BPCE - 2019 Universal Registration Document

6

RISK REPORT

CREDIT RISKS

Risk measurement and internal ratings 6.5.2

CURRENT SITUATION 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

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 Information provided in the respect of IFRS 7

INTERNAL RATING SYSTEM GOVERNANCE The internal governance of rating systems is centered on the development, validation, monitoring and modification of these systems. The Groupe BPCE Risk division is completely independent from the rest of the Group (Banque Populaire and Caisse d’Epargne networks, Natixis, Crédit Foncier and the other subsidiaries) in conducting performance and adequacy reviews of models for credit risks, counterparty risks, and structural ALM and market risks. This role assigned to the Risk division is based on robust governance defined in a Model Validation Charter, a Model Governance Committee and on a map of models used throughout the Group.

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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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

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