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