BPCE - 2019 RISK REPORT Pillar III

CLIMATE RISK

HIGHLIGHTS AND STRATEGIC OBJECTIVES

Highlights and strategic objectives

In line with the guidelines of the Task Force on Related Financial Disclosures, in the wake of the April 2015 G20 summit, Groupe BPCE carried out the following initiatives in 2019:

• Strategic objectives were implemented by the “Funding a responsible economy” project: Reducing the Group’s carbon emissions ; Increasing the funding of the energy transition; Increasing responsible deposits and savings ; Developing the brokerage of sustainable financing (green or social). • Natixis Assurances undertook to align its funding with the goals of the Paris agreement and the 2°C scenario.

• Under the 2018-2020 strategic plan “Funding a responsible economy”, climate risks were addressed by the oversight committees. • A Climate Risk department was created in the Risk Governance division (part of the Risk division) on January 1, 2019, in conjunction with the CSR department of BPCE SA’s Retail Banking and Insurance division. • Climate risk and CSR expertise were represented on the Sector Risk Oversight Committees.

GOVERNANCE

POLICY

INDICATORS AND METRICS

RISK MANAGEMENT

• Systematic incorporation of ESG criteria in credit risk policies. • Incorporation of climate risk in the Group internal risk database and in macro-level risk mapping. • Definition of transparent sector policies on controversial activities for Natixis, with an updated coal sector policy. • Implementation of the “Green Weighting Factor” tool, the first in the world created by Natixis, to analytically adjust RWAs of Natixis financing solutions according to their impact on the climate.

• Definition of ESG performance indicators specific to each sector in progress. • Creation of a classification system to identify green assets in the information systems. • Carbon footprint measurement tool to assess the carbon impact of Mirova fund strategies. • Software tool for determining the Group’s GHG footprint. • Participation in marketplace initiatives to develop climate stress tests incorporating transition and physical risks.

Details on these initiatives and commitments are provided in Chapter 2 “Non-financial performance report” of Groupe BPCE’s 2019 universal registration document. In line with the mapping of ACPR and ECB risks, climate risks are clearly identified in the forward-looking risk analysis.

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RISK REPORT PILLAR III 2019 | GROUPE BPCE