BPCE - 2019 Universal Registration Document

RISK REPORT

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 6.6.2

BREAKDOWN OF GROSS COUNTERPARTY RISK EXPOSURES BY ASSET CLASS (EXCLUDING OTHER ASSETS) AND METHOD

12/31/2019

12/31/2018

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

TOTAL

20,512

19,295

1,915

40,169

40,131

8,422

60,682

61,451

59,980

10,689

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

6

340

509

Retail

- - - -

- - - -

Equity exposures

Securitization Other assets

TOTAL

1,650

2,317

621

UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE