BPCE - 2020 Universal Registration Document

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RISK FACTORS & RISK MANAGEMENT

In the Asset Management business line, the Risk division formally ensures: the coordination of the risk system (cross-functional workshops or focus); running cross-functional projects related to the banking sector; information to General Management with a summary report for the members of the CRCG. The system is based on contributions from asset management companies and their work on risks. Due to its large majority, the system relies mainly on Natixis Investment Managers. The re-use of existing work and

methodologies locally is favored to establish supervision at the Group level. Key risk monitoring indicators are determined with Natixis IM in coordination with Natixis. The Risk division, together with Natixis and/or Natixis IM, anticipates the impacts of consultationsand regulatory changes. The system also provides for the implementation of an annual review for asset managementcompanies that are not significant at the Group level but significant for their parent banking company for the following entities: EcoFi Investissements, Palatine AM and Promepar AM.

Additional monitoring of the financial conglomerate

Groupe BPCE, identified by the ACPR/ECB as a financial conglomeratedue to the absolute and relative size of its banking and insurance activities, is subject to the related additional monitoring requirements (1) . Since the entry into force of the Single SupervisoryMechanism (SSM), the ECB has coordinated the supervision of predominantly banking financial conglomerates.

As regards the financial conglomerate,CNP Assurances,in which BPCE is a minority shareholder, is subject to Group supervision because of its significance. This is done through a dedicated mechanism (CNP complementarymonitoring committee) set up between the two groups. This committeeis governedby internal rules, which set out the procedures for exchanging information necessaryfor the organizationof this monitoring,and the rules of confidentiality applicable to its members.

Additional monitoring of the Financial Conglomerate

Additional quarterly Supervisory Committee dedicated to CNP (CSC CNP)

Conglomerate Financial Committee

Engagement letter

Approved by the Executive Board in December 2017 Identifies the work and players

Review of all risks, Focus on thematic risks, Coordination of cross-functional issues (Stress Tests, IFRS 17, etc.)

3/4 times a year depending on the themes & subjects reported in CRCG

The regulation related to the conglomerate requires an overview of the entire accounting consolidation scope (banking, insurance, Asset Management and non-financial sector). Additional monitoring focuses on: capital adequacy of the “financial conglomerate;” • monitoring of intra-group transactions between the various • entities of the conglomerate; monitoring the concentration of risks; • risk management procedures and internal control system. • In terms of risk monitoring: the financial conglomerate approach aims to capture the main • interactions between the banking, insurance and Asset Management sectors that could, due to an exogenous or endogenous event, impact the Group’s risk profile and its main trajectories (results, results, etc. solvency, liquidity); it makes it possible to consolidate the banking and insurance • sector metrics, in particular capital requirements;

complementary supervision is based mainly on the banking • system as a whole, and on the insurance and Asset Management risks. In order to provide a forward-looking view of the Group’s solvency through the financial conglomerate’s reading grid, Groupe BPCE projects the excess equity over several years under different scenarios. The conglomerate’s excess equity is monitored in the Group’s RAF (Risk Appetite Framework) first-rate indicators. The entire system, in its main dimensions – insurance, Asset Management, banking, financial conglomerate –is the subject of presentations and discussions with the joint ECB/ACPR supervision team, in particular at meetings. dedicated to the JST (Joint Supervisory Team). In particular, the organization of the risk management system, as well as the main analyzes and points of attention brought to the attention of BPCE’s General Management during the year, are reviewed.

(1) Directive 2002/87/EC of December 16, 2002 (as amended) on the additional supervision of credit institutions, insurance companies and banks belonging to a financial conglomerate, transposed into French law by the French law Order No. 2004-1201 of November 12, 2004, and the order of November 3, 2014 on the additional supervision of financial conglomerates.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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