BPCE_PILLAR_III_2017

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS Managing structural foreign exchange risk

Managing structural foreign exchange risk 9.5

Structural foreign exchange risk is defined as the risk of a realized or unrealized loss due to an unfavorable fluctuation in foreign currency exchangerates. The managementsystem distinguishesbetween the structuralexchangerisk policy and the managementof operationalforeign exchange risk.

Foreign exchange risk oversight and management system For Groupe BPCE (excluding Natixis), foreign exchange risk is monitored using regulatory indicators (measuring corresponding capital adequacy requirements by entity). The residual foreign exchange positions held by the Group (excluding Natixis) are not material because virtually all foreign currency assets and liabilities are match-funded inthe same currency.

currencies, on the condition that translation can be technically carried out by the entities’ information systems. Natixis’ structural exchange rate positions on net investments in foreign operationsfunded by buying currencyforwardsare trackedon a quarterlybasis by its Asset and LiabilityManagementCommitteein terms of sensitivity as well as solvency. The resulting risk indicators are submitted to the Group Asset and Liability Management Committee ona quarterlybasis.

As regards international trade financing transactions, risk-taking must be limitedto counterpartiesin countrieswith freely-translatable

Quantitative disclosures

€ 2,993 million at end-2016, with € 228 million for foreign exchange € 257 million at end-2016. The foreign exchange risk compared to

For the period ended December 31, 2017, Groupe BPCE, subject to regulatory capital requirements for foreign exchange risk, saw its

€ 2,792 million versus

foreign exchange position decrease to

position ismainlycarried by Natixis.

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Risk Report Pillar III 2017