BPCE - 2018 Risk report / Pillar III

Contents Communication policy and structure of the Pillar III report

3

8 MARKET RISKS Market risk policy 8.1

163

1 SUMMARY OF RISKS Types of risk 1.1

164 165 167 169 172

5

Market risk management 8.2

6 7 9

Market risk measurement methods 8.3

Key figures 1.2 

Quantitative disclosures 8.4

Regulatory changes 1.3 

Detailed quantitative disclosures 8.5

Main risks and emerging risks 1.4

11 12

Risk factors 1.5

9 LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

2 GENERAL STRUCTURE OF GROUPE BPCE’S INTERNAL CONTROL SYSTEM

177

Governance and structure 9.1

178 179 181 184 185 186

21

Liquidity risk management policy 9.2

Quantitative disclosures 9.3

Participants in the control system 2.1

22 23

Management of structural interest rate risk 9.4 Management of structural foreign exchange risk 9.5 Detailed quantitative disclosures on liquidity risk 9.6

Permanent and Periodic Control departments 2.2 Structure of Groupe BPCE’s internal control 2.3 system

24

3 CAPITAL MANAGEMENT AND CAPITAL ADEQUACY

10 LEGAL RISKS

191

27

Legal and arbitration proceedings – BPCE 10.1 Legal and arbitration proceedings – Natixis 10.2

192 193 196

Regulatory framework 3.1 Scope of application 3.2

28 30 32 35 37 40

Dependency 10.3

Composition of regulatory capital 3.3 Regulatory capital requirements 3.4 and risk-weighted assets Management of capital adequacy 3.5 Detailed quantitative disclosures 3.6 4 RISK GOVERNANCE AND MANAGEMENT SYSTEM

11 NON-COMPLIANCE, SECURITY AND OPERATIONAL RISKS

197

Compliance 11.1

199 202 204 205 207

Financial security 11.2 Business continuity 11.3

63

Information System Security (ISS) 11.4

Operational risks 11.5

Governance of risk management 4.1

64 70 74

Compliance and Risks – Insurance & 11.6 Non-Banking Operations

Groupe BPCE’s risk management system 4.2

212 215

Recovery Plan 4.3

Technical Insurance risks 11.7

5 CREDIT RISK

12 CLIMATE RISKS Organization 12.1

75

219

Credit risk management 5.1

76 83 91 94

220 221

Risk measurement and internal ratings 5.2 Credit risk mitigation techniques 5.3

Activities in 2018 and strategic guidelines 12.2

Quantitative disclosures 5.4

13 REMUNERATION POLICY

223

Detailed quantitative disclosures 5.5

100

6 COUNTERPARTY RISK Counterparty risk management 6.1

135

14 APPENDICES

225

136 138 140

Index to Pillar III Report tables 14.1

226 228 229 230

Quantitative disclosures 6.2

Cross-reference table for the Pillar III Report 14.2 

Detailed quantitative disclosures 6.3

EDTF cross-reference table 14.3

Glossary 14.4

7 SECURITIZATION TRANSACTIONS 151 Regulatory framework and accounting methods 7.1 152 Securitization management at Groupe BPCE 7.2 154 Quantitative disclosures 7.3 155 Detailed quantitative disclosures 7.4 158