BPCE - Risk Report - Pillar III 2020
COUNTERPARTY RISK
DETAILED QUANTITATIVE DISCLOSURES
12/31/2020
EAD post CRM and post CCF
Number of obligors Average LGD
Average maturity
PD scale
Average PD
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) 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)
225 257 422 775 888
0.09% 0.17% 0.31% 0.52% 1.27% 3.06% 0.72% 0.04% 0.17% 0.31% 0.60% 1.37% 4.00% 12.82%
16% 11% 13% 14% 17% 14% 15% 36% 34% 36% 42% 39% 40% 36%
4.70 3.67 3.93 3.77 3.57 3.73 2.95 3.79 0.79 2.00 1.79 1.62 1.35 1.50 3.44 2.20 1.08 1.15 1.53 1.89 1.44 4.44 1.00 2.21
36 33 87
16% 13% 21% 29% 44% 49%
225 389
57
28
32
47
150%
Sub-total
2,655
482
844 941 282 226 414 840 346 105
32%
CORPORATES – O/W: OTHER
10,438
9%
951 585 639
30% 39% 65% 81%
1,963
1,596
6
704 188
119% 184% 151%
69
Sub-total
15,538
0.59%
2,416
36%
4,749
31%
OTHER EXPOSURES – O/W SMES
1 0 1 0 1 0 3
0.44% 0.52% 1.53% 4.66% 27.37%
45% 45% 45% 45% 45%
0 0 0 0 1
32% 35% 55% 70%
117%
0%
Sub-total
8.10%
142
45%
2
65%
153
RISK REPORT PILLAR III 2020 | GROUPE BPCE
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