BPCE - 2018 Registration document

FINANCIAL REPORT IFRS Consolidated Financial Statements of Groupe BPCE as at December 31, 2018

7.1.3.6 Change in provisions for credit losses on guarantee commitments given

Stage 1

Stage 2

Stage 3

TOTAL

in millions of euros

BALANCE AT 01/01/2018

41 42

89 13

180

310

Origination

///

55

Derecognition

(11)

(29)

(12)

(52)

Transfers between Stages

(3)

20

8 2

25

Other changes

(32)

(31)

(61) 277

BALANCE AT 12/31/2018

37

62

178

Measurement and management of credit risk 7.1.4 Credit risk arises whenever a counterparty is unable to meet its payment obligations and may result from a reduction in credit quality or even default by the counterparty. Commitments exposed to credit risk consist of existing or potential receivables and particularly loans, debt securities, equities, performance swaps, performance bonds, or confirmed or undrawn facilities. Credit risk management procedures and assessment methods, risk concentration, the quality of performing financial assets, and the

analysis and breakdown of outstandings are described in the risk management report. 7.1.5 The statement below shows the credit and counterparty risk exposure for all Groupe BPCE’s financial assets. This exposure to credit risk (determined without taking into account the impact of any unrecognized netting or collateral agreements) and to counterparty risk is based on the carrying amount of the financial assets. Guarantees received on impaired instruments

Maximum exposure net of impairment

Maximum credit risk exposure

Impairment/ Provisions

Guarantees

in millions of euros

Debt securities at amortized cost

248

(143)

105

57

5

Loans and receivables due from credit institutions at amortized cost Loans and receivables due from customers at amortized cost Debt securities – Fair value through OCI recyclable to income

54

(53)

1

21,433

(9,716)

11,716

10,259

79

(60)

19

Loan commitments

342 919

(145) (178)

196 740

5

Guarantee commitments

17

TOTAL IMPAIRED FINANCIAL INSTRUMENTS (S3)

23,074

(10,296)

12,777

10,338

Credit risk mitigation mechanisms: assets obtained by taking possession of collateral The policy followed by Groupe BPCE entities is to sell assets obtained by taking possession of collateral as soon as possible. The amount of these assets was non-material at December 31, 2018. 7.2 Market risk refers to the possibility of financial loss due to market trends, such as: interest rates: interest rate risk is the risk that the fair value or ● future cash flows of a financial instrument will fluctuate due to changes in market rates of interest; exchange rates; ● prices: market price risk is the risk of a potential loss resulting from ● changes in market prices, whether they are caused by factors specific to the instrument or its issuer, or by factors affecting all market traded instruments. Variable-income securities, equity derivatives and commodity derivatives are exposed to this type of risk; and more generally, any market parameter involved in the valuation of ● portfolios. Systems for the measurement and monitoring of market risks are presented in the risk management report. 7.1.6 MARKET RISK

The information provided in the risk management report required under IFRS 7 and relating to the management of market risk comprises: VaR for the Groupe BPCE scope; ● the conclusions of the global stress tests. ● RATE RISK Interest rate risk is the risk that unfavorable changes in interest rates will adversely impact the Group’s annual results and net worth. Exchange rate risk is the risk of losses resulting from changes in exchange rates. The Group’s approach to the management of overall interest rate risk and foreign exchange risk is discussed in Chapter 3 “Risk Management – Liquidity, Interest Rate and Exchange Rate risks”. 7.4 Liquidity risk is the risk that the Group will be unable to honor its payment commitments as they fall due and replace funds when they are withdrawn. The funding procedures and liquidity risk management arrangements are disclosed in the risk management report. Disclosures relating to the management of liquidity risk required by IFRS 7 are provided in Chapter 3 “Risk management report – Liquidity, interest rate and foreign exchange risk”. INTEREST RATE RISK AND EXCHANGE 7.3 LIQUIDITY RISK

325

Registration document 2018