BPCE - 2020 Universal Registration Document

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RISK FACTORS & RISK MANAGEMENT

CLIMATE RISKS

Climate risks 6.14

Governance and structure 6.14.1

Since January 1, 2019, Groupe BPCE has had a Climate Risks division within the Risk Governance department of the BPCE Risk division. Following the creation of this division, climate risk correspondents were appointed in the establishments of the Banque Populaire and Caisse d’Epargne networks, as well as in the Group’s subsidiaries in the summer of 2020. The Climate Risks division has carried out numerous works relating to the governance, strategy and management of climate and environmental risks.

The creation of a Climate Risk Committee, chaired by the Chairman of Groupe BPCE and bringing together three members of BPCE’s General Management Committee, demonstratesthe Group’s interest in these issues. This biannual Committee met for the first time on December 5, 2020 and provides an opportunity to address climate issues from a cross-functional perspective for the Group and its various business lines.

Acceleration of the integration of a section dedicated to climate risks 6.14.2 and Environmental, Social and Governance (ESG) criteria

CREDIT RISKS The ESG criteria are included in the Group’s overall risk policy and applied in sectoral policies. Since 2019, the considerationof climate risks has been updated with each review of the Group’s sectoral policies by the Credit Risk division. A sector review of ESG risks was carried out by the CoREFI (Committee for Non-Financial Risks, composed of the CSR and Climate Risk teams) in the first quarter of 2020 and each sector will be reviewed at least every two years and at a rate closer according to needs and circumstances. CoREFI has prepared a sector rating based on ESG criteria, in accordancewith the ESG methodology specified below. This rating and the analysis methodology were validated by the Standards and Methods Committee on June 12, 2020. The CoREFI rating enabled a sector classification to be validated by the Sector Monitoring Committee, which was communicated to the institutions and subsidiaries. The Climate Risk division is adding a non-financial note, from end of 2020 forward, from the counterparty and a reminder of the ESG issues in its business sector to the corporate customers’ analysis sheets. The rating of the corporate under review is calculated by an non-financial rating agency. The reminder of the ESG issues is based on the analyzes of CoREFI’s sector policies mentioned above. These elements will be used for credit committees and the granting of credit. The ESG methodology has been developed with the aim of integrating Environmental, Social and Governance criteria into risk analysis in granting credit and monitoring risks. It is suitable for sector policy analysis and can also be used for individual analyzes. The ESG analyzes are broken down into five components: a background note in terms of current and future challenges 1) and regulations, enabling the assessment of climate and ESG risks related to the sector; recommendations and points of attention: provision of a table 2) summarizing the vulnerabilities of the sector with regard to ESG criteria: physical climate risks, transition climate risks,

risks related to the loss of biodiversity or resulting in a decrease in the biodiversity, social and societal risks, as well as governance risks; any adherence to national or international conventions and 3) standards: this section includes the indicators, standards, labels and standards in force in the sector analyzed; an non-financial rating: after identifying the three main 4) counterparties in the sector financed by the institutions and subsidiaries, an explanation of the non-financial ratings assigned by major rating agencies is proposed; taking into account the European taxonomy: The European 5) taxonomy specifies specific criteria to determine the sustainability of economic activities with a European carbon emission target reduced by 60% by 2030 and carbon neutrality by 2050. In order to increase the incorporation of ESG criteria, an ESG questionnaire was drawn up in 2019 and shared in 2020 with the Group’s institutions. Composed of ten questions, this interview guide enables customer service managers to gather information on the maturity of customers on ESG subjects. It thus makes it possible to engage in a dialogue on the company’s strategy and to position the banker as a partner of choice to support the client in the transition to a sustainable economy. The objective is to use this data in financing decisions and risk monitoring. The operational implementation is currently being prepared with the Commitments and Risk divisions as well as the Climate Correspondents of the Banque Populaire and Caisse d’Epargne networks and Banque Palatine. Lastly, this ESG questionnaire is also a tool to raise awareness of climate and environmental issues for the Group’s employees in the Sales and Marketing departments as well as in the commitments and Risk divisions, as well as professional and corporate clients. Natixis also has a tool developed in parallel with the ESG Questionnaire and adapted to the profile of its counterparties: the ESR Screening Tool. This system, which was gradually introduced in all regions in 2020, has two levels of assessment integrated into existing risk management systems:

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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