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
Average maturity
RWA density
in millions of euros
PD scale
RWAs
EL
OTHER EXPOSURES – O/W SMES
0.00 to <0.15
5
-
0% 4 0.03% 60% 1,212 0.23% 57% 5,573 0.37% 60% 728 0.55% 64% 10,267 1.46%
45% - 37% - 27% - 27% - 30% -
0
4% 0 15% 1 14% 6 17% 1 29% 45
0.15 to <0.25 1,131 0.25 to <0.50 5,079
134 863
183 792 126
0.50 to <0.75
696
53
0.75 to <2.50 9,368 1,406
3,014
2.50 to <10.00 7,650 1,348
62% 8,491 5.26%
30% -
3,311
39% 135
10.00 to <100.00 4,912
663
64% 5,329 22.00%
30% -
2,998
56% 329
100.00 (default)
3,212
288
31% 3,301
-
1,756
53% 1,980
Sub-total
32,054 4,754
60% 34,906 5.68% 2,279,066
33% - 12,181
35% 2,497 2,517
OTHER EXPOSURES – O/W NON-SMES
0.00 to <0.15 38,004 1,774
70% 39,246 0.09% 75% 5,316 0.24% 68% 14,550 0.25% 73% 12,264 0.65% 79% 10,734 1.90%
17% - 27% - 15% - 20% - 19% -
1,517
4% 6 13% 3 7% 5 18% 16 25% 38
0.15 to <0.25 5,194 0.25 to <0.50 14,127 0.50 to <0.75 11,823
162 622 602
684
1,062 2,161 2,703
0.75 to <2.50 9,857 1,106
2.50 to <10.00 4,717 10.00 to <100.00 3,184
315
79% 4,965 4.13%
28% -
2,075
42% 55
159
78% 3,123 20.45%
27% -
1,778
57% 132
100.00 (default)
1,888
21
26% 1,894
-
877
46% 901
Sub-total
88,796 4,761 453,971 89,372
73% 92,093 1.34% 4,408,073 57% 504,541 1.63%24,817,727
19% - 12,856 18% 2.36 97,055
14% 1,156 1,364 19% 7,637 7,993
TOTAL A-IRB
CENTRAL GOVERNMENTS OR CENTRAL BANKS
0.00 to <0.15 82,106
0
50% 82,598 0.00% 0% 283 0.21% 0% 295 0.38%
45% 2.50 45.00% 2.50 45% 2.50
255
0% 0
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50
283 295
- - - -
135 47.78% 0
191
65% 1
- -
- -
- -
- -
- -
- -
- -
- -
- -
2.50 to <10.00 10.00 to <100.00 100.00 (default)
9
0
50% 9 3.19%
45% 2.50
13 139% 0
0
-
0% 0 20.82%
45% 2.50
0 253% 0
0
-
0% 0
2.50
-
0% 0 1% 1 16% 0 54% 0 78% 0 35% 0 74% 0
Sub-total
82,693
0
50% 83,185 0.00% 55
45% 2.50 30% 2.82 42% 2.50 44% 2.50 16% 2.50 27% 2.50
594 267
1
INSTITUTIONS
0.00 to <0.15 1,305
240
75% 1,673 0.04% 72% 159 0.18% 52% 327 0.32% 75% 191 0.53% 76% 119 0.97%
0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50
104 326
76
86
3
256
38 20
205 130
67 88
2.50 to <10.00 10.00 to <100.00 100.00 (default)
84
81
75% 156 3.15%
35% 2.50
203 130% 2
0
-
0% 0 11.54%
30% 2.50
0 145% 0
0
-
-
0
-
2.50
-
0
Sub-total
1,877
735
75% 2,625 0.35% 308
32% 2.73
967
37% 3
6
128
RISK REPORT PILLAR III 2019 | GROUPE BPCE
www.groupebpce.com
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