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

Made with FlippingBook - professional solution for displaying marketing and sales documents online