BPCE - Risk Report - Pillar III 2020

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CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

CR1-A – CREDIT QUALITY OF EXPOSURES BY EXPOSURE CLASS

12/31/2020

Gross carrying values of

Exposures in default

Non-defaulted exposures

Credit risk adjustments

Net value of exposures

in millions of euros

Central governments or central banks

75 24

188,625

52 35

188,647

Institutions Corporates

9,748

9,737

8,281 8,417

195,574 439,011 15,453 848,410 96,912 52,167 22,094

4,167 6,111

199,688 441,316 15,457 854,846 96,911 52,147 22,065

Retail

Equity exposures

4

Total IRB approach

16,801

10,365

Central governments or central banks Regional governments or local authorities

1

20 29

Public sector entities

Multilateral development banks International organizations

217

217

1,317

1,317

Institutions Corporates

12,316 111,747 24,844 64,632

3

12,314 110,541 24,640 64,406

1,206

Retail

204 226

Exposures secured by mortgages on immovable property

Exposures in default

7,897

3,116

4,780 9,752

Items associated with particularly high risk

344

9,690

282

Covered bonds

184 354

184 353

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

Collective investment undertakings

2,597

3

2,594

Equity exposures Other exposures

20

20

7,397

7,397

Total standardized approach

8,241

406,488

5,090

409,640

TOTAL 1,264,485 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. 25,042 1,254,898 15,455

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RISK REPORT PILLAR III 2020 | GROUPE BPCE

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