BPCE - 2019 RISK REPORT Pillar III

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

TABLE 46 – EFFECT ON RWA OF CREDIT DERIVATIVES

12/31/2019

RWAs

Pre-credit derivatives

Actual RWAs

in millions of euros

Exposures under F-IRB

48,102

48,102

Central governments and central banks

384

384

Institutions

1,249

1,249

Corporates – SMEs Specialized lending Corporates – Other

20,806

20,806

23

23

25,639 111,482

25,639 103,511

Exposures under A-IRB

Central governments and central banks

325

325

5

Institutions

1,201 2,792 4,869

1,201 2,792 4,869

Corporates – SMEs Specialized lending Corporates – Other

36,583 16,721 20,229 12,437 13,940 47,682 2,386

28,612 16,721 20,229 12,437 13,940 47,682 2,386

Retail – Secured by real estate – SMEs Retail – Secured by real estate – Non-SMEs Retail customers – Qualifying revolving

Retail customers – Other SMEs Retail customers – Other non-SMEs

Equity IRB

Other non credit obligtion assets

9,752

9,752

TOTAL

217,019

209,048

12/31/2018

RWAs

Pre-credit derivatives

Actual RWAs

in millions of euros

Exposures under F-IRB

38,860

38,860

Central governments and central banks

594 967

594 967

Institutions

Corporates – SMEs Specialized lending Corporates – Other

16,010

16,010

12

12

21,277 104,638

21,277 97,055

Exposures under A-IRB

Central governments and central banks

340

340

Institutions

1,315 2,348 4,815

1,315 2,348 4,815

Corporates – SMEs Specialized lending Corporates – Other

34,510 15,787 18,965 12,181 12,856 42,496 1,521

26,927 15,787 18,965 12,181 12,856 42,496 1,521

Retail – Secured by real estate – SMEs Retail – Secured by real estate – Non-SMEs Retail customers – Qualifying revolving

Retail customers – Other SMEs Retail customers – Other non-SMEs

Equity IRB

Other non credit obligation assets

9,275

9,275

TOTAL

195,270

187,687

131

RISK REPORT PILLAR III 2019 | GROUPE BPCE