BPCE - 2019 RISK REPORT Pillar III
5
CREDIT RISKS
DETAILED QUANTITATIVE DISCLOSURES
12/31/2018
Original on- balance sheet gross exposure
Value adjust- ments and provi- sions
Off- balance- sheet exposures pre CCF
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
CENTRAL GOVERNMENTS OR CENTRAL BANKS
0.00 to <0.15 31,569
804
75% 34,245 0.00% 0% 159 0.21%
8% 1.71 36% 1.97 25% 3.10 0% - 0% -
110
0% 0 34% 0 44% 0 0% - 0% -
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50
153
-
54 17
4
11 100% 39 0.38%
- -
- -
0% - 0% -
0.00% 0.00%
- -
2.50 to <10.00 10.00 to <100.00 100.00 (default)
93
36
39% 128 3.11%
40% 2.18
155 121% 2
1
-
0% 1 20.93%
57% 4.60
3 352% 0
48
-
0% 48
1.40
-
0% 48 1% 50 5% 1 28% 0 50% 0 96% 0
Sub-total
31,868
851 865
73% 34,620 0.01% 108
9% 1.72 15% 1.57 30% 1.49 41% 1.23 64% 1.07 50% 2.53
340 445 146 158 131
50
INSTITUTIONS
0.00 to <0.15 7,569
60% 8,317 0.04% 64% 517 0.17% 87% 313 0.31% 20% 136 0.53% 26% 116 1.40%
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50
433 201 118
90
128
92
17
387
153 132% 1
2.50 to <10.00 10.00 to <100.00 100.00 (default)
45
226
21% 98 3.06%
89% 2.08
282 288% 3
-
-
0% -
0.00%
0% -
-
0% -
28
-
0% 28
1.00
-
0% 42 14% 47 17% 0 21% 0 34% 0 49% 0 55% 3
Sub-total
8,411 1,787
48% 9,526 0.11% 643
19% 1.56 1,315
44
CORPORATES – O/W SMES
0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50
199 108 132 154 736
77
76% 125 0.08%
25% 2.95 15% 4.25 27% 2.43 31% 2.29 26% 2.96
21
7 100% 34 0.20%
7
73 26
92% 198 0.42% 68% 171 0.61% 98% 894 1.32%
68 84
161
493
2.50 to <10.00
878
145
94% 1,009 4.00%
25% 3.00
725
72% 10
10.00 to <100.00 1,323
162
47% 1,399 15.48%
18% 3.13
695
50% 11
100.00 (default)
218
7
50% 221
3.13
255 115% 80
Sub-total
3,748
658
79% 4,052 7.07% 12,911
23% 2.92 2,348
58% 103 6% 0 8% 0
82
CORPORATES – O/W: SPECIALIZED LENDING
0.50 to <0.75 2,897 1,255
61% 1,407 0.07% 89% 1,314 0.17%
9% 4.15 7% 3.86
90
0.75 to <2.50
759
668
104
2.50 to <10.00 1,712 1,675 10.00 to <100.00 2,691 1,970
78% 3,002 0.31%
9% 3.86
444
15% 1
71% 4,084 0.53%
10% 3.72
790
19% 2
100.00 (default)
5,263 3,481
60% 7,353 1.30% 64% 471 3.71% 83% 315 12.02%
14% 3.54 2,646
36% 14 82% 4 24% 0 73% 132 26% 154
-
306 258 378
256
26% 3.43 12% 3.59
388
0.00 to <0.15 0.15 to <0.25
68
75
1
65% 379
1.75
278
Sub-total
14,265 9,375
68% 18,325 1.03% 1,416
12% 3.67 4,815
170
126
RISK REPORT PILLAR III 2019 | GROUPE BPCE
www.groupebpce.com
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