BPCE - 2019 RISK REPORT Pillar III
5
CREDIT RISKS
DETAILED QUANTITATIVE DISCLOSURES
TABLE 42 – CREDIT RISK EXPOSURE AND CREDIT RISK MITIGATION (CRM) EFFECTS
12/31/2019
Exposures before CCF and CRM Credit risk
Credit risk mitigation techniques affecting the amount of the exposure
Value of off-balance sheet items by conversion factor
Exposures post CCF and CRM
RWAs and RWA density
mitigation techniques subject to a substitution approach
On- balance sheet amount
Off- balance sheet amount
On- balance sheet amount
Off- balance sheet amount
RWA density
0% 20% 50% 100%
RWAs
in millions of euros
Central governments or central banks Regional governments or local authorities Public sector entities Multilateral development banks International organizations Institutions Covered bonds
80,634
30
12,056
-
-
9
218
-
92,493
111
5,729
0%
46,042
4,755
10,298
-
-
2,251 2,866
30 55,948
1,914 12,102
21%
18,658
2,481
(1,817)
(64)
-
785 1,451
360 16,663
1,243
3,805
21%
182
-
83
-
-
-
7
-
258
4
-
0%
982
-
-
-
-
-
-
-
982
-
-
0%
9,739
3,899
632
(3)
32
47 2,752 1,094 10,342
2,480
1,497
12% 25% 84% 72%
232
-
-
-
-
-
-
-
232
-
57
Corporates
77,264 27,670 10,327 14,540
(7,445)
(2,000)
381 7,172 15,777 3,630 68,529 12,953 68,755
Retail
(659)
(632)
11,994 1,766
491
205
9,120
804
7,108
Equity exposures
22
-
-
-
-
-
-
-
22
-
22 100%
Collective investment undertakings
734
3 1
- -
- -
- -
-
- -
3
734
3
802 109%
Other exposures Claims on institutions and corporates with a short-term credit assessment
7,132
1
-
7,132
-
6,171
87%
481
16
(43)
-
-
16
1
-
436
3
267
61%
Secured by mortgages on immovable property
65,046
2,353
(10,503)
(8)
-
25 2,127
14 54,721
1,083 22,486
40%
Items associated with particularly high risk
6,782
3,004
(221)
(44)
-
90 2,811
-
6,620
1,424 12,065 150%
Exposures in default
4,531
355
(984) 1,398
(26)
14
55
107
165
3,535
230
4,252 130%
TOTAL 41% Note: net exposures are presented according to the model recommended by the EBA in its final report dated December 14, 2016, i.e. excluding CCR, CVA and risk exposure amount for contributions to the default fund of a CCP. 328,789 59,106 (2,776) 12,421 12,216 28,609 5,504 327,766 22,251 145,117
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RISK REPORT PILLAR III 2019 | GROUPE BPCE
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