BPCE - 2020 Universal Registration Document

RISK FACTORS & RISK MANAGEMENT

INSURANCE, ASSET MANAGEMENT, FINANCIAL CONGLOMERATE RISKS

Insurance, asset management, 6.13 financial conglomerate risks

Organization

The Non-Banking Participations Risk department comprises the Insurance Risk, Asset Management Risk and Additional Supervision of Financial Conglomerates divisions.

Insurance risks

Insurance risk is the risk of any mismatch between expected losses and actual losses. Depending on the insurance products concerned, the risk varies according to changes in macroeconomicfactors, changes in customer behavior, changes in public health policy, pandemics, accidents and natural disasters ( e.g. such as earthquakes, industrial accidents or acts of terrorism or war). The credit insurance business is also exposed to credit risk. The management of insurance risks requires a good understanding of the technical insurance risks in order to be able to meet its commitments to policyholders and contract beneficiaries; this is accompanied by special attention to the financial risks borne by assets under representation. In addition to protecting the balance sheet and income statement of insurance companies, the aim is to guarantee the solvency and liquidity of insurance companies. To this end, the Group’s companies have put in place effective systems for measuring, reporting and managing risks. The important preparatory phase enabled the implementationof the systems to comply with the new regulatory requirements required since January 1, 2016 with the implementation of the Solvency II directive (Pillar I Quantitative Solvency Requirements, Pillar II Governance & ORSA, Pillar III Prudential reporting and public information). In addition, since 2011 the Group has deployed an insurance risk unit. It meets the requirements of the Financial Conglomerate Directive 2002/87/EC (FICOD) and its transposition in France by the decree of November 3, 2014 on the additional supervisionof

financial conglomerates, through the cross-functional risk monitoring system. Group insurance, and by ensuring, at the same time, the functional and regulatory interoperability between the banking and insurance sectors. Groupe BPCE’s Risk division, in coordination with the Natixis Insurance division, ensures the effective implementation and functioning of insurance risk monitoring systems (including technical ones) within the main insurance organizations, of which the Group is the reference shareholder, namely: the Compagnie Européenne de Garanties et de Cautions (CEGC), Prepar-Vie and Natixis Assurances including its subsidiary BPCE Assurances. Following the agreement to sell 29.5% share capital by Natixis to Arch Capital, Coface is consolidated on the basis of IAS 28 applicable to non-controlled companies. This investment no longer falls within the scope of the Group Insurance and Financial Conglomerate Risk divisions. Insurance Risk Monitoring Committees (CSRAs) have been formally set up for each company, which meet on a quarterly basis. In this context, the principle of subsidiarity applies, with checks carried out firstly by the insurance companies, then at the level of the Risk divisions of the parent banking companies of the companies (Natixis and BRED Banque Populaire), and finally by the Risk division of the parent companies of the companies (Natixis and BRED Banque Populaire). Groupe BPCE’s Risk division, which informs the Group Risks and Compliance Committee (CRCG) every six months.

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Asset Management risks

Like the system adopted for the Insurance business line, the operation of this system is based on subsidiarity with the Risk divisions of the parent banks and business lines; in particular, Natixis Investment Managers, which consolidates most of the Group’s assets under management. By setting up an Asset Management Risk System, the Risk division pursues the following main objectives: identify the major risks that could impact the Group’s 1. solvency trajectory as a Financial Conglomerate to cover its banking or Conglomerate prudential ratios;

be associated with the contributions of the sector during 2. Group exercises (ICAAP, PPR, stress test, etc.) so as to identify the risks of the business model on the contribution to results and equity, quantify them and prioritize them; organize the management of the system by specifying a risk 3. review and setting up a formal quarterly meeting; informGeneral Managementby presenting a summary of the 4. review of the risks of our Asset Managementactivities to the CRCG.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE