BPCE - Risk Report - Pillar III 2020
6
COUNTERPARTY RISK
DETAILED QUANTITATIVE DISCLOSURES
BPCE24 – COUNTERPARTY RISK RELATED TO DERIVATIVE AND REPURCHASE AGREEMENT EXPOSURES
12/31/2020
12/31/2019
Standardized
IRB
Total
Standardized
IRB
Total
in millions of euros
Derivatives Central banks and other sovereign exposures
-
278
278
-
222
222
Central governments
75
2,680
2,755 1,679
43
1,155
1,198 1,287
Public sector and similar entities
1,584
95
1,153
134
Institutions Corporates
10,691
6,673 9,677
17,364 10,356
13,920
6,340 9,032
20,260
680
626
9,658
Retail
4
3
7
3
2
5
Securitization
248
1,472
1,720
88
1,645
1,733
TOTAL
13,282
20,878
34,159
15,833
18,530
34,363
Repurchase agreements Central banks and other sovereign exposures
- -
1,596 4,118
1,596 4,118
-
784
784
Central governments
195
1,398
1,593
Public sector and similar entities
12
-
12
10
-
10
Institutions Corporates
3,504
9,713 8,766
13,218
4,220
9,150
13,370 10,562
366
9,131
254
10,308
Retail
- -
- -
- -
- -
- -
- -
Securitization
TOTAL
3,882
24,193
28,075
4,679
21,640
26,319
Detailed quantitative disclosures 6.3
The detailed quantitative disclosures on counterparty risk presented in the following tables expand on the Pillar III disclosures contained in the previous section.
CCR1 – ANALYSIS OF COUNTERPARTY RISK EXPOSURE (CCR) BY APPROACH
12/31/2020
Exposure potential future credit exposure
Replacement cost/Current market value
Notional amount
EAD post-CRM
EEPE
Multiplier
RWAs
in millions of euros
Mark to market
2,538
4,651
6,250
2,370
Original exposure Standardized approach IMM
12,328
1.4
17,260
4,181
Securities financing transactions (SFTs) Derivatives and long settlement transactions From contractual cross-product netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (for SFTs)
24,892
1,870
VaR for SFTs TOTAL
8,421
148
RISK REPORT PILLAR III 2020 | GROUPE BPCE
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