BPCE - 2019 RISK REPORT Pillar III
5
CREDIT RISKS
RISK MEASUREMENT AND INTERNAL RATINGS
Risk measurement and internal ratings 5.2
Current situation
TABLE 22 – SCOPE OF STANDARDIZED AND IRB METHODS USED BY THE GROUP
Crédit Foncier/ Banque Palatine/ BPCE International
Banque Populaire network
Caisse d’Epargne network
Customer segment
Natixis
BPCE SA
Central banks and other sovereign exposures
F-IRB F-IRB
Standardized Standardized Standardized Standardized
Standardized Standardized Standardized
A-IRB A-IRB
F-IRB F-IRB
Central governments
Public sector and similar entities
Standardized
Standardized
Standardized
Institutions
F-IRB
Standardized A-IRB/Standardized Standardized A-IRB/Standardized
F-IRB
Corporates (Rev.* >€3 million)
F-IRB/Standardized F-IRB/Standardized
Standardized
Retail
A-IRB
A-IRB
Standardized
Standardized
Rev.: revenue. * Subsidiary Oney will be included in the reports in 2020.
TABLE 23 – BREAKDOWN OF EAD BY APPROACH FOR THE MAIN CUSTOMER SEGMENTS
12/31/2019
12/31/2018
EAD
EAD
Standardized
F-IRB
A-IRB Standardized
F-IRB
A-IRB
in % breakdown
Central banks and other sovereign exposures
40% 43% 99% 54% 39% 13%
48% 35%
12% 23%
35% 48% 99% 56% 40% 14%
46% 31%
20% 21%
Central governments
Public sector and similar entities
0%
1%
0% 9%
1%
Institutions Corporates
10% 20%
36% 41% 87%
35% 41% 86%
19%
Retail
0%
0%
Rating system
Internal rating system models are developed based on historical data for observed defaults and losses. They are used to measure the credit risks to which Groupe BPCE is exposed, expressed as a one-year probability of default (PD), as a Loss Given Default (LGD) and as Credit Conversion Factors (CCF), depending on the characteristics of the transactions.
These internal rating systems are also applied to risk supervision, authorization systems, internal limits on counterparties, etc., and may also serve as a basis for other processes, such as statistical provisioning. The resulting risk metrics are then used to calculate capital requirements, once they have been validated by the supervisory authority in compliance with regulatory requirements.
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RISK REPORT PILLAR III 2019 | GROUPE BPCE
www.groupebpce.com
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