BPCE - Risk Report - Pillar III 2020

APPENDICES

INDEX TO PILLAR III REPORT TABLES

16

Pillar III Report Table Number

Page No. 2020 – Pillar III

Title

CR1-C

Credit quality of exposures by geographic area

124 126 128 130 132 140 141 142 142 143 147 147 148 148 149 150 152 158 158 159 166 166 167 168 169 170 171 172 172 179 179 180 180 180 181 181 182 182 183 183 184 184 185 185 186

CR3 CR4 CR5 CR6

Credit risk mitigation techniques

Credit risk exposure and Credit Risk Mitigation (CRM) effects Exposures post conversion factor and post risk mitigation techniques

Credit risk exposures by exposure class and PD range

CR10

IRB (Specialized lending and equity) Effect on RWA of credit derivatives

CR7 CR8

RWA flow statements of exposures under IRB Average PD and LGD by geographic area Backtesting of LGDs by exposure class

BPCE20 BPCE21

COUNTERPARTY RISK BPCE22

Breakdown of gross counterparty risk exposures by asset class (excluding other assets) and method Breakdown by exposure class of risk-weighted assets for the credit valuation adjustment (CVA)

BPCE23 BPCE24

Counterparty risk related to derivative and repurchase agreement exposures Analysis of counterparty credit risk (CCR) exposure by approach Regulatory capital requirements for the Credit Valuation Adjustment Standardized approach – CCR exposures by regulatory portfolio and risk

CCR1 CCR2 CCR3 CCR4

IRB Approach – CCR exposures by portfolio and PD range

Notional amount of derivatives Credit derivative exposures

BPCE25

CCR6 CCR8

Exposures to CCPs

SECURITIZATION BPCE26

Breakdown of exposures by type of securitization Breakdown of EAD and RWA by type of portfolio

BPCE27 BPCE28 BPCE29 EU SEC1 EU SEC3 EU SEC4 BPCE30 EU SEC2 BPCE32 BPCE33 BPCE34 BPCE35 BPCE36 BPCE37 EU MR1 EU MR3 EU MR4 EU MR2A

Breakdown of investor securitization exposures in the banking book by rating Breakdown of investor and sponsor securitization exposures in the trading book

Banking book – Securitization exposures

Banking book – Securitization exposures and associated capital requirements (originator and sponsor positions) Banking book – Securitization exposures and associated capital requirements (investor positions)

Banking book – Breakdown of securitization exposures

Trading book – Securitization exposures

MARKET RISKS BPCE31

Groupe BPCE VaR – Breakdown by risk class

Change

Main hypothetical stress tests Main historical stress tests Group stress test average

RWA and capital requirements by type of risk Change in risk-weighted assets by impact

Risk-weighted assets under the standardized approach VaR, stressed VaR and IRC within the regulatory scope

Backtesting within the regulatory scope

Market risks under the IMA

BPCE38 BPCE39 BPCE40 BPCE41 BPCE42

Overall Natixis VaR– trading book (1-day 99% VaR) VaR breakdown by risk class and netting effect

Natixis stressed VaR

IRC indicator

Stress test results for Natixis

247

RISK REPORT PILLAR III 2020 | GROUPE BPCE