carbon emissions generated and avoided during the ● product life cycle at the corporate level. This database was developed after several years of collaboration between Mirova and Carbone 4 (1) ; the climate scenarios produced by the IPCC (Intergovernmental ● Panel on Climate Change): the IPCC now offers several global emissions scenarios resulting in different consequences in terms of temperature increase by 2100 relative to preindustrial averages (+2°C, +4°C, +6°C); global energy investment projections produced by the IEA ● (International Energy Agency), which provides data on annual investors by sub-sector as well as projections on investment amounts in the 2°C and 4°C scenarios. By combining these three sources, the main limitations of existing approaches can be eliminated, giving an easy-to-interpret outcome by offering an assessment of the portfolio under review in terms of degrees Celsius. Based on the methodology used, all assets can be assessed by taking into account the direct activities of the company and its suppliers as well as the use of its products. The aim is not only to assess the risks but also the opportunities associated with the energy transition by providing a measurement of emissions avoided (alongside emissions generated) by the company’s activities, relative to a benchmark scenario. At the portfolio level, the aggregation of emissions generated and avoided is examined to produce an adequacy level in relation to the climate scenarios established by international institutions such as the IPCC or the IEA.

APPLICATION OF THE CARBON METHODOLOGY TO A SELECTION OF INDICES (2) ➡

S&P 500 +3.7°C

MSCI World +4°C

MSCI Europe +4.7°C

CAC 40 +5.5°C

Barclay Euro Aggregate Corporates +4.4°C

Avoided (tCO²/€m) Generated (tCO²/€m)

98.3

146.5

216

272.5

184.3

-11.4

-14.9

-16

-16.2

-13.7

The results of this methodology raise an interesting point. While predominance of the technology sector on the S&P 500, which ends European initiatives tend to be more advanced in terms of awareness up “diluting” the intensity of generated emissions.

and transparency of sustainable development issues than those of their North American peers, the carbon performance of the corresponding index does not necessarily follow this trend. The S&P 500, for example, has a much lower carbon footprint than the MSCI Europe or the CAC 40. This difference is largely attributable to the

From a more global standpoint, we can observe that none of the indices reviewed satisfy the 2°C scenario, despite it being the only one capable – by international consensus – of avoiding the most serious consequences of climate change. This observation underscores the need to propose solutions leading to massive capital reallocation and supporting the energy transition.

See Mirova’s publication entitled “Estimating Portfolio Coherence with Climate Scenario”. (1) 2017 data. (2)

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Registration document 2018