BPCE - 2020 Universal Registration Document

RISK FACTORS & RISK MANAGEMENT

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

Management of structural foreign exchange risk 6.9.5

Structural foreign exchange risk is defined as the risk of a realized or unrealized loss due to an unfavorable fluctuation in foreign currency exchange rates. The management system distinguishes between the structural exchange risk policy and the management of operational foreign exchange risk.

Natixis’ structural exchange rate positions on net investments in foreign operations funded with currency forwards are tracked on a quarterly basis by its Asset and Liability Management Committee in terms of sensitivity as well as solvency. The resulting risk indicators are submitted to the Group Asset and Liability Management Committee on a quarterly basis. QUANTITATIVE DISCLOSURES As of December 31, 2020, Groupe BPCE, subject to regulatory capital requirements for foreign exchange risk, recorded a stable foreign exchange position of €3,413 million versus €3,206 million at end-2019, with €273 million for foreign exchange risk. The foreign exchange position is mainly carried by Natixis.

FOREIGN EXCHANGE RISK OVERSIGHT AND MANAGEMENT SYSTEM

For Groupe BPCE (excluding Natixis), foreign exchange risk is monitored using regulatory indicators (measuring corresponding capital adequacy requirements by entity). The residual foreign exchange positions held by the Group (excludingNatixis) are not material because virtually all foreign currency assets and liabilities are match-funded in the same currency. As regards international trade financing transactions, risk-taking is limited to counterparties in countries with freely-translatable currencies, provided that translation can be technically carried out by the technically managed by the entity’s information system.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE