BPCE - 2019 RISK REPORT Pillar III

6

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

TABLE 56 – IRB APPROACH – CCR EXPOSURES BY PORTFOLIO AND PD SCALE

12/31/2019

EAD post CRM and post CCF

Number of obligors

Average maturity

PD scale

Average PD

Average LGD

RWAs

RWA density

in millions of euros

Central governments or central banks

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 2.50 to <10.00 10.00 to <100.00 100.00 (default) 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 2.50 to <10.00 10.00 to <100.00 100.00 (default) 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 2.50 to <10.00 10.00 to <100.00 100.00 (default)

3,722

0.00% 0.21% 0.38%

16% 37% 47%

1.56 0.21 5.00

31

1%

24 14

5

21% 98%

13

45

3.19%

47%

3.38

70

157%

Sub-total Institutions

3,804

0.05% 0.04% 0.17% 0.31% 0.52% 1.15% 2.85% 0.08% 0.03% 0.19% 0.38% 0.63% 1.44% 3.40% 11.74%

70

16% 19% 30% 30% 36% 62% 50% 21% 44% 44% 44% 44% 44% 43% 44%

1.58 1.09 1.62 1.74 1.09 0.92 1.30 1.14 3.23 1.34 1.38 1.31 3.49 3.87 3.86 3.42 3.42

119 725 225 155

3% 6%

11,323

751 384 123

30% 40% 59%

73 95 67

74 44

129% 153%

Sub-total

12,699

675

1,340

11% 18% 33% 49% 63%

Corporates – o/w SMEs

2 0 6 9

0 0 3 6

14 35 37

16 53 84

117% 152% 226% 173% 157%

1

2

Sub-total

105

5.61%

321

44%

165

142

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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