BPCE - 2019 RISK REPORT Pillar III

Contents

Communication policy and structure of the Pillar III report

8

MARKET RISKS

167

3

Market risk policy 8.1

168 169

Market risk management 8.2

1

Market risk measurement methods 8.3

171

KEY FIGURES

5

Quantitative disclosures 8.4

173 176

1.1

Types of risk

8 9

Detailed quantitative disclosures 8.5

Regulatory changes 1.2

9

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

2

RISK FACTORS

11

181 182 183 185 188

Governance and structure 9.1

3

RISK MANAGEMENT SYSTEM

23

Liquidity risk management policy 9.2

Quantitative disclosures 9.3

Adequacy of risk management systems 3.1

24 24 28 35 40

Management of structural interest rate risk 9.4 Management of structural foreign exchange 9.5 risk Detailed quantitative disclosures on liquidity 9.6 risk

Risk appetite 3.2

Risk management 3.3 Internal control 3.4 Recovery Plan 3.5

189

190

4

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

10 LEGAL RISKS

195

41 42 44 46

Legal and arbitration proceedings – BPCE 10.1 Legal and arbitration proceedings – Natixis 10.2

196 197 201

Regulatory framework 4.1 Scope of application 4.2

Dependency 10.3

Composition of regulatory capital 4.3 Regulatory capital requirements 4.4 and risk-weighted assets Management of capital adequacy 4.5 Detailed quantitative disclosures 4.6

11 NON-COMPLIANCE AND SECURITY RISKS

49

203

51

55

Compliance 11.1

205 208 209 210

Financial security 11.2 Business continuity 11.3

5

CREDIT RISKS

75

Information System Security (ISS) 11.4

Credit risk management 5.1

76 82 88

Risk measurement and internal ratings 5.2 Credit risk mitigation techniques 5.3

12 OPERATIONAL RISKS

213

Quantitative disclosures 5.4

91

Insurance risks

217

Detailed quantitative disclosures 5.5

100

13 CLIMATE RISK

221

6

COUNTERPARTY RISK

135

Highlights and strategic objectives

223

Counterparty risk management 6.1

136 137 138

Quantitative disclosures 6.2

14 REMUNERATION POLICY

225

Detailed quantitative disclosures 6.3

7

15 APPENDICES

SECURITIZATION TRANSACTIONS Regulatory framework and accounting 7.1 methods Securitization management at Groupe BPCE 7.2

151

227

Index to Pillar III report tables 15.1 Pillar III cross-reference table 15.2 EDTF Cross-Reference Table 15.3

228 230 231 232

152 155 156 159

Quantitative disclosures 7.3

Glossary 15.4

Detailed quantitative disclosures 7.4