BPCE_REGISTRATION_DOCUMENT_2017

RISK REPORT Market risks

Market risks 3.8

3.8.1

Market risk policy

Risk policies governingmarket transactionsare defined by the Risk Managementdivisions of institutionswith trading activities. These policies are based ona qualitative and forward-looking perspective. For banking book activities, investment policies at Group level are defined centrally for group institutionswith market risk activities. The risk managementframeworkrelatedto this activityis defined inaccordancewith investment policies and is reviewed annually.

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3.8.2

Market risk management

ORGANIZATION The Risk, Complianceand Permanent Control division (DRCCP) works in the areas of risk measurement,definition and oversight of limits, and supervision of market risks. It is tasked with the following duties: risk measurement: ● establishing the principles of market risk measurement,which are ● then validated by the various appropriate Risk Management Committees, implementingthe tools needed to measure risk on a consolidated ● basis, producing risk measurements, including those corresponding to ● operational market limits, or ensuring that they are produced as part of the risk management process, determiningpolicies for adjusting values or delegatingthem to the ● Risk Management divisions of the relevant institutions and centralizingthe information, performing Level 2 validation of operating results and cash ● valuation methods; definitionand oversightof limits: ● examiningthe limit frameworkand setting limits (global caps and, ● where necessary, operational limits) adopted by the various appropriate Risk Management Committees, as part of the comprehensive risk management process, examining the list of authorized products for the relevant ● institutionsand the conditionsto be observed,and submittingthem for approvalto theappropriateMarketRisk Committee, examiningrequestsfor investmentsin financialproducts,or in new ● capital market products or activities, by the relevant banking institutionsvia the New Market Product Committee, harmonizing processes used to manage trading book allocations ● and medium- to long-termportfolios of the Banque Populaire and Caisse d’Epargne networks (monitoring indicators, definition of indicator limits, oversight and control process, and reporting standards);

market risk supervision: ● consolidatedmappingof Group marketrisks, ●

performing or overseeing daily supervision of positions and risks ● with respect to allocated limits (overall and operationallimits) and established resilience thresholds, organizing the decision-making framework for limit breaches and performing or overseeing permanent supervision of limit breaches and their resolution, preparing the consolidated dashboard for the various ● decision-makingbodies. In addition, the DRCCP coordinates the market risk management process through national market risk days, or through theme-based workinggroups. Activities in 2017 In the changing regulatory environmentof 2017, the DRCCP carried out several structure-building projects for the Group: mapping of capital market activities and mandates for the Banque ● Populaire and Caisse d’Epargne networks for the purposes of the French BankingSeparation and Regulation Act (“SRAB”); finalizationof compliancewith EMIR requirementsand drafting of ● a control plan (with a targeted roll-out to all institutions by December31, 2017); internal stress testing for the ICAAP and resolution planning. In ● additionto these two processes,a project to improvethe stress test process was launched in 2017 with the aim of improving the quality and efficiency of stress tests; participation in BCBS 239 compliance initiatives, covering the ● scope of market risks, in particular by improving and automating production and reporting processes.

RISK MONITORING Information provided in respect of IFRS 7

The Risk, Compliance and Permanent Control division (DRCCP) is responsible for the permanent control of market activities across Groupe BPCE, which is subject to regular review by the Group Market Risk Committee.

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Registration document 2017