BPCE - Risk Report - Pillar III 2020

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

– CREDIT RISK EXPOSURE AND CREDIT RISK MITIGATION (CRM) EFFECTS

12/31/2020

Exposures before CCF and CRM Credit risk

Credit risk mitigation techniques affecting the amount of the exposure

Value of off-balance sheet items by conversion factor

Exposures post CCF and CRM

RWAs and RWA density

mitigation techniques subject to a substitution approach

On- balance sheet amount

Off- balance

On- balance sheet amount

Off- balance

sheet items

sheet items

RWA density

0% 20% 50% 100%

RWAs

in millions of euros

Central governments or central banks Regional governments or local authorities Public sector entities Multilateral development banks

96,854

57

17,009

-

-

-

197

3 113,720

102

5,950

0

46,693 5,454 18,185 3,880

8,589

-

-

2,608 3,162

44 54,922 2,147 260 16,427 1,525

11,783

21% 22%

(1,662)

(67)

3 1,862 1,784

4,035

217

- -

142

- -

- -

- -

2

- -

358

1

- -

0% 0% 8%

International organizations 1,317

-

-

1,317

-

Institutions

10,046 2,267

1,439

(3)

2

157 1,084 1,063 11,445 1,636

1,075

Covered bonds

184

-

-

-

-

-

-

-

184

-

46

25% 81% 71%

Corporates

80,146 30,395 10,037 14,603

(11,353)

(2,097)

74 7,937 17,082 4,433 67,565 14,562

66,778

Retail

(395)

(454) 12,286 1,642

353

247 9,263

752

7,130

Equity exposures

20

-

-

-

-

-

-

-

20

-

20

100%

Collective investment undertakings

2,594 7,397

- -

- -

- -

- -

- -

- -

- -

2,594 7,397

- -

1,503 6,309

58% 85%

Other exposures

Claims on institutions and corporates with a short-term credit assessment Exposures secured by mortgages on immovable property Items associated with particularly high risk

323

30

(13)

(4)

-

21

7

-

309

8

211

67%

62,632 1,774

(9,287)

(6)

-

19 1,685

23 53,387

869

21,776

40%

6,791 2,960

(264)

(98) (23)

-

48 2,773

-

6,570 1,396

11,948

150% 115%

Exposures in default

4,342

438

(1,079)

11

81

132

204 3,251

286

4,085

TOTAL 38% 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. 347,780 61,860 3,128 (2,751) 12,375 14,375 28,261 6,277 348,729 23,283 142,651

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RISK REPORT PILLAR III 2020 | GROUPE BPCE

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