BPCE - Risk Report - Pillar III 2020

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

Credit risk – General disclosures

CRB-B – TOTAL NET AND AVERAGE AMOUNTS OF EXPOSURE

12/31/2020

12/31/2019

Average net exposures over the period

Net value of exposures

Net value of exposures

in millions of euros

Central governments or central banks

188,647

175,936 11,566 195,153 23,388 41,074 426,725 286,878 50,861 236,017 17,534 122,313 42,066 80,248 14,779 824,159 91,724 50,113 23,303

116,627 12,020 187,631 24,480 34,280 401,598 250,280 47,109 203,171 16,740 134,579 35,561 99,017 14,851 732,727 80,663 50,797 21,139

Institutions Corporates

9,737

199,688 22,937 43,383 441,316 305,281 53,127 252,154 17,218 118,817 44,510 74,307 15,457 854,846 96,911 52,147 22,065

o/w: Specialized lending •

o/w: SMEs •

Retail

5

o/w Secured by mortgages on immovable property •

SMEs

Non-SMEs

o/w Qualifying revolving •

o/w Other – retail •

SMEs

Non-SMEs

Equity exposures

Total IRB approach

Central governments or central banks Regional governments or local authorities

Public sector entities

Multilateral development banks International organizations

217

188

182 982

1,317

1,215

Institutions Corporates

12,314 110,541 32,040 24,640

13,470 107,641 31,729 24,757

13,638 104,934 28,944 24,867

o/w: SMEs •

Retail

o/w: SMEs •

1,970

2,377

3,087

Exposures secured by mortgages on immovable property

64,406

65,302

67,399

o/w: SMEs •

9,143 4,780 9,752

9,262 4,704 9,572

8,438 4,886 9,785

Exposures in default

Items associated with particularly high risk

Covered bonds

184 353

174 375

232 496 737

Claims on institutions and corporates with a short-term credit assessment

Collective investment undertakings

2,594

1,368

Equity exposures Other exposures

20

30

22

7,397

7,561

7,133

Total standardized approach

409,639

401,496

387,894

TOTAL 1,120,621 Note: net exposures are presented according to the model recommended by the EBA in its final report dated December 14, 2016, i.e. excluding CCR, CVA and risk exposure amount for contributions to the default fund of a CCP. 1,264,485 1,225,655

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RISK REPORT PILLAR III 2020 | GROUPE BPCE