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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