BPCE - 2019 RISK REPORT Pillar III

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

TABLE 44 – CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE

12/31/2019

Original on- balance sheet gross exposure

Off- balance- sheet expo- sures pre CCF

Value adjust- ments and provi- sions

EAD post CRM and post CCF

Number Of obligors

Average PD

Average LGD

Average maturity

RWA density

Average CCF

in millions of euros

PD scale

RWAs

EL

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to <0.15 26,430

685

79% 29,075 0.00% 0% 61 0.21%

9% 1.39 37% 0.83 30% 2.80 0% - 0% -

124

0% 0 26% 0 48% 0 0% - 0% -

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50

61 18

-

16 24

7 100% 49 0.38%

- -

- -

0% - 0% -

0.00% 0.00%

- -

2.50 to <10.00 10.00 to <100.00 100.00 (default)

39

47 100% 86 3.19%

47% 4.24

146 169% 1

1

15

29% 5 20.93%

57% 2.26

17 320% 1

49

-

0% 49

1.37

-

0% 49 1% 51 6% 1 20% 0 34% 1 85% 0

Sub-total

26,598

755

79% 29,326 0.01% 103

9% 1.40 19% 1.18 27% 0.52 31% 0.80 43% 2.25 48% 1.46

325 366

51

INSTITUTIONS

0.00 to <0.15 5,067 1,750

54% 6,302 0.04% 29% 417 0.17% 56% 535 0.31% 20% 100 0.52% 22% 121 1.62%

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50

392 436

54

82

156 382 338

180

24 48

85

151 125% 1

2.50 to <10.00 10.00 to <100.00 100.00 (default)

106

213

20% 171 2.95%

63% 1.94

337 197% 3

-

-

-

-

-

-

-

-

-

-

41

0

20% 41

1.89

-

0% 41 16% 47 20% 0 14% 0 40% 0 34% 1 51% 5

Sub-total

6,114 2,893

43% 7,687 0.16% 619

22% 1.16 1,201

45

CORPORATES – O/W SMES

0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75

198 112

72 20 36

77% 111 0.07% 97% 61 0.17% 89% 105 0.37% 93% 623 0.58% 79% 1,529 1.57%

33% 3.04 17% 2.79 33% 2.36 21% 2.51 22% 2.91

23

9

73

42

499

132 295

213 780

0.75 to <2.50 1,296

2.50 to <10.00 1,404

289

83% 1,615 4.52%

23% 3.02 1,222

76% 17

10.00 to <100.00 100.00 (default)

194

100

76% 270 14.62%

19% 3.40

245

91% 7

214

19

75% 228

2.93

260 114% 85

Sub-total

3,990

962

82% 4,541 3.26% 13,384

23% 2.91 2,792

61% 116 7% 0 19% 0 14% 1 22% 3 33% 10

90

CORPORATES – O/W: SPECIALIZED LENDING

0.00 to <0.15 3,190 1,681

60% 1,344 0.07% 82% 1,554 0.17% 72% 3,450 0.31% 69% 4,437 0.52% 63% 6,678 1.27%

10% 4.02 14% 4.00 8% 3.86 11% 3.72

96

0.15 to <0.25 1,023

651

297 475 988

0.25 to <0.50 2,641 1,391 0.50 to <0.75 2,717 2,504 0.75 to <2.50 4,885 2,844

12% 3.74 2,207

2.50 to <10.00 10.00 to <100.00 100.00 (default)

342

284

50% 476 3.53%

23% 4.22

376

79% 3

13

-

0% 2 11.98%

28% 3.05

3 143% 0

405

16

27% 409

1.27

428 105% 104

Sub-total

15,216 9,371

66% 18,350 0.78% 1,412

29% 3.76 4,869

27% 122

135

122

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com

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