BPCE - 2018 Risk report / Pillar III
COUNTERPARTY RISK Detailed quantitative disclosures
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
OTHER EXPOSURES– O/W SMES
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 < 100.00 100.00 (default) 100.00 (default) 100.00 (default) 100.00 (default)
- -
- -
0
0.44%
45%
0
24%
-
-
2 0
1.81% 4.33%
45% 45% 45%
1 0 1
45% 54%
1 18.86%
136%
0 3
-
0%
Sub-total
6.89% 157 0.35% 4,126
45%
2
71%
TOTALA-IRB INSTITUTIONS
33,161
28% 1.30 55% 1.12 45% 0.88 45% 1.39 45% 2.50
5,239
16%
2,160
0.07%
334
15% 40% 64%
233
0.18% 0.33% 0.55%
92 10
15
0
0
100%
6
-
-
11
2.74%
45% 1.62
16
145%
-
- -
0
2.50
0%
Sub-total
2,420
0.09% 110
54%
453
19% 32% 40% 53% 64% 82%
CORPORATES – O/W SMES
2 0 5 9
0.14% 0.24% 0.42% 0.64% 1.35% 4.74%
45% 2.50 45% 2.50 45% 2.48 45% 2.41 45% 2.50 45% 2.50 45% 2.50 45% 2.48 45% 1.03 45% 0.52 45% 1.11 45% 0.80 45% 2.20 45% 2.49 38% 1.96 45% 0.99 45% 1.06 30% 1.27
1 0 2 6 9
11 14
16
117% 252%
2 20.63%
4
2
2.50
-
0%
Sub-total
45
2.90% 757
39
87%
CORPORATES – O/W: OTHER
1,904
0.06%
258
14% 25% 45% 55%
279
0.18% 0.32% 0.54% 1.16% 4.40%
70 43 19 27 12 18
97 34 25
108% 152% 104%
8
17 12.10%
1
2.50
-
0%
Sub-total
2,365 4,829
0.20% 399 0.17% 1,266 0.33% 5,392
448 939
19% 19% 16%
TOTALF-IRB
TOTAL
37,991
6,178
145
Risk Report Pillar III 2018
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