BPCE - 2018 Risk report / Pillar III

5 CREDIT RISK

Detailed quantitative disclosures

Detailed quantitative disclosures 5.5

The detailed quantitative disclosures on credit risk in the following tables expand on the Pillar III disclosures contained in the previous section. The key variables represented in the tables are: exposure: all assets ( e.g. loans, receivables, accrued income, etc.) ● related to transactions on the market or with a customer and recorded as on-or off-balance sheet items;

Credit risk exposures are shown by obligor category, as listed below: central banks and other sovereign exposures: regulated deposits ● and savings centralized with Caisse des Dépôts et Consignations, deferredtax assets and reserves; central governments:exposures to sovereigns,central governments ● and similar bodies, multilateral development banks and international organizations; public sector and similar entities: exposures to national public ● institutions, local authorities or other public sector entities, including private social housing agencies; institutions: exposures to regulated credit institutions and similar ● bodies, including clearing houses; corporates:other exposures,in particularto large corporates,SMEs, ● ISEs, Insurancecompanies, funds, etc.; retail: exposures to individual customers, VSEs, professional ● customers and individual entrepreneurs; exposure to retail customersis also broken down into a number of ● categories:exposuressecured by mortgageson immovableproperty (non-SMEs), exposures secured by mortgages on immovable property (SMEs), qualifyingrevolving, other retail (SMEs) and other retail (non-SMEs); securitizations: exposures to securitization transactions; ● equity exposures:exposures representing investments in associates; ● other exposures: this category includes all assets other than those ● whose risk relates to third parties (fixed assets, goodwill, residual values onlease financingagreements,etc.).

exposureat default (EAD); ● probabilityof default(PD); ● loss given default (LGD); ●

expected loss (EL): the value of the loss likely to be incurred given ● the quality of the transactionstructure and any measures taken to mitigate risk, such as collateral. Under the A-IRB method, the following equation summarizes the relationship between these variables: EL= EAD x PD x LGD (exceptfor receivables indefault); risk-weightedassets (RWA): calculatedbased on exposuresand the ● associatedlevel of risk, which depends on the counterparty’scredit quality. Reporting mechanisms present exposures according to the standardizedor IRB approach,by region,businesssector and maturity. They also provideinformationon credit quality using the standardized or IRB approach, by region and business sector. The tables in this section present credit risks after the applicationof risk mitigationtechniques,includingCVA. The breakdownsare shown without substitutionby guarantor segment. Credit risk exposures are also presented net of the impacts of mitigationand of credit derivatives on risk-weighted assets (RWA).

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Risk Report Pillar III 2018