BPCE - 2018 Risk report / Pillar III
CREDIT RISK Detailed quantitative disclosures
12/31/2018
Original on- balance-
Off- balance- sheet expo- sures pre-CCF
EAD post CRM and post CCF
Value adjust- ments and provis- ions
sheet gross expo- sures
Average CCF
Average PD
Number of obligors
Average LGD
Average maturity RWAs
RWA density
PD scale
EL
in millions of euros CORPORATES – O/W SMES
0.00 to< 0.15 975 239 73% 690 0.11% 0.15 to< 0.25 331 101 77% 380 0.23% 0.25 to< 0.50 2,350 895 58% 2,878 0.43% 0.50 to< 0.75 1,125 475 53% 1,384 0.64% 0.75 to< 2.50 5,835 1,849 52% 6,808 1.31% 2.50 to< 10.00 6,118 1,748 54% 7,058 4.09% 10.00 to < 100.00 1,144 271 40% 2,009 16.20% 0.00 to< 0.15 4,260 715 68% 4,751 0.08% 0.15 to< 0.25 1,956 867 71% 2,609 0.20% 0.25 to< 0.50 1,955 865 67% 2,539 0.37% 0.50 to< 0.75 1,777 479 74% 2,154 0.61% 0.75 to< 2.50 5,150 1,507 69% 6,198 1.31% 2.50 to< 10.00 3,762 867 68% 4,357 4.00% 10.00 to < 100.00 1,663 355 61% 2,221 13.25% 100.00 (default) 889 377 21% 4
42% 2.48 150 22% 0 43% 2.50 148 39% 0 42% 2.50 1,309 45% 5 43% 2.50 835 60% 4 43% 2.50 5,025 74% 38 43% 2.50 6,952 98% 123
5
23% 2.50 1,588 79% 482
2.50
-
2
Sub-total
18,768 5,954 52% 21,209 3.42% 87,372 43% 2.50 16,007 75% 655 709
CORPORATES – O/W: OTHER
45% 2.00 1,290 27% 2 44% 2.50 1,206 46% 2 44% 2.50 1,569 62% 4 43% 2.50 1,678 78% 6 43% 2.50 6,314 102% 35 43% 2.50 6,166 142% 75
24% 2.50 2,435 110% 536
100.00 (default)
953 235 66% 16
2.50
-
7
Sub-total
21,475 5,889 68% 24,846 2.34% 31,416 44% 2.37 20,659 83% 667 792
EQUITY EXPOSURES
0.00 to< 0.15 5,670 172 100% 5,842
18,246 312% 99 0 290% 0 0 290% 0 12 190% 0 433 351% 2 301 310% 2
0.15 to< 0.25 0.25 to< 0.50 0.50 to< 0.75
0 0 6
- - -
- - -
0 0 6
0.75 to< 2.50 123 2.50 to< 10.00 97
- -
- -
123
97
10.00 to < 100.00 6,459
-
- 6,459
23,495 364% 91
100.00 (default)
2
-
-
2
8 370% 0
Sub-total
12,358 172 100% 12,530
- 42,496 339% 194
TOTALF-IRB
137,171 12,751 65%144,395 0.74% 119,151 39% 2.48 80,724 56% 1,520 1,509 591,142102,122 52%648,937 1.43% 24,936,878 22% 2.42177,779 27% 9,157 9,502
TOTAL
Note: only credit risk excluding dilution risk and specializedlendingunder the F-IRBapproach. On- and off-balancesheet exposures are shown at initial risk, other items at final risk, which is why EADscan exceedexposure amounts.
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Risk Report Pillar III 2018
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