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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