BPCE_PILLAR_III_2017
CREDIT RISK Internal ratings and risk measurements
Internal ratings and risk measurements 5.2
Factors impacting losses incurred overthe period The dollar’s depreciationhad less of an impact on new-generationoil assets in 2017. Moreover,as oil prices steadily climbed,operatorsand strugglingas-yet non-restructuredoperationssaw an improvementin their financial position.
The decline in corporate defaults helped substantially reduce the impact of cost of risk. The most common recurringfactors underlying default were, as in the past, past-due customer payments, customer paymentperiods,and managerial errors by companies.
Current situation
5
Groupe BPCE has beenauthorizedby the competentauthorities touse the following IRB methods.
TABLE 19 – SCOPE OF STANDARDIZED AND IRB METHODS USED BY THE GROUP ➡
Crédit Foncier/ Banque Palatine/ BPCE International
Banque Populaire network
Caisse d’Epargne network
Customer segment
Natixis A-IRB A-IRB
BPCE SA group
Central banks and othersovereignexposures
F-IRB Standardized Standardized F-IRB Standardized Standardized
F-IRB F-IRB
Central administrations
Public sectorand similar entities
Standardized Standardized Standardized Standardized Standardized
Financialinstitutions
F-IRB Standardized StandardizedA-IRB/Standardized
F-IRB
Corporates(Revenue> €3 million)
F-IRB/Standardized Standardized Standardized
A-IRB Standardized
Retail customers
A-IRB
A-IRB Standardized Standardized
TABLE 20 – BREAKDOWN OF EAD BY APPROACH FOR THE MAIN CUSTOMER CATEGORIES ➡
12/31/2017
12/31/2016
EAD
EAD
Standardized
F-IRB A-IRB
Standardized
F-IRB A-IRB
% breakdown
Central banks and othersovereignexposures
30% 45% 25% 53% 27% 20% 99% 0% 1% 37% 24% 39% 37% 24% 39% 15% 0% 85%
35% 46% 19% 56% 26% 17% 100% 0% 0% 45% 11% 44% 35% 22% 43% 16% 0% 84%
Central governments
Public sectorand similar entities
Financialinstitutions
Corporates
Retail customers
81
Risk Report Pillar III 2017
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