BPCE - 2019 RISK REPORT Pillar III
CREDIT RISKS
DETAILED QUANTITATIVE DISCLOSURES
12/31/2018
Exposures before
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
CCF and CRM Credit risk mitigation techniques subject to a substitution approach Off- balance sheet amount
On- 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
75,303
7
13,331
-
-
1
702
-
87,938
352
6,008
7%
47,750
3,834
10,149
-
-
1,737 2,430
9 57,557
1,571 12,376
21%
5
19,182
2,613
(1,870)
(44)
-
967 1,456
210 17,248
1,132
3,846
21%
187
19
46
-
-
-
6
19
227
22
-
0%
884
-
-
-
-
-
-
-
884
-
-
0%
11,112
465
206
(5)
2
19
251
233 11,273
362
2,004
17% 63% 85% 71%
280
-
-
-
-
-
-
-
280
-
175
Corporates
78,643 30,502 9,020 12,446
(8,053)
(2,128)
146 7,873 17,635 4,205 69,105 14,597 71,565
Retail
(434)
(440)
11,659
180
430
109
8,215
360
6,097
Equity exposures
4
-
-
-
-
-
-
-
4
-
4 100%
Collective investment undertakings
846
3
-
- -
- -
- -
- -
3
846
3
933 110%
Other exposures Claims on institutions and corporates with a short-term credit assessment
7,704
-
2
-
7,706
-
6,873
89%
630
9
50
(20)
-
14
-
-
655
3
420
64%
Secured by mortgages on immovable property
69,081
4,983
(11,625)
(9)
-
95 4,159
36 58,141
2,134 24,344
40%
Items associated with particularly high risk
11
-
-
-
-
-
-
-
11
-
16 150%
Exposures in default
5,706
342
(1,176)
(30)
11
69
176
78
4,508
179
5,467 117%
TOTAL
326,344 55,224
626
(2,676)
11,818 10,954 27,246 4,902 324,597 20,716 140,130
41%
119
RISK REPORT PILLAR III 2019 | GROUPE BPCE
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