BPCE - 2019 RISK REPORT Pillar III
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
Other exposures – 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 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) 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
0.44%
45%
0
24%
2 0 1 0 3
1.81% 4.33% 18.86% 6.89% 0.35% 0.07% 0.18% 0.33% 0.55% 0.09% 0.14% 0.24% 0.42% 0.64% 1.35% 4.74% 20.63% 2.90% 0.06% 0.18% 0.32% 0.54% 1.16% 4.40% 12.10% 2.74%
45% 45% 45% 45% 28% 55% 45% 45% 45% 54% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 38% 45% 45% 30% 45%
1 0 1
45% 54%
136%
0%
Sub-total
157
2
71% 16% 15% 40% 64%
TOTAL A-IRB
33,161
4,126
1.30 1.12 0.88 1.39 2.50
5,239
Institutions
2,160
334
233
92 10
15
0
0
100%
6
11
1.62
16
145%
0
2.50
0%
Sub-total
2,420
110
453
19% 32% 40% 53% 64% 82%
Corporates – o/w SMEs
2 0 5 9
2.50 2.50 2.48 2.41 2.50 2.50 2.50 2.50 2.48 1.03 0.52 1.11 0.80 2.20 2.49 1.96 2.50 0.99 1.06 1.27
1 0 2 6 9
11 14
16
117% 252%
2 2
4
0%
Sub-total
45
757
39
87% 14% 25% 45% 55%
Corporates – o/w: Other
1,904
258
279
70 43 19 27 12 18
97 34 25
108% 152% 104%
8
17
0%
1
Sub-total
2,365 4,829
0.20% 0.17% 0.33%
399
448 939
19% 19% 16%
TOTAL F-IRB
1,266 5,392
TOTAL
37,991
6,178
147
RISK REPORT PILLAR III 2019 | GROUPE BPCE
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