BPCE - 2018 Risk report / Pillar III

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS Management of structural foreign exchange risk

Management of structural foreign exchange 9.5 risk

Structural foreign exchange risk is defined as the risk of a realized or unrealized loss due to an unfavorable fluctuation in foreign currency exchangerates. The managementsystem distinguishesbetween the structuralexchangerisk policy and the managementof operationalforeign exchange risk.

Foreign exchange risk oversight and management system For Groupe BPCE (excluding Natixis), foreign exchange risk is monitored using regulatory indicators (measuring corresponding capital adequacy requirements by entity). The residual foreign exchange positions held by the Group (excluding Natixis) are not material because virtually all foreign currency assets and liabilities are match-funded inthe same currency.

currencies,providedthat translationcan be technicallycarried out by the technicallymanaged by the entity’s information system. Natixis’ structural exchange rate positions on net investments in foreign operations funded with currency forwards are tracked on a quarterly basis by its Asset and Liability ManagementCommittee in terms of sensitivity as well as solvency. The resulting risk indicators are submitted to the Group Asset and Liability Management Committee ona quarterlybasis.

As regards international trade financing transactions, risk-taking is limited to counterparties in countries with freely-translatable

Quantitative disclosures

€ 2,792 million at end-2017, with € 212 million for foreign exchange € 228 million at end-2017. The foreign exchange risk compared to

For the period ended December 31, 2018, Groupe BPCE, subject to regulatory capital requirements for foreign exchange risk, saw its

€ 2,597 million versus

foreign exchange position decrease to

position ismainlycarried by Natixis.

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Risk Report Pillar III 2018