BPCE - 2018 Risk report / Pillar III
5 CREDIT RISK
Detailed quantitative disclosures
Credit risk – standardized approach TABLE 38 – CREDIT RISK EXPOSURE AND CREDIT RISK MITIGATION (CRM) EFFECTS ➡
12/31/2018
Exposures before CCF and CRM
Creditrisk mitigation tech- niques subject to a sub- stitution approach
Credit risk mitigation techniques affecting the amount of the exposure
Value of off-balance sheet items by conversion factor
Exposures post CCF and CRM
RWAs and RWA density
On- balance sheet amount
Off- balance sheet amount
On- balance sheet amount
Off- balance sheet amount
RWA den- sity
0% 20% 50% 100%
RWAs
in millions of euros Central governments or centralbanks Regional governmentor local authorities
75,303
7 13,331
-
-
1 702
0 87,938
352 6,008 7%
47,750 3,834 10,149
-
- 1,737 2,430
9 57,557 1,571 12,376 21%
Public sectorentities 19,182 2,613 (1,870)
(44)
-
967 1,456 210 17,248 1,132 3,846 21%
Multilateral development banks
187
19
46
-
-
0
6 19
227
22
-
0%
International organizations
884
-
-
-
-
-
-
-
884
-
-
0%
Institutions
11,112
465
206
(5)
2
19 251 233 11,273
362 2,004 17%
Covered bonds
280
-
-
-
-
-
-
-
280
-
175 63%
Corporates
78,643 30,502 (8,053) 9,020 12,446 (434)
(2,128)
146 7,873 17,635 4,205 69,105 14,597 71,565 85%
Retail
(440) 11,659 180 430 109 8,215
360 6,097 71%
Equity exposures
4
-
-
-
-
-
-
-
4
-
4 100%
Collective investment undertakings
846
3
-
-
-
-
-
3
846
3 933 110% - 6,873 89%
Other exposures Claimson institutions and corporates with a short-term credit assessment
7,704
-
2
-
-
-
-
-
7,706
630
9
50
(20)
-
14
-
-
655
3 420 64%
Secured by mortgageson immovable property 69,081 4,983 (11,625)
(9)
-
95 4,159 36 58,141 2,134 24,344 40%
Items associated with particularlyhigh risk Exposures in default
11
-
-
-
-
-
-
-
11
-
16 150%
5,706
342 (1,176)
(30)
11
69 176 78 4,508
179 5,467 117%
TOTAL 626 (2,676) 11,818 10,954 27,246 4,902 324,597 20,716 140,130 41% Note: net exposures are presentedaccording tothe template recommended by the EBA in its finalreport datedDecember 14,2016, i.e.excluding CCR, CVA and risk exposure amount for contributions tothe default fund ofa CCP. 326,344 55,224
118
Risk Report Pillar III 2018
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