BPCE - 2019 RISK REPORT Pillar III

APPENDICES

EDTF CROSS-REFERENCE TABLE

EDTF Cross-Reference Table 15.3

Recommendation INTRODUCTION 1

Pages

Cross-reference table

230

8 ; 82-87 ; 100 ; 136-137 ; 152-154 ; 171-172 ; 183-184 ; 214-220 ; 232-237

2 3 4

Terminology and risk measurement, key inputs used Description of principal and/or emerging risks New solvency regulatory framework and Groupe BPCE targets

11-22 ; 27

42-43 ; 51-53

RISK GOVERNANCE AND RISK MANAGEMENT STRATEGY 5 Organization of risk management and control

23-40

6 7

Risk culture

32

Risk mapping by business line

7 ; 50

24-26 ; 34 ; 79 ; 169-172 ; 174 ; 180

8

Management and governance of internal credit and market stress tests

CAPITAL REQUIREMENTS AND RISK-WEIGHTED ASSETS 9 Minimum capital requirements

42-43 46-48 44-45 46-48 51-54

10a 10b

Breakdown of regulatory capital

Reconciliation of the accounting balance sheet and the regulatory balance sheet

11 12 13 14 15 16 17

Changes in regulatory capital

Capital planning and target CRD IV ratios

Risk-weighted assets by business line and by type of risk

50 49

Risk-weighted assets and capital requirements by method and exposure class

Exposure to credit risk by exposure class and internal rating Changes of risk-weighted assets by type of risk Description of back-testing models and their reliability

122-129

49-50

87 ; 133

LIQUIDITY 18

Liquidity management and liquidity reserves

182-187 ; 190-193

19 20 21

Encumbered assets

192-193

Breakdown of financial assets and liabilities by contractual maturity

186 187

Funding strategy

MARKET RISKS 22 to 24

Market risk measurement

171-172 171-172

25

Market risk management techniques

CREDIT RISK 26

Credit risk – maximum exposure, breakdown and diversification

91-94 78-81

27 and 28 Provisioning policy and risk hedging

29 30

Derivatives: notional amounts, counterparty risk, clearing

148

Credit risk mitigation mechanisms

89-90

OTHER RISKS 31

Other risks: Insurance sector risks, operational risks and legal risks, information system security and business continuity plans

196-223

32

Publicly known risks and efforts to address operational and legal risks

195-200 ; 213-220

15

231

RISK REPORT PILLAR III 2019 | GROUPE BPCE