BPCE - 2018 Risk report / Pillar III

APPENDICES EDTF cross-reference table

EDTF cross-reference table 14.3

Recommendation INTRODUCTION 1

Page No.

Cross-reference table

228-229

6; 83-90;100; 136-137;152-153; 165-166;178-180; 207-211;215-218; 230; 235

2 3 4

Terminology and risk measurement, key inputs used Descriptionof principal and/or emergingrisks

11

New solvency regulatory framework and Groupe BPCE targets

28-29; 37-39

RISKGOVERNANCE AND RISKMANAGEMENT STRATEGY 5 Organization of risk management and control

21-26; 63-74

6 7

Risk culture

67-69

Risk mapping by business line

8; 36

38; 71-74; 76-77; 167-168;170

8

Management and governance of internal credit and market stress testing

CAPITALREQUIREMENTS AND RISK-WEIGHTED ASSETS 9 Minimum capital requirements

29

10a 10b

Breakdown of regulatory capital

32-34 30-31 33-34 37-39

Reconciliation of the accountingbalancesheetandtheregulatorybalancesheet.

11 12 13 14 15 16 17

Changes in regulatory capital

Capital planning andtargetCRD IV ratios

Risk-weighted assetsby business lineandby typeof risk

36 35

Risk-weighted assetsandcapital requirements by methodandexposureclass

94-95; 101; 110-111;122-129

Exposure tocredit risk by exposure class andinternal rating

Changes in risk-weighted assetsby risktype

35-36

Descriptionof back-testingmodelsandtheirreliability

89; 133

LIQUIDITY 18

Liquidity management and liquidityreserves

177-190

19 20 21

Encumbered assets

188 182 183

Breakdown of financialssetsandliabilitiesby contractualmaturity

Fundingstrategy

MARKETRISKS 22 to24 Market riskmeasurement

163-168 163-168

25

Market riskmanagement techniques

CREDIT RISK 26

Credit risk– maximum exposure, breakdown a ddiversification

94-95 78-82

27 and 28 Provisioning policy and riskhedging

29 30

Derivatives: notional amounts, counterparty risk, clearing

148

Credit riskmitigationmechanisms

91-93; 116-117

OTHER RISKS

Other risks: Insurancesector risks, operationalrisks and legal risks, informationsystem security and business continuity plans

31 32

191-196;197-218 191-196;207-214

Publicly known risksandeffortsto addressoperational and legalrisks

14

229

Risk Report Pillar III 2018