BPCE - 2019 RISK REPORT Pillar III

15

APPENDICES

INDEX TO PILLAR III REPORT TABLES

Index to Pillar III report tables 15.1

Pillar III Report Table Number Title

Pillar III

OWN FUNDS Table 1

Differences between accounting and regulatory scopes of consolidation

44 46 47 47 48 48 49 50 50 51 52 54 55 68 71 71 71 72 73 73 74 82 82 94 94 95 96 96 96 97 98 99 99

Table 2 Table 3 Table 4 Table 5 Table 6 Table 7 Table 8 Table 9 Table 10 Table 11 Table 12 Table 13 Table 14 Table 15 Table 16 Table 17 Table 18 Table 19 Table 20 Table 21 Table 23 Table 24 Table 25 Table 26 Table 27 Table 28 Table 29 Table 30 Table 31 Table 32 Table 33 Table 34 Table 35 Table 36 Table 37 Table 38 Table 39 Table 40 Table 41 Table 42 Table 43 Table 44 Table 45 Table 46

Phased-in regulatory capital Changes in CET1 capital

Breakdown of non-controlling interests (minority interests)

Changes in AT1 capital Changes in Tier 2 capital

Overview of RWAs

RWAs by type of risk and by business line

Non-deducted participations in insurance undertakings Regulatory capital and Basel III phased-in capital ratios

Transition from the statutory balance sheet to leverage ratio exposure

TLAC

Explanation of differences between statutory and regulatory scopes of consolidation at December 31, 2019

Breakdown of regulatory capital by category

Additional Tier 1 capital

Issues of deeply subordinated notes at December 31, 2019

Tier 2 capital

Issues of subordinated notes at December 31, 2019

Value of exposures and RWA used to determine the countercyclical capital buffer (CCyB)

Prudent valuation adjustments

Leverage ratio

CREDIT RISK Table 22

Scope of standardized and IRB methods used by the Group Breakdown of EAD by approach for the main customer segments

Concentration by borrower

Coverage of non-performing loans Quality of exposures by maturity Adjustments due to financial hardships Breakdown of gross loan outstandings Counterparties by geographic area Credit quality of forborne exposures

Performing and non-performing exposures and related provisions

Quality of non-performing exposures by maturity

Changes in the stock of general and specific credit risk adjustments

Total net and average exposures Geographic breakdown of exposures

101 102 104 108 110 112 114 116 118 120 122 130 131

Concentration of exposures by industry or counterparty type

Maturity of exposures

Credit quality of exposures by exposure class Credit quality of exposures by industry Credit quality of exposures by geographic area

Credit risk mitigation techniques

Credit risk exposure and Credit Risk Mitigation (CRM) effects Exposures post conversion factor and post risk mitigation techniques

Credit risk exposures by exposure class and PD range

IRB (Specialized lending and equity) Effect on RWA of credit derivatives

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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