BPCE - 2020 Universal Registration Document

RISK FACTORS & RISK MANAGEMENT

CLIMATE RISKS

Regulatory environment 6.14.4

RESISTANCE TEST ACPR CLIMATE PILOT EXERCISE

raise awareness among financial institutions of the challenges • of climate risks, in order to integrate them into long-term strategic decisions; provide an assessment of the costs of the various transition • scenarios; identify the limitations and shortcomings of current • measurement tools, data, methodologies and indicators; enable supervisors to acquire tools to analyze and assess the • challenges of climate risks on the stability of financial institutions. To this end, the Risk divisions of BPCE SA and Natixis have worked closely with other departments to: identify the data that can be used for the exercise; • build and run the projection models; • establish strategic sector changes in line with Groupe BPCE’s • commercial ambitions. The exercise will end in the first half of 2021 with the integration of a second round that will take into account the physical climate risk based on contributions from French insurers. This pilot exercise enabled Groupe BPCE to develop internal skills on these climate modeling topics and will reuse this exercise by going further in the assumptions and detail of the projections.

Groupe BPCE is participating in the ACPR climate pilot exercise, which began in May 2020 with the publication of the preliminary scenarios and assumptions for the exercise as well as the analytical framework by the Banque de France. It covers insurance and banking, for credit and market risks, for transition and physical risks, but does not cover the solvency of financial institutions. The analysis is carried out with reference to France’s National Low Carbon Strategy (SNBC) and for at least 80-85% of sensitive exposures in France, Europe excluding France and the United States, on a sectoral basis. It is based on projections of macroeconomic and financial variables up to 2050 with steps of five years, first with a static balance sheet in 2025, then dynamic from 2030 until 2050. This exercise is based on three carbon emissions and price scenarios selected by the ACPR: orderly, delayed and accelerated transition, as well as the scenario without transition. Its purpose is to: test the resilience of the French financial system and • institutions to a transition to a zero-carbon economy in order to meet the international objectives of the Paris Climate Agreement or to an increase in extreme climate events;

The calendar for the ACPR and internal publications for this fiscal year is as follows:

Publication of the scenarios and provisional assumptions for the financial year by the ACPR for consultation: publication of the analytical framework by the Banque de France

End of 2020/2021 Methodological work, in particular as part of the “Finance ClimAct” project Development of databases and tools

January - March 2021 Harmonization phase with institutions and second-round effects (indirect integration of physical risk )

Provisional results submitted by institutions for a first harmonization

May 2020

October 2020

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Mid-July 2020

December 2020

April 2021

End of consultation period and additional work on physical risk. Update and publication of the final assumptions of the pilot exercise

Submission of results by institutions (banks: first round on transition risk and insurance)

Publication of aggregate results; no individual result

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE