BPCE - Risk Report - Pillar III 2020

16

APPENDICES

INDEX TO PILLAR III REPORT TABLES

Index to Pillar III report tables 16.1

Pillar III Report Table Number

Page No. 2020 – Pillar III

Title

CAPITAL EU LI1 BPCE01 BPCE02 BPCE03 BPCE04 BPCE05 EU OV1 BPCE06 EU INS1 BPCE07

Differences between accounting and regulatory scopes of consolidation

44 46 47 47 48 48 49 50 50 51 52 54 55 69 73 73 73 74 75

Phased-in regulatory capital Changes in CET1 capital

Breakdown of non-controlling interests (minority interests)

Changes in AT1 capital Changes in Tier 2 capital

Overview of RWAs

RWAs by type of risk and by business line

Non-deducted participations in insurance undertakings Regulatory capital and Basel III phased-in capital ratios

EU LR1 (LRSUM)

Transition from the statutory balance sheet to leverage ratio exposure

EU TLAC1

TLAC

EU LI3 EU CC1 BPCE08 BPCE09 BPCE10 BPCE11

Explanation of differences between statutory and regulatory scopes of consolidation

Breakdown of regulatory capital by category

Additional Tier 1 capital

Issues of deeply subordinated notes

Tier 2 capital

Issues of subordinated notes

EU CCYB1

Value of exposures and RWA used to determine the countercyclical capital buffer (CCyB)

EU PV1

Prudent valuation adjustments

75

EU LR2 (LRCOM) CREDIT RISK BPCE12

Leverage ratio

76

Scope of standardized and IRB methods used by the Group Breakdown of EAD by approach for the main customer segments

87 87

BPCE13 BPCE14 BPCE15 NPL3 1/2 BPCE16 BPCE17 BPCE18 BPCE19

Concentration by borrower

100 100 101 102 102 102 103 104 106 107 108 108 109 111 112 114 118 120 122

Coverage of non-performing loans

Quality of non-performing exposures by maturity

Adjustments due to financial hardships Breakdown of gross loan outstandings Counterparties by geographic area Credit quality of forborne exposures

NPL4

Performing and non-performing exposures and related provisions

NPL3 2/2

Quality of non-performing exposures by maturity

CR2-A Covid-1 Covid-2 Covid-3 CRB-B CRB-C CRB-D CRB-E CR1-A CR1-B

Changes in the stock of general and specific credit risk adjustments

Information on loans and advances subject to legislative and non-legislative moratoria

Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria Information on newly originated loans and advances provided under newly applicable public guarantee schemes introduced in response to Covid-19 crisis

Total net and average exposures Geographic breakdown of exposures

Concentration of exposures by industry or counterparty type

Maturity of exposures

Credit quality of exposures by exposure class Credit quality of exposures by industry

246

RISK REPORT PILLAR III 2020 | GROUPE BPCE

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