BPCE - 2019 RISK REPORT Pillar III
CREDIT RISKS
DETAILED QUANTITATIVE DISCLOSURES
12/31/2019
Original on- balance sheet gross exposure
Off- balance- sheet expo- sures pre CCF
Value adjus- tments and provi- sions
EAD post CRM and post CCF
Number Of obligors
Average CCF
Average PD
Average LGD
RWA density
Average maturity
in millions of euros
PD scale
RWAs
EL
CORPORATES – O/W: OTHER
0.00 to <0.15 17,491 22,096 0.15 to <0.25 3,604 5,811 0.25 to <0.50 5,562 6,156 0.50 to <0.75 5,581 5,832 0.75 to <2.50 8,183 7,560
49% 29,019 0.05% 55% 6,849 0.17% 51% 8,865 0.31% 47% 8,337 0.53% 45% 11,612 1.24%
31% 2.29 4,082 30% 2.56 1,968 28% 2.41 3,198 29% 2.27 3,942 27% 2.28 7,088
14% 5 29% 4 36% 8 47% 13 61% 39
2.50 to <10.00 4,035 4,461
54% 6,453 4.18%
26% 2.88 5,713
89% 70
5
10.00 to <100.00 100.00 (default)
418
197
62% 551 13.78%
25% 2.84
700 127% 18
2,314
216
66% 2,457
1.21 1,920
78% 1,552
Sub-total
47,189 52,329
50% 74,144 0.82% 7,846
29% 2.35 28,612
39% 1,707 1,699
RETAIL – EXPOSURES SECURED BY MORTGAGES ON IMMOVABLE PROPERTY O/W SMES
0.00 to <0.15
-
-
0% -
0.00%
0% - 19% - 15% - 17% - 20% -
-
0% - 8% 3 8% 3 12% 1 27% 48
0.15 to <0.25 6,297 0.25 to <0.50 5,520 0.50 to <0.75 1,508 0.75 to <2.50 16,524
208 157
56% 6,414 0.24% 56% 5,608 0.34% 52% 1,520 0.53% 54% 16,838 1.37%
507 443 175
22
585
4,484
2.50 to <10.00 10,378 10.00 to <100.00 4,776
483
52% 10,630 5.22%
19% -
5,864
55% 105
259
55% 4,918 23.65%
20% -
4,660
95% 230
100.00 (default)
1,456
9
16% 1,458
-
587
40% 542
Sub-total
46,460 1,724
54% 47,386 4.33% 317,997
19% - 16,721
35% 932 1,075
RETAIL – EXPOSURES SECURED BY MORTGAGES ON IMMOVABLE PROPERTY O/W NON-SMES
0.00 to <0.15 82,734 3,236 0.15 to <0.25 41,708 1,748
59% 84,630 0.09% 56% 42,683 0.24% 57% 12,313 0.25% 59% 23,988 0.63% 66% 15,854 1.69%
11% - 11% - 11% - 11% - 11% -
2,046 2,286
2% 8 5% 11 6% 3 11% 17 21% 31
0.25 to <0.50 12,126
329
683
0.50 to <0.75 23,329 1,126 0.75 to <2.50 15,007 1,282
2,621 3,363
2.50 to <10.00 11,716 1,772
65% 12,868 4.00%
12% -
4,526
35% 60
10.00 to <100.00 5,447
222
62% 5,585 19.85%
13% -
3,865
69% 142
100.00 (default)
2,356
15
0% 2,356
-
838
36% 714 10% 987 2% 2 7% 1 4% 1 13% 5 24% 6
Sub-total
194,423 9,729
60% 200,277 1.14% 2,627,051
11% - 20,229
981
RETAIL – QUALIFYING REVOLVING
0.00 to <0.15 1,407 3,311
82% 4,120 0.08% 64% 967 0.24%
44% - 55% - 31% - 45% - 39% -
100
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50
461 161 799 413
792
70 29
511 104% 692 0.25%
990 500
85% 1,642 0.64% 90% 863 1.82%
210 205
2.50 to <10.00
429
375
75% 710 4.13%
50% -
384
54% 14
10.00 to <100.00 1,545 5,124
3% 3,091 19.36%
41% -
1,341
43% 173
100.00 (default)
195
9
3% 195
-
47
24% 119 19% 320
Sub-total
5,410 11,612
41% 12,282 5.47%20,503,900
44% -
2,386
282
123
RISK REPORT PILLAR III 2019 | GROUPE BPCE
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