BPCE - Risk Report - Pillar III 2020

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

CR7 – EFFECT ON RWA OF CREDIT DERIVATIVES

12/31/2020

RWAs

Pre-credit derivatives

Actual RWAs

in millions of euros

Exposures under F-IRB

51,574

51,574

Central governments and central banks

610 968

610 968

Banks

Corporates – SMEs Specialized lending Corporates – Other

19,519

19,519

21

21

30,457 111,463

30,457 106,585

Exposures under A-IRB

Central governments and central banks

206

206

Banks

1,070 2,710 4,585

1,070 2,710 4,585

5

Corporates – SMEs Specialized lending Corporates – Other

38,837 17,067 22,920

33,959 17,067 22,920

Retail – Secured by real estate – SMEs Retail – Secured by real estate – Non-SMEs

Retail– Qualifying revolving

1,578

1,578

Retail – Other SMEs

10,337 12,152 50,154 10,564 223,755

10,337 12,152 50,154 10,564 218,877

Retail – Other non-SMEs

Equity IRB

Other assets

TOTAL

12/31/2019 RWAs

Pre-credit derivatives

Actual RWAs

in millions of euros

Exposures under F-IRB

48,102

48,102

Central governments and central banks

384

384

Banks

1,249

1,249

Corporates – SMEs Specialized lending Corporates – Other

20,806

20,086

23

23

25,639 111,482

25,639 103,511

Exposures under A-IRB

Central governments and central banks

325

325

Banks

1,201 2,792 4,869

1,201 2,792 4,869

Corporates – SMEs Specialized lending Corporates – Other

36,583 16,721 20,229 12,437 13,940 47,682 2,386

28,612 16,721 20,229 12,437 13,940 47,682 2,386

Retail – Secured by real estate – SMEs Retail – Secured by real estate – Non-SMEs

Retail– Qualifying revolving

Retail – Other SMEs

Retail – Other non-SMEs

Equity IRB

Other assets

9,752

9,752

TOTAL

217,019

209,048

141

RISK REPORT PILLAR III 2020 | GROUPE BPCE