BPCE_PILLAR_III_2017

APPENDICES EDTF cross-reference table

EDTF cross-reference table 14.3

Recommendation INTRODUCTION 1

Page No.

Cross-referencetable

216

14; 81-89;94; 130-131; 144-145; 157-160;171-172; 176-177; 197-200; 201-206; 216-222

2 3 4

Terminologyand risk measurement, key inputsused Descriptionof principal and/oremerging risks

14; 18-27

New solvencyregulatory frameworkand Groupe BPCEtargets

39-42

RISKGOVERNANCEANDRISKMANAGEMENTSTRATEGY 5 Organization ofrisk managementand control

5-12; 61-71

6 7 8

Risk culture

65-67 16; 38

Risk mappingby businessline

Management and governance of internal creditand market stresstesting

41; 69-70;75; 160

CAPITAL REQUIREMENTS AND RISK-WEIGHTEDASSETS 9 Minimum capital requirements

31

10a

Breakdownof regulatorycapital

34-36

Reconciliationof the accountingbalance sheetand the regulatorybalance sheet. Reconciliation of accounting capital and regulatorycapital.

10b

32-33

11 12 13 14 15 16 17

Changesin regulatory capital

35-36; 39

Capitalplanningand target CRD IV ratios

39-42

Risk-weighted assetsby businessline and by typeof risk

38 37

Risk-weighted assetsand capital requirements by method and exposureclass

90-91; 95;104-105; 116-123

Exposureto credit riskby exposureclass and internalrating Changesin risk-weighted assetsby risktype Descriptionof back-testingmodelsand theirreliability

37-38

87; 128

LIQUIDITY 18

Liquiditymanagementand liquidity reserves

170-172

19 20 21

Encumbered assets

180 174 175

Breakdownof financialassetsand liabilities bycontractualmaturity

Funding strategy

MARKET RISKS 22 to 24 Marketrisk measurement

156-160 156-160

25

Marketrisk management techniques

CREDITRISK 26

Credit risk– maximum exposure,breakdownand diversification

90-91; 94-128 76-80;92-93

27 and 28 Provisioningpolicy and riskhedging

29 30

Derivatives: notionalamounts, counterparty risk, clearing

142

Credit riskmitigationmechanisms

88-89; 110-126

OTHER RISKS

Other risks:insurancesector risks,operationalrisks and legal risks, IT systemsecurityand business continuity plans

31 32

181-186; 187-206 181-186; 197-200

Publiclyknown risks and efforts to address operationaland legalrisks

14

215

Risk Report Pillar III 2017