BPCE_PILLAR_III_2017
CREDIT RISK Detailed quantitative disclosures
12/31/2016
Original gross on- balance-
Off- balance- sheet exposures pre-CCF
Value adjust ments and provisions
sheet expos ures
EAD post CRM and post CCF
Average CCF
Average PD
Average
RWA density
Expected loss
PD range
LGD RWAs
in millions of euros CORPORATES – O/W SMES
0.00 to< 0.15 220 0.15 to< 0.25 469 0.25 to< 0.50 743
122 84% 287 0.09% 43% 61 21% 0 134 89% 474 0.24% 43% 182 38% 0
235 76% 830 0.39% 43% 395 48% 1 0.50 to< 0.75 1,968 1,033 64% 2,509 0.64% 43% 1,426 57% 7 0.75 to< 2.50 4,565 1,803 66% 5,586 1.37% 43% 4,101 73% 33 2.50 to < 10.00 5,347 1,705 67% 6,298 4.13% 43% 6,318 100% 111 10.00 to < 100.00 545 157 62% 615 14.29% 43% 951 155% 38 100.00 (default) 846 296 48% 958 0 0% 420 425 66% 1,493 0.21% 44% 704 47% 1 0.25 to< 0.50 1,519 1,273 65% 2,338 0.37% 44% 1,465 63% 4 0.50 to< 0.75 2,187 603 75% 2,554 0.62% 44% 2,032 80% 7 0.75 to< 2.50 4,477 1,386 70% 5,350 1.41% 44% 5,601 105% 33 2.50 to < 10.00 2,372 810 75% 2,967 3.94% 43% 4,137 139% 50 10.00 to < 100.00 7,639 248 72% 7,850 1.66% 45% 4,414 56% 58 100.00 (default) 1,069 215 72% 1,205 256 21% 501 0.00 to< 0.15 3,740 0.15 to< 0.25 1,300 759 66% 4,193 0.08% 45% 604 14% 1
5
Subtotal
14,703 5,485 67% 17,556 2.54% 41% 13,435 77% 610 596
CORPORATES – O/W OTHER
Subtotal
24,303 5,718 70% 27,949 1.26% 42% 19,214 69% 655 634
0.00 to< 0.15 219
- - - - - -
0% 219 0.00% 0% 696 317% 3 0% 17 0.00% 0% 49 293% 0 0% 80 0.00% 0% 226 281% 1 0% 8 0.00% 0% 30 353% 0 0% 44 0.00% 0% 148 334% 1 0% 63 0.00% 0% 215 340% 1
EQUITY EXPOSURES
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
17 80
8
44 63
10.00 to < 100.00 12,134 231 100% 12,365 0.00% 0% 41,775 338% 187 100.00 (default) 0 - 0% 0 - 0% 0
Subtotal
12,566 231 100% 12,798 0.00% 0% 43,139 337% 193 0 138,066 13,698 72% 147,135 0.55% 40% 78,158 53% 1,475 1,249
TOTALF-IRB
TOTAL
548,482 102,168 60% 608,688 1.50% 23% 178,024 29% 9,987 9,389
123
Risk Report Pillar III 2017
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