BPCE - 2019 RISK REPORT Pillar III

9

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

GOVERNANCE AND STRUCTURE

Governance and structure 9.1

Like all credit institutions, Groupe BPCE is exposed to structural liquidity, interest rate and foreign exchange risks. These risks are closely monitored by the Group and its institutions to secure immediate and future income, balance the balance sheets and promote the Group’s development. Groupe BPCE’s Audit Committee and Supervisory Board are consulted on general ALM policy and are informed of major decisions taken regarding liquidity, interest rate and foreign exchange risk management. The implementation of the chosen policy is entrusted to the Group Asset and Liability Management Committee. Each year, Groupe BPCE’s Supervisory Board validates the main lines of the ALM policy, i.e. the principles of market risk measurements and levels of risk tolerance. It also reviews the risk limit system each year. Each quarter, BPCE Group’s Audit Committee is informed of the Group’s position through management reports containing the main risk indicators. The Group Asset and Liability Management Committee, chaired by the Chairman of BPCE’s Management Board, is responsible for the operational implementation of the established policy, and for the management of the structure and operation of the risk management system. This committee notably sets the rules and limits governing the management of the three major risk categories applicable at the consolidated level and to each

institution, as well as the main guidelines in terms of funding policy, allocation of liquidity to the business lines and management of risk indicators. It regularly monitors the risk indicators and changes to the main structural balance sheet aggregates of the Group and its main institutions. The structural liquidity, interest rate and foreign exchange risk management policy is also jointly implemented by the Asset/Liability management function (oversight of funding plan implementation, management of liquidity reserves, cash management, calculation and monitoring of the various risk indicators) and the Risk Management function (validation of the control framework, validation of models and agreements, controls of compliance with rules and limits). The Group Financial Management division and the Group Risk Management division are responsible for adapting this framework to their respective functions. The adaptation of the operational management framework within each institution is subject to validation by the Board of Directors, the Steering Board and/or the Supervisory Board. Each institution has a special operational committee that oversees implementation of the funding strategy, Asset and Liability management and management of liquidity, interest rate and foreign exchange risks for the institution, in line with rules and limits set at Group level. The Banque Populaire and Caisse d’Epargne networks implement the risk management system using a shared Asset/Liability management tool.

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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