BPCE - 2020 Universal Registration Document

RISK FACTORS & RISK MANAGEMENT

CLIMATE RISKS

MACRO-RISK MAPPING Since 2019, the macro-riskmapping includes climate risks in the “strategic, business and ecosystem risks” category. Initial indicators have been defined and are being monitored in order to assess their relevance: the sum of “brown” assets under the ACPR definition dating from 2017, renewable energy assets and sectoral climate provisions are measured. These indicators, which may be subject to change, enable an initial identification of outstandings and raise employee awareness of the climate risk of transition. In line with the mapping of ACPR and ECB risks, climate risks are clearly identified in the forward-looking risk analysis. A tool for identifying asset exposure to physical climate risks has been developed by the Climate Risks division. Several data sources are used, offering granular visibility of the exposure to physical climate risks. More generally, the tool will enable customer managers and the Risk division of Groupe BPCE’s regional institutions to have an overview of their clients’ exposure to the climate hazard in question, thus facilitating risk management but also identifying potential risks. adaptation opportunities for our clients and projects to be financed for the banker. CREATION OF A TOOL FOR IDENTIFYING ASSET EXPOSURE TO PHYSICAL CLIMATE RISKS

The first level classifies customers in the duty of care category according to their operating context, the maturity of their non-financial risk management system, the controversies to which they may be subject and the business relationship they interview with Natixis. The second level allows for an in-depth analysis of the most material ESG risks. Focused on counterparties identified as the most sensitive, it is usually accompanied by a direct discussion with the client. In addition, in order to accelerate its transition to green finance, Natixis uses the Green Weighting Factor, a tool to gradually align its financing activities with the objectives of the Paris Agreement. on the climate. FINANCIAL RISKS An analysis of bond portfolios has been offered by the Climate Risk division to institutions since early 2020. The purpose of these analyzes is to provide institutions with reliable information, based on the ratings assigned by an non-financial rating agency. This information enables institutions to manage their liquidity portfolios in relation to the environmental, social and governanceelements provided by the agency and to be able to communicate on their incorporation of ESG criteria. At the end of 2020, all investments were supplemented by this ESG information, for the institutions that wanted this analysis in 2020 (the generalization is for 2021). As institutions become familiar with these tools, it will be necessary to develop an investment policy based on these ESG criteria in addition to the financial criteria. Exploratory work was carried out during the year in order to assess the alignment of these portfolios with the +2°C objective of the Paris Agreement.

Awareness and training 6.14.3

AWARENESS/TRAINING DEPLOYMENT OF A THEMATIC VERSION OF THE RISK PURSUIT ON CLIMATE RISKS The Climate Risk Pursuit is an interactive training tool developed by the Risk division in close collaboration with the CSR/Sustainable Development department. This tool aims to raise awareness among all Group employees about climate risks, their impacts and environmental, social and governance issues. This interactive training module, accessible on the Group’s training platform, is a fun quiz.

DISTANCE LEARNING IN THE FORM OF MOOCS The Climate Risks division is developing online training on climate risks and their challenges for bankers and insurers on a suitable platform. This training will take place in one-hour chapters, combining video, interview, presentation and accessible to all Group employees. The purpose of this online training is to: understanding the challenges of climate change and the risks • involved; identify the climate risks weighing on customers and their • financial impacts; analyze climate risks using associated tools; • formalize opportunities and action levers for the banker and • the insurer. Its deployment began at the end of 2020 and will continue in 2021.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE