BPCE - 2019 RISK REPORT Pillar III
5
CREDIT RISKS
DETAILED QUANTITATIVE DISCLOSURES
TABLE 45 – IRB (SPECIALIZED LENDING AND EQUITIES)
12/31/2019
in millions of euros
Specialized lending
On-balance sheet amount
Off-balance sheet amount
Expected losses
Regulatory categories Remaining maturity
Risk weight
Total
RWAs
Good Good Good
Equal to or more than 2.5 years Equal to or more than 2.5 years Equal to or more than 2.5 years
1
- - -
50% 70% 90%
1
0 7
- - -
10 18 28
10 18 28
16 23
TOTAL
Equities under the simple risk-weighted approach
Off-balance sheet amount
On-balance sheet amount
Risk weight
Capital requirements
Categories
VaR
RWAs
Exchange-traded equity exposures
3,921 4,595 6,334
- - -
190% 3,921 290% 4,595 370% 5,850
7,451
596
Private equity exposures Other equity exposures
13,326 21,644 42,420
1,066 1,732 3,394
TOTAL
14,851
14,366
12/31/2018
in millions of euros
Specialized lending
On-balance sheet amount
Off-balance sheet amount
Risk- weighted assets
Expected losses
Regulatory categories Remaining maturity
Risk weight
Total
Good Good Good
Equal to or more than 2.5 years Equal to or more than 2.5 years Equal to or more than 2.5 years
1 8 6
- - -
50% 70% 90%
1 8 6
-
- - -
6 6
TOTAL
16
16
13
Equities under the simple risk-weighted approach
Off-balance sheet amount
Risk- weighted assets
On-balance sheet amount
Risk weight
Capital requirements
Categories
VaR
Exchange-traded equity exposures
2,658 4,023 5,849
- - -
190% 2,658 290% 4,023 370% 5,849
5,050
404 933
Private equity exposures Other equity exposures
11,667 21,641 38,357
1,731 3,068
TOTAL
12,530
12,530
130
RISK REPORT PILLAR III 2019 | GROUPE BPCE
www.groupebpce.com
Made with FlippingBook - professional solution for displaying marketing and sales documents online