BPCE - 2019 RISK REPORT Pillar III
QUANTITATIVE DISCLOSURES COUNTERPARTY RISK
CVA
terms on the existing exposure to a counterparty due to the potential positive value of the contract, the counterparty’s probability of default and the estimated collection rate. The level of the CVA varies according to changes in exposure to existing counterparty risk and in the counterparty’s credit rating, which may trigger changes in the CDS spread used to determine probability of default.
The valuation of financial instruments traded over-the-counter by Groupe BPCE with external counterparties in its capital markets businesses (mainly Natixis) and ALM activities include credit valuation adjustments. The CVA is an adjustment to the valuation of the trading book aimed at factoring in counterparty credit risks. It thus reflects the expectation of loss in fair value
Quantitative disclosures 6.2
TABLE 50 – BREAKDOWN OF GROSS COUNTERPARTY RISK EXPOSURES BY ASSET CLASS (EXCLUDING OTHER ASSETS) AND METHOD
12/31/2019
12/31/2018
6
Standardized
IRB
Total
Total
Exposure
EAD
RWA Exposure
EAD
RWA Exposure Exposure
EAD
RWA
in millions of euros
Central banks and other sovereign exposures Central governments
-
-
- -
1,006 2,554
1,006 2,518
76 28
1,006 2,791 1,297
3,938 2,740 1,102
3,938 2,705 1,177
161
238
238
27
Public sector and similar entities
1,163
1,158
353 883 661
134
134
6
274
Institutions Corporates
18,140
16,935
15,490 19,339
15,490 19,337
2,844 5,195
33,630 20,220
34,530 17,473
33,124 17,369
4,611 5,331
880
881
Retail
3
3
2
2
2
2
5
7
7
5
Equity exposures
-
-
-
-
-
-
-
-
-
-
Securitization
88
81
16
1,645
1,645
271
1,733
1,660
1,660
280
8,422
60,682
61,451
59,980
10,689
TOTAL
20,512
19,295
1,915
40,169
40,131
TABLE 51 – BREAKDOWN BY EXPOSURE CLASS OF RISK-WEIGHTED ASSETS FOR THE CREDIT VALUATION ADJUSTMENT (CVA)
12/31/2019
12/31/2018
in millions of euros
Central banks and other sovereign exposures
- - -
- - -
Central governments
Public sector and similar entities
Institutions Corporates
1,310
1,807
340
509
Retail
- - - -
- - - -
Equity exposures
Securitization Other assets
TOTAL
1,650
2,317
137
RISK REPORT PILLAR III 2019 | GROUPE BPCE
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