BPCE - 2018 Risk report / Pillar III
COUNTERPARTY RISK Detailed quantitative disclosures
12/31/2017
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 < 100.00 100.00 (default) 100.00 (default) 100.00 (default) 100.00 (default)
8
0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
45%
- - - - - - - - -
0%
- - - - - - -
0% 0% 0% 0% 0% 0%
Sub-total
8
0.00%
45% 45% 45% 45% 45% 45% 45% 13% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 0%
0%
INSTITUTIONS
1,729
0.05%
265
15% 40% 50%
142 100
0.18% 0.33% 0.55% 1.97% 2.82% 7.24% 0.09% 0.24% 0.42% 0.64% 1.35% 4.64% 2.49% 0.09% 0.21% 0.38% 0.61% 1.39% 4.76%
56 50
0 0 2
0 0 2 0
100% 151% 105%
6
5,130 10.00%
0%
-
-
Sub-total
7,103
374
5%
CORPORATES – O/W SMES
5 2
1 1 6 6
24% 40% 51% 64% 84%
11
9
18 20
15 23
115% 345%
2 19.70%
6
2
-
0%
Sub-total
68
57
85% 29% 48% 45% 78%
CORPORATES – O/W: OTHER
523
154
4
2
185
83
6
5
29 13
29 20 44
102% 156%
327 10.07%
3%
14%
2
-
0%
Sub-total
1,088 8,267
3.24% 6.67% 2.02%
32% 15% 21%
337 768
31%
TOTALF-IRB
9%
TOTAL
42,282
6,603
16%
147
Risk Report Pillar III 2018
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