BPCE - Risk Report - Pillar III 2020

5

CREDIT RISKS

Foreword

78

Credit risk mitigation techniques 5.3

94

Background information

78

Definition of guarantees

94

Credit risk measures implemented since the start of the crisis

Accounting recognition under the standardized or IRB approach

78

94 94 95 95 96

Conditions for the recognition of guarantees

Credit risk management 5.1

79

Division of risks

Credit policy Rating policy

79 79 79

Guarantors

Concentration of collateral volumes

Credit risk governance

Valuation and management of collateral comprising real guarantees

96

Credit risk supervision system

81

Quality assessment of loan outstandings and impairment policy Forbearance, performing and non-performing exposures

Quantitative disclosures 5.4

97

83

Credit risk exposure

97

86

Provisions and impairments

100 101 102 103

Non-impaired loans showing past due balances

Risk measurement and internal ratings 5.2

87

Restructured loans

Current situation Rating system

87 87 88 88 89 89

Non-performing and forborne exposures Loans and advances subject to legislative and non-legislative moratoria

Internal rating system governance Model development process Review of internal ratings-based models

108

Detailed quantitative disclosures 5.5

110

Model mapping

Credit risk – General disclosures

111

77

RISK REPORT PILLAR III 2020 | GROUPE BPCE