BPCE_PILLAR_III_2017

Contents Communication policy and structure of the Pillar III report

3

8 MARKET RISKS Market risk policy 8.1

155

1 GENERAL STRUCTURE OF GROUPE BPCE’S INTERNAL CONTROL SYSTEM

156 157 159 161 164

Market risk management 8.2

5

Market risk measurement methods 8.3

Participants in the control system 1.1

6 7

Quantitative disclosures 8.4

Permanent and periodic control departments 1.2 Structure of Groupe BPCE’s internal control 1.3 system

Detailed quantitative disclosures 8.5

8

9 LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

2 SUMMARY OF RISKS Types of risk

169

13

Governance and structure 9.1

170 171 173 176 177 178

14 15 17 18 20

Liquidity risk management policy 9.2

Key figures 2.1

Quantitative disclosures 9.3

Regulatory changes 2.2

Management of structural interest rate risk 9.4 Managing structural foreign exchange risk 9.5 Detailed quantitative disclosures on liquidity risk 9.6

Main risks and emerging risks 2.3

Risks factors 2.4

3 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

10 LEGAL RISKS

181

29

Legal and arbitration proceedings – BPCE 10.1 Legal and arbitration proceedings – Natixis 10.2

182 183 186

Regulatory framework 3.1 Scope of application 3.2

30 32 34 37 39 43

Dependency 10.3

Composition of regulatory capital 3.3 Regulatory capital requirements and 3.4 risk-weighted assets Management of capital adequacy 3.5 Detailed quantitative disclosures 3.6

11 NON-COMPLIANCE RISKS,

SECURITY AND OPERATIONAL RISKS

187

Banking compliance and customer protection 11.1

189 190

4 GOVERNANCE AND RISK MANAGEMENT SYSTEM

Investment services compliance 11.2

61

French Banking Separation and Regulation Act 11.3 (SRAB)

191 192 194 195 197 201 203

Governance of risk management 4.1

62 68 71

Financial security 11.4 Business continuity 11.5 IT System Security (ISS) 11.6

Groupe BPCE’s risk management system 4.2

Recovery Plan 4.3

Operational risks 11.7 Insurance risks 11.8

5 CREDIT RISK

73

Technical insurance risks 11.9

Organization of credit risk management 5.1 Internal ratings and risk measurements 5.2 Credit risk mitigation techniques 5.3

74 81 88 90 94

12 CLIMATE RISKS

207

Quantitative disclosures 5.4

Detailed quantitative disclosures 5.5

13 REMUNERATION POLICY

209

6 COUNTERPARTY RISK Counterparty risk management 6.1

129

14 APPENDICES

211

130 132 134

Quantitative disclosures 6.2

Index to tables in Pillar III report 14.1

212 214 215 216

Detailed quantitative disclosures 6.3

Cross-reference Table for the Pillar III report 14.2

EDTF cross-reference table 14.3

7 SECURITIZATION TRANSACTIONS 143 Regulatory framework and accounting methods 7.1 144 Management of securitization at Groupe BPCE 7.2 146 Quantitative disclosures 7.3 147 Detailed quantitative disclosures 7.4 150

Glossary 14.4

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