BPCE - 2019 RISK REPORT Pillar III
6
COUNTERPARTY RISK
DETAILED QUANTITATIVE DISCLOSURES
12/31/2018
EAD post CRM and post CCF
Number of obligors
Average maturity
PD scale
Average PD
Average LGD
RWAs
RWA density
in millions of euros
Corporates – o/w: Specialized lending
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)
68
0.09% 0.17% 0.31% 0.53% 1.24% 4.02% 0.87% 0.04% 0.17% 0.31% 0.53% 1.10% 3.83% 12.76%
16% 11% 16% 16% 19% 18% 17% 33% 33% 34% 34% 35% 33% 34%
4.78 2.96 3.94 3.68 3.75 2.79 3.65 1.11 1.30 1.51 1.29 1.58 1.46 3.62 1.13 1.22
10 19 54
15% 12% 25% 32% 51% 63% 36% 10% 26% 39% 47% 68% 98% 74% 97% 23%
161 215 333 331
108 170
86
54
11
22
201%
Sub-total
1,205 9,231 1,063
409
436 892 271 271 269 719 402 231
Corporates – o/w: Other
696 576
1,060
409 314
8
8
Sub-total
13,356
0.59%
2,382
33%
3,063
146
RISK REPORT PILLAR III 2019 | GROUPE BPCE
www.groupebpce.com
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