BPCE - 2019 Universal Registration Document

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CLIMATE RISK RISK REPORT

Climate risk 6.13

the FBF’s Climate Commission, chaired by Laurent Mignon, • Chairman of the Groupe BPCE Management Board. The FBF encourages its members to adopt a carbon strategy and to work with the supervisory authorities to develop methodologies to assess the exposure of their portfolios to climate risks and to align investment portfolios with a 2°C scenario. On September 23, 2019, Natixis and Groupe BPCE signed the Principles for Responsible Banking, which define the role and responsibility of the banking industry in building a sustainable future, in keeping with the UN Sustainable Development Goals and the 2015 Paris climate agreement. Groupe BPCE also contributes to the work of the European banking associations on the Net Zero Initiative, with the goal of making progress on its climate risk management policy and expanding its environmental expertise.

In the interest of combating climate change and contributing to the goal of becoming carbon neutral by 2050, Groupe BPCE continued its efforts and investments in the oversight and management of climate risk this year. The Group’s Climate Risk Officer, in the Risk Governance department, takes part in: the AMF’s Climate and Sustainable Finance Commission, • created on July 2, 2019, whose role is to develop practices, increase transparency and facilitate the incorporation of sustainability and funding in favor of more sustainable activities; the ACPR’s Climate Commission, which regularly monitors • and assesses the commitments undertaken by banks and insurers, and ensures that such commitments are consistent with the strategic guidelines of institutions. It also coordinates with the NGFS (Network for Greening the Financial System) created by France, which now totals nearly 50 central bank and international organizations among its supervisors;

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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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

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