BPCE - 2018 Risk report / Pillar III

5 CREDIT RISK

CREDIT RISK MANAGEMENT 5.1

CREDIT RISK MITIGATION TECHNIQUES 5.3

76

91

Credit risk governance

76 78 78 78 79

Definition of guarantees

91

Credit policy Rating policy Caps and limits

Accounting recognition under the standardized or IRB approach Conditions for the recognition of guarantees

91 91 91 92 92

Risk diversification

Credit risk monitoring and supervision system Quality assessment of loan outstandings and impairment policy Forbearance, performing and non-performing exposures

Guarantors

80

Concentration of collateral volumes

Valuation and management of collateral comprising real guarantees

82

93

RISK MEASUREMENT AND INTERNAL 5.2 RATINGS

QUANTITATIVE DISCLOSURES 5.4

94

83

Exposure to credit and counterparty risks

94 96 97 98 99

Current situation

83 84 84 84 85 85 87

Provisions and impairments

Rating system

Non-impaired loans showing past due balances

Internal rating system governance

Restructured loans

Model development process

Non-performing and forborne exposures

Review of internal ratings-based models

Model mapping

DETAILED QUANTITATIVE DISCLOSURES 5.5 100 General quantitative disclosures on credit risk 101 Credit quality 110 Credit risk mitigation 116 Credit risk – standardized approach 118 Credit risk – internal model approach 122 Probability of Default (PD) and Loss Given Default (LGD) 132

Internal ratings-based approaches – retail customers

75

Risk Report Pillar III 2018