BPCE_PILLAR_III_2017

5

CREDIT RISK

ORGANIZATION OF CREDIT RISK 5.1 MANAGEMENT

CREDIT RISK MITIGATION TECHNIQUES 5.3

88

74

Definition of guarantees

88

Credit risk governance

74 75 75 76 76

Accounting method using the standardized or IRB approach Conditions for the incorporation of guarantees

88 88 88 89

Credit policy

Credit risk monitoring and supervision system

Risk diversification

Rating policy

Guarantors

Caps and limits

Valuation and management of instruments comprising real guarantees

Quality assessment of loan outstandings and impairment policy Forbearance, performing and non-performing exposures

89

76

80

QUANTITATIVE DISCLOSURES 5.4

90

Exposure to credit and counterparty risks

90 92 92 93

INTERNAL RATINGS AND RISK 5.2 MEASUREMENTS

Provisions and impairments

81

Non-impaired loans showing past due balances

Factors impacting losses incurred over the period

81 81 82 82 82 83 83 85 86 86 87

Restructured loans

Current situation

Rating system

DETAILED QUANTITATIVE DISCLOSURES 5.5

94

Internal rating system governance

General quantitative disclosures on credit risk

95

Developing a model

Credit quality

104 110 112 116 127

Review of internal ratings-based models

Credit risk mitigation

Model mapping

Credit risk – standardized approach Credit risk – internal model approach

Internal ratings-based approaches – retail customers Internal ratings-based approaches – non-retail customers

Probability of default (PD) and loss given default (LGD)

Standardized approach

Backtesting

73

Risk Report Pillar III 2017