BPCE - Risk Report - Pillar III 2020

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

CR5 – EXPOSURES POST CONVERSION FACTOR AND POST RISK MITIGATION TECHNIQUES

12/31/2020

0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1250% Other Total

in millions of euros

Central governments or central banks Regional governments or local authorities

110,710

-

-

-

527

-

123

-

-

245

2 2,214

-

-

- 113,822

1,182

- -

- -

- 53,872 - 3,975

- 2,013 - 1,760

- -

-

1

-

- -

- -

- -

- 57,069 5 17,951

Public sector entities 9,932

- 2,117 162

Multilateral development banks

359

-

-

-

-

-

-

-

-

-

-

-

-

-

-

359

International organizations Institutions Covered bonds

1,317

-

- - - - - -

-

-

- - -

-

- - -

- - -

-

- - -

- - - - - -

- - - - - -

- - - - - -

-

1,317

8,705 1,228

- 2,469

238

440

- 13,081

-

- - - -

153

-

-

31

-

184

Corporates

129

- 7,784 396 14,674 154

- 55,814 3,176

- 82,127 - 10,015

Retail

- -

- -

- -

- -

- -

- 10,015

-

- -

Equity exposures

-

-

20

-

20

Collective investment undertakings

-

-

- -

-

304

- -

-

- -

-

14

23

- -

- -

- 2,253 2,594 - 1,775 7,397

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 Exposures in default

38

4

14

42

19

- 5,505

-

-

-

-

-

68

-

127

-

-

89

32

-

-

-

-

317

-

-

-

-

- 36,792 14,718

- 2,168 497

-

-

-

-

81 54,257

- -

- -

- -

- -

- -

- -

- -

- -

-

- 7,965

- -

- -

- -

- -

7,965 3,537

- 2,440 1,097

TOTAL

132,372 1,233

- 168 69,042 37,188 33,672 154 12,182 67,214 12,457 2,214

-

- 4,115 372,011

130

RISK REPORT PILLAR III 2020 | GROUPE BPCE

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