BPCE - 2018 Risk report / Pillar III
5 CREDIT RISK
Detailed quantitative disclosures
TABLE 41 – IRB (SPECIALIZED LENDING AND EQUITIES) ➡ Non-tradingbooks with equity risk consistmainly of exchange-traded equities, non-exchange-tradedequities and mutual fund or hedge fund shares. For investments in funds, a special oversight process was implemented on the Banque Populaire work, the Caisse d’Epargne network and the subsidiaries (excluding Natixis, which has set a maximumlimit and policy applicableto its own scope of operations), which are subject to very limited investmentauthorizations:
a software tool for the oversight, supervision and managementof ● investments in funds, used by the entity Finance and Risk Managementdivisions(audit trail of opinionsof the various parties involved inthe investmentrequest process); management of total risk exposure and exposure to each asset ● managementcompany. A portfoliodiversificationreview is performed once a year.
31/12/2018
in millionsof euros
Specialized lending
On- balance- sheet amount
Off- balance- sheet amount
Risk weight
Expected loss
Total
RWAs
Regulatory category
Remaining maturity
Good profile Good profile Good profile
Equal toor morethan 2.5 years Equal toor morethan 2.5 years Equal toor morethan 2.5 years
1 8 6
- - - -
50 70 90
1 8 6
-
- - - -
6 6
TOTAL
15
15
12
Equities under the simple risk-weighted approach
On- balance- sheet amount
Off- balance- sheet amount
Risk weight
RWA amount
Category
Exchange-tradedequity exposures
2,658 4,023 5,849
190% 2,658 5,050 290% 4,023 11,667 370% 5,849 21,641
Private equity exposures Other equityexposures
TOTAL
12,530
12,530 38,357
12/31/2017
in millionsof euros
Specialized lending
On- balance- sheet amount
Off- balance- sheet amount
Risk weight
Expected loss
Regulatory category
Remaining maturity
Total
RWAs
Good profile Good profile Good profile
Equal toor more than 2.5 years Equal toor morethan 2.5 years Equal toor morethan 2.5 years
1 8 7
- - -
50% 1 70% 8 90% 7
-
- - -
6 6
TOTAL
16
16
12
Equities under the simple risk-weighted approach
On- balance- sheet amount
Off- balance- sheet amount
Risk weight
RWA amount
Category
Exchange-tradedequity exposures
3,239 4,197 6,062
190% 3,239 6,153 290% 4,197 12,172 370% 5,808 21,488
Private equity exposures Other equityexposures
TOTAL
13,498
13,243 39,813
130
Risk Report Pillar III 2018
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