TCFD REPORT 2021 TACKLING CLIMATE CHANGE 46 CLIMATE-RELATED RISK MANAGEMENT Presentation of stress tests completed by BPCE Group to assess the impact of climate risks ACPR climate risk pilot exercise BPCE Group and Natixis took part in the French prudential control authority (ACPR) climate risk pilot exercise. The exercise started in May 2020 with the publication of draft scenarios and assumptions for consultation as well as of the analytical framework developed by Banque de France. It covers insurance and banking, for credit and market risk, for transition and physical risks, butdoesnotcoverthesolvencyoffinancialinstitutions. The exercise uses a dynamic balance sheet projection at sector level (20 sectors with high- stakes climate challenges) out to 2030, 2035, 2040 and 2050 in four geographies. This exercise has the benefit offering a first methodology framework and inspiring reflection on climate change impacts so that, further out, they can be better integrated into risk measurement. Key take-aways from ACPR climate risk pilot exercise Regarding credit risk, this methodology led to considerations related to the methodological framework and to the identification of required preparatory work on these exercises to overcome several difficulties. The latter were linked to the difference between sector classifications used by the ACPR and for internal classifications and to the fact that internal portfolio projection methodologies were in part not adapted for long time horizons. 4 VISUAL REPRESENTATION OF TRANSITION AND PHYSICAL RISKS SCENARIOS INCLUDED IN ACPR PILOT EXERCISE NO TRANSITION CENTRAL SCENARIO Ordered transition Targets reache ALTERNATIVE 1 Delayed and disordered transition Targets missed ALTERNATIVE 2 Accelerated transition Targets reached TIME HORIZON NET EMISSIONS 2020 2050