BPCE_REGISTRATION_DOCUMENT_2017
RISK REPORT Credit risk
The discontinuationof the 180-day option for exposures secured by real estate, the Basel Committeeinternalcontrolguidelinesof April 4, 2017 regarding the prudential treatment of non-performing exposures and forbearance definitions, EBA guidelines published in September 2016 on the applicationof the definitionof default under Article 178 of (EU) regulation No. 575/2013, as well as the publication by the ECB in March 2017 of guidelines for non-performingloans are paving the way for the convergenceof the concepts of non-performing exposures and Basel default.
Identification of retail customer forbearance exposures is now automated. In addition, there is a guide for using expert opinion to identify forbearanceexposures, particularlyfor short-, medium-, and long-term loansto non-retailcounterparties. Disclosures on “forbearance, performing and non-performing exposures”are being added to those already provided on default and impairment.
3
3.5.2
Internal ratings andrisk measurements
FACTORS IMPACTING LOSSES INCURRED OVER THE PERIOD The dollar’s depreciationhad less of an impact on new-generationoil assets in 2017. Moreover,as oil prices steadily climbed,operatorsand strugglingas-yet non-restructuredoperationssaw an improvementin their financial position. The decline in corporate defaults helped substantially reduce the impact of cost of risk. The most common recurringfactors underlying
default were, as in the past, past-due customer payments, customer paymentperiods,and managerial errors by companies.
CURRENT SITUATION Groupe BPCE has been authorized by the competent authorities to use the followingIRB methods.
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 A-IRB A-IRB
BPCE SA group
Central banks and othersovereignexposures
F-IRB Standardized Standardized F-IRB Standardized Standardized
F-IRB F-IRB
Central administrations
Public sectorand similar entities
Standardized Standardized Standardized Standardized Standardized
Financialinstitutions
F-IRB Standardized StandardizedA-IRB/Standardized
F-IRB
Corporates(Revenue> €3 million)
F-IRB/Standardized Standardized Standardized
A-IRB Standardized
Retail customers
A-IRB
A-IRB Standardized Standardized
BREAKDOWN OF EAD BY APPROACH FOR THE MAIN CUSTOMER CATEGORIES ➡
12/31/2017
12/31/2016
EAD
EAD
Standardized
F-IRB A-IRB
Standardized
F-IRB A-IRB
% breakdown
Central banks and othersovereignexposures
30% 45% 25% 53% 27% 20% 99% 0% 1% 37% 24% 39% 37% 24% 39% 15% 0% 85%
35% 46% 19% 56% 26% 17% 100% 0% 0% 45% 11% 44% 35% 22% 43% 16% 0% 84%
Central governments
Public sectorand similar entities
Financialinstitutions
Corporates
Retail customers
157
Registration document 2017
Made with FlippingBook - professional solution for displaying marketing and sales documents online