BPCE_PILLAR_III_2017
5 CREDIT RISK
Detailed quantitative disclosures
Credit risk – internal model approach
TABLE 37 – CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE ➡
12/31/2017
Original gross on- balance- sheet expos- ures
Value adjust- ments and prov- isions
Off- balance- sheet exposures pre-CCF
EAD post CRM and post CCF
Average CCF
Average PD
Average
RWA density
Expected loss
PD range
LGD RWAs
in millions of euros CENTRAL GOVERNMENTS OR CENTRAL BANKS
0.00 to< 0.15 43,686 0.15 to< 0.25 377 0.25 to < 0.50 166
471
41% 46,947 0.00% 8% 114
0% 0
-
7 100% 180 0.21% 37% 88 49% 0 251 100% 156 0.38% 41% 76 49% 0
-
0
0.50 to< 0.75 0.75 to < 2.50
- -
- -
- -
- -
- -
- -
2.50 to< 10.00 359
221 76% 82 3.19% 47% 118 144% 1
4
10.00 to < 100.00
5
0 100% 89 44.09% 8% 2
3% 3
3
100.00 (default)
106
0 100% 49
-
-
48 48
Subtotal
44,699
949 65% 47,503 0.09% 8% 398 779 84% 7,247 0.05% 19% 561
1% 52 55
0.00 to< 0.15 6,305 0.15 to< 0.25 681 0.25 to< 0.50 195
8% 1
0 1
INSTITUTIONS
143 76% 832 0.18% 25% 195 23% 0 164 54% 287 0.33% 34% 137 48% 0 152 23% 85 0.55% 32% 45 53% 0 330 25% 406 1.04% 53% 456 112% 2 148 22% 247 3.08% 75% 570 231% 6
-
0.50 to < 0.75
46
0
0.75 to< 2.50 327 2.50 to < 10.00 206
1
4
10.00 to < 100.00
-
-
-
-
-
-
-
-
-
100.00 (default)
54
-
-
54
-
-
52 52
Subtotal
7,815 1,716 58% 9,158 0.20% 23% 1,964 21% 62 58 44% 148 0.08% 25% 27 19% 0 42 100% 34 0.21% 41% 12 35% 0 98% 377 0.36% 23% 107 28% 0 99% 160 0.62% 27% 61 38% 0 94% 825 1.27% 27% 456 55% 3 281 96% 1,368 3.49% 27% 1,059 77% 12 10 0 0 0 0 3 62 29 78 52
0.00 to< 0.15 137 0.15 to< 0.25 122 0.25 to< 0.50 318 0.50 to< 0.75 158 0.75 to< 2.50 804 2.50 to < 10.00 1,171
CORPORATES – O/W SMES
10.00 to <
100.00 175
47
76% 212 12.51% 19% 187 88% 5
1
100.00 (default)
225
16
70% 199
234 117% 132 132
Subtotal
3,111
606 90% 3,323 2.79% 26% 2,143 64% 152 147
0.00 to< 0.15 1,154 0.15 to< 0.25 995
339 84% 1,294 0.07% 12% 118
9% 0
0
CORPORATES - O/WSPECIALIZED LENDING
659 87% 1,459 0.18% 10% 188 13% 0 1 0.25 to< 0.50 1,987 1,652 79% 3,175 0.33% 10% 493 16% 1 3 0.50 to< 0.75 2,413 1,570 67% 3,257 0.55% 11% 727 22% 2 3 0.75 to< 2.50 6,422 3,133 65% 7,748 1.38% 11% 2,323 30% 12 26 2.50 to < 10.00 887 269 55% 703 3.99% 25% 569 81% 6 21 10.00 to < 100.00 4 - 0% 4 12.20% 23% 4 109% 0 - 100.00 (default) 654 15 43% 661 - - 239 239
Subtotal
14,516 7,638 71% 18,301 0.95% 11% 4,423 24% 260 293
116
Risk Report Pillar III 2017
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