BPCE - Risk Report - Pillar III 2020

QUANTITATIVE DISCLOSURES COUNTERPARTY RISK

CVA The valuation of financial instruments traded over-the-counter by Groupe BPCE with external counterparties in its capital markets businesses (mainly Natixis) and ALM activities include credit valuation adjustments. The CVA is an adjustment to the valuation of the trading book aimed at factoring in counterparty credit risks. It thus reflects the expectation of loss in fair value terms on the existing exposure to a counterparty due to the potential positive value of the contract, the counterparty’s probability of default and the estimated collection rate. The level of the CVA varies according to changes in exposure to existing counterparty risk and in the counterparty’s credit rating, which may trigger changes in the CDS spread used to determine probability of default.

Specific wrong-way risk is subject to a specific capital requirement (Article 291.5 of the European regulation of June 26, 2013 on prudential requirements for credit institutions and investment firms), while general wrong-way risk is assessed using the WWR stress scenarios defined for each asset class. In the event the Bank’s external credit rating is downgraded, it may be required to provide additional cash or collateral to investors under agreements that include rating triggers. In particular, in calculating the liquidity coverage ratio (LCR), the amounts of these additional cash outflows and additional collateral requirements are measured. These amounts comprise the payment the bank would have to make within 30 calendar days in the event its credit rating were downgraded by as much as three notches.

Quantitative disclosures 6.2

6

BPCE22 – BREAKDOWN OF GROSS COUNTERPARTY RISK EXPOSURES BY ASSET CLASS (EXCLUDING OTHER ASSETS) AND METHOD

12/31/2020

12/31/2019

Total

Standardized

IRB

Total

Exposure

EAD

RWA Exposure

EAD

RWA Exposure Exposure

EAD

RWA

in millions of euros

Central banks and other sovereign exposures Central governments

-

-

- -

1,874 6,799

1,874 6,763

118 117

1,874 6,874 1,691

1,006 2,791 1,297

1,006 2,756 1,292

76 28

75

75

Public sector and similar entities

1,596

1,485

332 588 862

95

95

7

358

Institutions Corporates

14,195

12,890

16,387 18,442

16,387 18,442

3,230 6,313

30,582 19,488

33,630 20,220

32,424 20,217

3,728 5,856

1,045

1,046

Retail

4

4

3

3

3

2

7

5

5

4

Equity exposures

-

-

-

-

-

-

-

-

-

-

Securitization

248

248

40

1,472

1,472

302

1,720

1,733

1,726

287

TOTAL

17,163

15,748

1,825

45,071

45,036

10,089

62,234

60,682

59,426

10,336

BPCE23 – BREAKDOWN BY EXPOSURE CLASS OF RISK-WEIGHTED ASSETS FOR THE CREDIT VALUATION ADJUSTMENT (CVA)

12/31/2020

12/31/2019

in millions of euros

Central banks and other sovereign exposures

-

- - -

Central governments

77

Public sector and similar entities

-

Institutions Corporates

1,505

1,310

388

340

Retail

- - - -

- - - -

Equity exposures

Securitization Other assets

TOTAL

1,969

1,650

147

RISK REPORT PILLAR III 2020 | GROUPE BPCE