BPCE - Risk Report - Pillar III 2020
Contents
Communication policy and structure of the Pillar III report
8
MARKET RISKS
173
3
Market risk policy 8.1
174 175 177 179 182
Market risk management 8.2
Market risk measurement methods 8.3
1
KEY FIGURES
5
Quantitative disclosures 8.4
1.1
Types of risk
8 9
Detailed quantitative disclosures 8.5
Regulatory changes 1.2
9
LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS
2
RISK FACTORS
11
187
Governance and structure 9.1
188 189 193 197
3
RISK MANAGEMENT SYSTEM
25
Liquidity risk management policy 9.2
Quantitative disclosures 9.3
Adequacy of risk management systems 3.1
26 26 30 36 40
Management of structural interest rate risk 9.4
Risk appetite 3.2
Management of structural foreign 9.5 exchange risk
Risk management 3.3 Internal control 3.4 Recovery Plan 3.5
199
Detailed quantitative disclosures on liquidity 9.6 risk
200
4
CAPITAL MANAGEMENT AND CAPITAL ADEQUACY
10 LEGAL RISKS
205
41 42 44 46
Legal and arbitration proceedings – BPCE 10.1 Legal and arbitration proceedings – Natixis 10.2
206 207
Regulatory framework 4.1 Scope of application 4.2
Dependency 10.3
212
Composition of regulatory capital 4.3 Regulatory capital requirements 4.4 and risk-weighted assets Management of capital adequacy 4.5 Detailed quantitative disclosures 4.6
11 NON-COMPLIANCE AND SECURITY RISKS
49
213 215 218 219 220
51
Compliance 11.1
55
Financial security 11.2 Business continuity 11.3
5
CREDIT RISKS
77 78 79 87 94 97 110
Information System Security (ISS) 11.4
Foreword
Credit risk management 5.1
12 OPERATIONAL RISKS
221
Risk measurement and internal ratings 5.2 Credit risk mitigation techniques 5.3
Quantitative disclosures 5.4
13 INSURANCE, ASSET MANAGEMENT,
Detailed quantitative disclosures 5.5
FINANCIAL CONGLOMERATE RISKS 227
6
COUNTERPARTY RISK
145
14 CLIMATE RISKS
235
Counterparty risk management 6.1
146 147 148
Governance and structure 14.1
236
Quantitative disclosures 6.2
Acceleration of the integration of a section 14.2 dedicated to climate risks and Environmental, Social and Governance (ESG) criteria
Detailed quantitative disclosures 6.3
237 239 241
7
SECURITIZATION TRANSACTIONS Regulatory framework and accounting 7.1 methods Securitization management at Groupe BPCE 7.2
161
Awareness and training 14.3 Regulatory environment 14.4
162 165 166 169
15 REMUNERATION POLICY
243
Quantitative disclosures 7.3
Detailed quantitative disclosures 7.4
16 APPENDICES
245
Index to Pillar III report tables 16.1 Pillar III cross-reference table 16.2
246 249 250
Glossary 16.3
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