BPCE_PILLAR_III_2017
5 CREDIT RISK
Detailed quantitative disclosures
TABLE 38 – IRB (SPECIALIZED LENDING AND EQUITIES) ➡
Non-trading books with equity risk consist mainly of listed equities, unlistedequitiesand mutualfund or hedge fundshares. For investments in funds, a special oversight process was implementedon the Banque Populaireand Caisse d’Epargnenetworks as well as the subsidiaries (excluding Natixis, which has set a maximum limit and a limit policy), which are subject to very limited investment authorizations:
a software tool for the oversight, control and management of ● investments in funds, used by the entity Finance and Risk Managementdivisions(audit trail of opinionsof the various parties involved inthe investmentrequest process); management of total risk exposure and exposure to each asset ● managementcompany. A portfoliodiversificationreview is performed once a year.
12/31/2017
in millionsof euros
Specializedlending
On- balance -sheet amount
Off- balance- sheet amount
Risk weight
Expected losses
Total
RWAs
Regulatory category
Remaining maturity
Good profile Good profile Good profile
≥ 2.5 years ≥ 2.5 years ≥ 2.5 years
1 8 7
- - -
50% 70% 90%
1 8 7
-
- - -
6 6
TOTAL
16
16
12
Equitiesunderthe simplerisk-weightedapproach
On- balance- sheet amount
Off- balance- sheet amount
Coefficients de pondération des risques
Risk weight
RWAs
Category
Exchange-tradedequity exposures
3,239 4,197 6,062
190% 3,239
6,153
Private equity exposures Other equityexposures
290% 4,197 12,172 370% 5,808 21,488
TOTAL
13,498
13,243 39,813
in millionsd'euros
12/31/2016
Specializedlending
On-balance- sheet amount
Off-balance- sheet amount
Remaining maturity
Exposure amount
Expected losses
Regulatory category
Risk weight
RWAs
Equal toor more than 2.5 years
Good profile
8
0 0
90% 8
8 8
0 0
TOTAL
8
8
Equities underthe simplerisk-weightedapproach
On-balance- sheet amount
Off-balance- sheet amount
Exposure amount
Category
Risk weight
RWAs
Exchange-tradedequity exposures
3,248 3,892 5,657
190% 3,248
6,172
Private equity exposures Other equityexposures
290% 3,892 11,288 370% 5,657 20,932
TOTAL
12,798
12,798 38,391
124
Risk Report Pillar III 2017
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