| Communication policy and structure of the Pillar III report | 5 |
| 1. SUMMARY OF RISKS | 7 |
| 1.1 Types of risk | 8 |
| 1.2 Key figures | 9 |
| 1.3 Regulatory changes | 11 |
| Review of Risk Reduction Measures (“Banking Package”) | 11 |
| Investment Firms (IFs) | 11 |
| Non-Performing Loans (NPLs) | 11 |
| Call for Advice to the EBA | 12 |
| 1.4 Main risks and emerging risks | 13 |
| Main risks | 13 |
| Emerging risks | 13 |
| 1.5 Risk factors | 14 |
| Credit and counterparty risks | 14 |
| Financial risks | 15 |
| Insurance risks | 17 |
| Non-financial risks | 17 |
| Strategic, business and ecosystem risks | 19 |
| 2. GENERAL STRUCTURE OF GROUPE BPCE’S INTERNAL CONTROL SYSTEM | 23 |
| 2.1 Participants in the control system | 24 |
| Permanent Control by line management (Level 1) | 24 |
| Permanent Control by dedicated entities (Level 2) | 24 |
| 2.2 Permanent and Periodic Control departments | 25 |
| 2.3 Structure of Groupe BPCE’s internal control system | 26 |
| Internal Control Coordination Committee | 27 |
| Group Risk Management and Compliance Committee: Umbrella Committee | 27 |
| Committees specific to each department | 28 |
| 3. CAPITAL MANAGEMENT AND CAPITAL ADEQUACY | 29 |
| 3.1 Regulatory framework | 30 |
| Pillar I | 31 |
| Pillar II | 31 |
| Pillar III | 31 |
| 3.2 Scope of application | 32 |
| Regulatory scope | 32 |
| 3.3 Composition of regulatory capital | 34 |
| Regulatory capital | 34 |
| Common Equity Tier 1 (CET1) | 35 |
| Additional Tier 1 (AT1) capital | 36 |
| Tier 2 Capital | 36 |
| 3.4 Regulatory capital requirements and risk-weighted assets | 37 |
| 3.5 Management of capital adequacy | 39 |
| Regulatory capital and capital ratios | 39 |
| Outlook | 41 |
| 3.6 Detailed quantitative disclosures | 42 |
| 4. RISK GOVERNANCE AND MANAGEMENT SYSTEM | 65 |
| 4.1 Governance of risk management | 66 |
| Groupe BPCE’s Risk, Compliance and Permanent Control division | 66 |
| Risk and Compliance functions | 68 |
| Governance and coordination | 68 |
| Risk management and compliance culture | 69 |
| 4.2 Groupe BPCE’s risk management system | 72 |
| Risk appetite | 72 |
| Stress testing system | 73 |
| Cross-business risk analysis | 74 |
| Coordination of Permanent Controls | 74 |
| 4.3 Recovery Plan | 76 |
| 5. CREDIT RISK | 77 |
| 5.1 Credit risk management | 78 |
| Credit risk governance | 78 |
| Credit policy | 80 |
| Rating policy | 80 |
| Caps and limits | 80 |
| Credit risk monitoring and supervision system | 81 |
| Quality assessment of loan outstandings and impairment policy | 82 |
| Forbearance, performing et non performing exposures | 84 |
| 5.2 Risk measurement and internal ratings | 85 |
| Current situation | 85 |
| Rating system | 86 |
| Internal rating system governance | 86 |
| Model development process | 86 |
| Review of internal ratings-based models | 87 |
| Model mapping | 87 |
| 5.3 Credit risk mitigation techniques | 93 |
| Definition of guarantees | 93 |
| Accounting recognition under the standardized or IRB approach | 93 |
| Conditions for the recognition of guarantees | 93 |
| Risk diversification | 93 |
| Guarantors | 94 |
| Concentration of collateral volumes | 94 |
| Valuation and management of collateral comprising real guarantees | 95 |
| 5.4 Quantitative disclosures | 96 |
| Exposure to credit and counterparty risks | 96 |
| Provisions and impairments | 98 |
| Non-impaired loans showing past due balances | 99 |
| Restructured loans | 100 |
| Non-performing and forborne exposures | 101 |
| 5.5 Detailed quantitative disclosures | 102 |
| General quantitative disclosures on credit risk | 103 |
| Credit quality | 112 |
| Credit risk mitigation | 118 |
| Credit risk – standardized approach | 120 |
| Credit risk – internal model approach | 124 |
| 6. COUNTERPARTY RISK | 137 |
| 6.1 Counterparty risk management | 138 |
| Measuring counterparty risk | 138 |
| Counterparty risk mitigation techniques | 138 |
| 6.2 Quantitative disclosures | 140 |
| 6.3 Detailed quantitative disclosures | 142 |
| 7. SECURITIZATION TRANSACTIONS | 153 |
| 7.1 Regulatory framework and accounting methods | 154 |
| Regulatory framework | 154 |
| Accounting methods | 154 |
| Terminology | 155 |
| 7.2 Securitization management at Groupe BPCE | 156 |
| 7.3 Quantitative disclosures | 157 |
| Breakdown of exposures and risk-weighted assets | 157 |
| Breakdown by rating | 158 |
| 7.4 Detailed quantitative disclosures | 160 |
| Banking book | 160 |
| 8. MARKET RISKS | 165 |
| 8.1 Market risk policy | 166 |
| 8.2 Market risk management | 167 |
| Organization | 167 |
| Risk monitoring | 167 |
| 8.3 Market risk measurement methods | 169 |
| Sensitivities | 169 |
| VaR | 169 |
| Stress tests | 169 |
| 8.4 Quantitative disclosures | 171 |
| Groupe BPCE VaR | 171 |
| Stress test results | 172 |
| Risk-weighted assets and capital requirements | 173 |
| 8.5 Detailed quantitative disclosures | 174 |
| Breakdown of market risk-weighted assets by approach | 174 |
| Detailed disclosures on Natixis market risks | 174 |
| 9. LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS | 179 |
| 9.1 Governance and structure | 180 |
| 9.2 Liquidity risk management policy | 181 |
| Objectives and policies | 181 |
| Operational management | 181 |
| 9.3 Quantitative disclosures | 183 |
| Customer loan-to-deposit ratio | 184 |
| Funding strategy and conditions in 2018 | 185 |
| 9.4 Management of structural interest rate risk | 186 |
| Objectives and policies | 186 |
| Interest rate risk oversight and management system | 186 |
| Quantitative disclosures | 186 |
| 9.5 Management of structural foreign exchange risk | 187 |
| Foreign exchange risk oversight and management system | 187 |
| Quantitative disclosures | 187 |
| 9.6 Detailed quantitative disclosures on liquidity risk | 188 |
| Groupe BPCE cash balance sheet | 188 |
| 10. LEGAL RISKS | 193 |
| 10.1 Legal and arbitration proceedings – BPCE | 194 |
| Check imaging exchange (échange image chèques) commissions | 194 |
| 10.2 Legal and arbitration proceedings – Natixis | 195 |
| Madoff fraud | 195 |
| Criminal complaints coordinated by ADAM | 195 |
| MMR claim | 196 |
| Union Mutualiste Retraite | 196 |
| Securitization in the United States | 196 |
| EDA – Selcodis | 196 |
| MPS Foundation | 197 |
| Formula funds | 197 |
| Société Wallonne du Logement | 197 |
| SFF/Contango Trading SA | 197 |
| Lucchini Spa | 197 |
| 10.3 Dependency | 198 |
| 11. NON-COMPLIANCE, SECURITY AND OPERATIONAL RISKS | 199 |
| 11.1 Compliance | 201 |
| Organization | 201 |
| Measurement and supervision of non-compliance risk | 201 |
| Product governance and supervision | 201 |
| Customer protection | 201 |
| Activities in 2018 | 202 |
| French Banking Separation and Regulation Act (SRAB) | 203 |
| 11.2 Financial security | 204 |
| Organization | 204 |
| Activities in 2018 | 205 |
| 11.3 Business continuity | 206 |
| Organization | 206 |
| Activities in 2018 | 206 |
| 11.4 Information System Security (ISS) | 207 |
| Organization | 207 |
| Activities in 2018 | 207 |
| 11.5 Operational risks | 209 |
| Organization | 209 |
| Activities in 2018 | 209 |
| Incident and loss data collection | 210 |
| Operational risk oversight | 211 |
| Incident alert procedure | 211 |
| Operational risk measurement | 212 |
| Operational risk mitigation techniques | 213 |
| 11.6 Compliance and Risks – Insurance & Non-Banking Operations | 214 |
| Insurance compliance and risks | 214 |
| Additional supervision of financial conglomerates | 214 |
| Asset management risks and compliance | 215 |
| Activities in 2018 | 215 |
| 11.7 Technical Insurance risks | 217 |
| Natixis Assurances | 217 |
| Coface | 218 |
| CEGC | 219 |
| 12. CLIMATE RISKS | 221 |
| 12.1 Organization | 222 |
| 12.2 Activities in 2018 and strategic guidelines | 223 |
| 13. REMUNERATION POLICY | 225 |
| 14. APPENDICES | 227 |
| 14.1 Index to Pillar III Report tables | 228 |
| 14.2 Cross-reference table for the Pillar III Report | 230 |
| 14.3 EDTF cross-reference table | 231 |
| 14.4 Glossary | 232 |