BPCE_REGISTRATION_DOCUMENT_2017

3 RISK REPORT

GENERAL STRUCTURE OF GROUPE 3.1 BPCE’S INTERNAL CONTROL SYSTEM 112 Participants in the control system 3.1.1 112 Permanent and periodic control departments 3.1.2 113 Structure of Groupe BPCE’s internal control 3.1.3 system 113

MARKET RISKS 3.8

177

3.8.1 3.8.2 3.8.3 3.8.4

Market risk policy

177 177 178 180

Market risk management

Market risk measurement methods

Quantitative disclosures

LIQUIDITY, INTEREST RATE AND 3.9 FOREIGN EXCHANGE RISKS

SUMMARY OF RISKS 3.2

117

183

3.2.1 3.2.2 3.2.3 3.2.4

Key figures

118 120 121 122

3.9.1 3.9.2 3.9.3 3.9.4 3.9.5

Governance and structure

183 183 185 188 189

Regulatory changes

Liquidity risk management policy

Main risks and emerging risks

Quantitative disclosures

Risks factors

Management of structural interest rate risk Managing structural foreign exchange risk

CAPITAL MANAGEMENT AND CAPITAL 3.3 ADEQUACY

130

LEGAL RISKS 3.10

190

3.3.1 3.3.2 3.3.3 3.3.4

Regulatory framework Scope of application

130 132 134

Legal and arbitration proceedings – BPCE 3.10.1 Legal and arbitration proceedings – Natixis 3.10.2

190 190 193

Composition of regulatory capital Regulatory capital requirements and

Dependency 3.10.3

risk-weighted assets

136 138

NON-COMPLIANCE RISKS, SECURITY 3.11 AND OPERATIONAL RISKS

3.3.5

Management of capital adequacy

194

Banking compliance and customer protection 3.11.1

194 195

GOVERNANCE AND RISK MANAGEMENT 3.4 SYSTEM

Investment services compliance 3.11.2

142

French Banking Separation and Regulation Act 3.11.3 (SRAB)

3.4.1 3.4.2 3.4.3

Governance of risk management

142 147 150

196 197 198 199 201 204 205

Groupe BPCE’s risk management system

Financial security 3.11.4 Business continuity 3.11.5 IT System Security (ISS) 3.11.6

Recovery Plan

CREDIT RISK 3.5

151

Operational risks 3.11.7 Insurance risks 3.11.8

3.5.1 3.5.2 3.5.3 3.5.4

Organization of credit risk management Internal ratings and risk measurements

151 157 163 165

Technical insurance risks 3.11.9

Credit risk mitigation techniques

CLIMATE RISKS 3.12

209

Quantitative disclosures

Organization 3.12.1

209 209

COUNTERPARTY RISK 3.6

169

Activities in 2017 and strategic guidelines 3.12.2

3.6.1 3.6.2

Counterparty risk management

169 170

Quantitative disclosures

SECURITIZATION TRANSACTIONS 3.7

172

3.7.1

Regulatory framework and accounting

methods

172 173 174

3.7.2 3.7.3

Management of securitization at Groupe BPCE

Quantitative disclosures

111

Registration document 2017