BPCE - 2018 Risk report / Pillar III
6 COUNTERPARTY RISK
Detailed quantitative disclosures
TABLE 52 – IRB APPROACH – CCR EXPOSURES BY PORTFOLIO AND PD RANGE ➡
12/31/2018
EAD post CRM and post CCF Average PD
Number of
Average maturity
PD scale
obligors Average LGD
RWAs RWA density
in millions of euros
CENTRAL GOVERNMENTS OR CENTRAL BANKS
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 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 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 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 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
6,634
0.00%
15% 1.14 37% 0.07 47% 3.02
28
0%
24
0.21% 0.38%
5 5
19% 74%
7
- -
- -
95
3.19%
47% 3.93
156
165%
- -
- -
100.00 (default)
Sub-total
6,760
0.05% 73
15% 1.18 28% 1.08 26% 2.22 29% 1.47 33% 2.23 53% 1.02 84% 0.46 28% 1.21 44% 4.06 44% 1.46 44% 1.79 44% 1.42 43% 2.80 43% 3.85 44% 3.63 44% 3.01 16% 4.78 11% 2.96 16% 3.94 16% 3.68 19% 3.75 18% 2.79 17% 3.65 33% 1.11 33% 1.30 34% 1.51 34% 1.29 35% 1.58 33% 1.46 34% 3.62
193
3%
INSTITUTIONS
8,771 1,794
0.08% 0.18%
178 501 292 237 136
2%
28% 43% 68%
675 347 123
0.33% 0.53% 1.05% 2.90%
110% 225%
31
70
- -
- -
100.00 (default)
Sub-total
11,740
0.14% 803
1,414
12%
CORPORATES – O/W SMES
1 0 4
0.03% 0.24% 0.39% 0.64% 1.21% 3.48%
0 0 2
22% 30% 52%
18
11
58%
5
4
83%
12
16 97
132% 176%
55 11.80%
100.00 (default)
1
4.45
1
56%
Sub-total
97 68
7.43% 302
131
135%
CORPORATES – O/W: SPECIALIZED LENDING
0.09% 0.17% 0.31% 0.53% 1.24% 4.02%
10 19 54
15% 12% 25% 32% 51% 63%
161 215 333 331
108 170
86
54
-
4.15
-
100.00 (default)
11
22
201%
Sub-total
1,205
0.87% 409
436
36%
CORPORATES – O/W: OTHER
9,231 1,063
0.04% 0.17%
892 271 271 269 719 402 231
10% 26% 39% 47% 68% 98% 74%
696 576
0.31% 0.53%
1,060
1.10%
409
3.83%
314 12.76%
100.00 (default)
8
1.13
8
97%
Sub-total
13,356
0.59% 2,382
33% 1.22
3,063
23%
144
Risk Report Pillar III 2018
Made with FlippingBook - Online magazine maker