BPCE - 2020 Universal Registration Document

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RISK FACTORS & RISK MANAGEMENT

CLIMATE RISKS

OBJECTIVE OF THE EUROPEAN BANKING AUTHORITY (EBA) The EBA aims to develop a dedicated climate change stress test whose main objective is to identify the vulnerabilities of banks to climate-related risk and to quantify the relevance of exposures that could be potentially affected by it. physical risk and transition risk. As climate stress testing frameworks are under development, there are multiple constraints in designing a robust framework. In the short-term, as part of the regular risk assessment of EU banks, a climate risk sensitivity analysis is undertaken in the second half of 2020 for a sample of voluntary banks. The exercise is focused on transition risks and could cover a longer horizon than the horizon of the exercises usually carried out by EBA. The objective of the sensitivity analysis will be to better understand the vulnerabilities of banks to climate change risks and to provide, based on the work of the voluntary banks, a first estimate of the amount of green exposures held by banks according to the Taxonomy European.

are used as a basis for reflection in strategic work for integration into information systems and customer monitoring. BPCE and Natixis voluntarily participated in the market work carried out by UNEP FL and the European Banking Federation (FBE) during the summer of 2020 on the method for applying the European taxonomy to banking assets. Several counterparties from different sectors were therefore analyzed according to the principles of taxonomy. The analysis methodologies, the assumptions used to arrive at a conclusive indication, and the difficulties encountered were shared between European banks in order to collectively better control the exercise. The main conclusions of the exercise are (i) a better knowledge of our customers thanks to this analysis process but (ii) a low availability of the information required for the analyzes. Indeed, companies rarely and imprecisely publish the indicators referenced in the European taxonomy, forcing them to make assumptions or to ignore certain entire sections of the analyzes making the results imperfect. BPCE and Natixis also voluntarily participate in the sensitivity exercise conducted by the European Banking Authority (EBA), which aims to collect the green portion of asset portfolios. At the end of 2020, the EBA is continuing its own analysis while at the same time analyzes are carried out internally in the voluntary banks. The exercise raised the same difficulties as that carried out by the UNEP FL and the FBE, namely the lack of availability of information and the lack of uniformity of publications.

USE OF EUROPEAN TAXONOMY

Groupe BPCE is preparing to use the European taxonomy, which is still under construction, and is attempting to integrate it into these various analyzes. The criteria of the European taxonomy are recalled in the sectoral credit granting policies and

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

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