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 SMES
0.00 to <0.15 0.15 to <0.25 0.25 to <0.50
769 654 417
200 416 217
49% 391 0.06% 68% 949 0.18% 66% 560 0.37% 56% 4,605 0.59% 56% 8,352 1.48%
45% 2.50 43% 2.50 42% 2.50
76
19% 0 32% 1 48% 1 53% 11 77% 52
306 270
0.50 to <0.75 3,764 1,483 0.75 to <2.50 6,997 2,402
42% 2.50 2,446 42% 2.50 6,438
2.50 to <10.00 7,101 2,381
55% 8,422 4.63%
43% 2.50 8,718 104% 165
10.00 to <100.00 1,742
484
53% 1,649 18.40%
43% 2.50 2,553 155% 128
5
100.00 (default)
808
249
43% 916
2.50
-
0% 389 81% 747 23% 1 46% 2 60% 4 76% 9
Sub-total
22,253 7,833
56% 25,843 3.40% 108,370
43% 2.50 20,806
668
CORPORATES – O/W: OTHER
0.00 to <0.15 2,886 0.15 to <0.25 1,628 0.25 to <0.50 1,915 0.50 to <0.75 2,959
796 947 597 899
71% 3,385 0.06% 63% 2,254 0.20% 75% 2,369 0.34% 72% 3,640 0.58% 69% 9,297 1.52%
44% 2.50
784
44% 2.50 1,033 44% 2.50 1,431 43% 2.50 2,753
0.75 to <2.50 7,677 2,284
43% 2.50 9,812 106% 60
2.50 to <10.00 4,381 1,178
68% 5,179 4.66%
43% 2.50 7,577 146% 102
10.00 to <100.00 1,827
365
62% 1,048 14.97%
42% 2.50 2,248 215% 66
100.00 (default)
1,455
450
36% 1,616
2.50
-
0% 708
Sub-total
24,729 7,516
67% 28,788 2.12% 44,577
43% 2.50 25,639
89% 952 1,193
EQUITY EXPOSURES 0.00 to <0.15 5,453
158 100% 5,611
18,192 324% 98 12 190% 0 1 190% 0 12 192% 0 362 303% 12
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50
6 1 6
- - - -
- - - -
6 1 6
120
120
2.50 to <10.00
127
-
-
127
274 216% 2
10.00 to <100.00 8,974
2
1 8,491
28,812 339% 96
100.00 (default)
4
-
-
4
17 370% 0 47,682 332% 209
Sub-total
14,691
160 100% 14,366
TOTAL F-IRB
153,351 16,219 627,156 115,567
63% 162,026 1.04% 153,302 50% 690,989 1.49%30,066,384
42% 2 95,762 23% 2 199,273
59% 1,913 1,867 29% 9,915 10,025
TOTAL
Only credit risk excluding Dilution Risk and Specialized Lending under the F-IRB approach. On- and off-balance sheet exposures are shown at initial risk, other items at final risk, which is why EADs can exceed exposure amounts.
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RISK REPORT PILLAR III 2019 | GROUPE BPCE
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