BPCE - 2019 RISK REPORT Pillar III

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CREDIT RISKS

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; expected loss (EL): the value of the loss likely to be incurred • given the quality of the transaction structure 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 (except for receivables in default); risk-weighted assets (RWA): calculated based on exposures • and the associated level of risk, which depends on the counterparty’s credit quality. Reporting mechanisms present exposures according to the standardized or IRB approach, by region, business sector and maturity. They also provide information on credit quality using the standardized or IRB approach, by region and business sector. The tables in this section present credit risks after the application of risk mitigation techniques, including CVA. The breakdowns are shown without substitution by guarantor segment. Credit risk exposures are also presented net of the impacts of mitigation and of credit derivatives on risk-weighted assets (RWA). exposure at default (EAD); • probability of default (PD); • loss given default (LGD); •

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, deferred tax 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 particular to large corporates, • SMEs, ISEs, Insurance companies, funds, etc.; retail: exposures to individual customers, VSEs, professional • customers and individual entrepreneurs; exposure to retail customers is also broken down into a • number of categories: exposures secured by mortgages on immovable property (non-SMEs), exposures secured by mortgages on immovable property (SMEs), qualifying revolving, 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 on lease financing agreements, etc.).

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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