BPCE - 2018 Risk report / Pillar III

5 CREDIT RISK

Detailed quantitative disclosures

Credit risk – standardized approach TABLE 38 – CREDIT RISK EXPOSURE AND CREDIT RISK MITIGATION (CRM) EFFECTS ➡

12/31/2018

Exposures before CCF and CRM

Creditrisk mitigation tech- niques subject to a sub- stitution approach

Credit risk mitigation techniques affecting the amount of the exposure

Value of off-balance sheet items by conversion factor

Exposures post CCF and CRM

RWAs and RWA density

On- balance sheet amount

Off- balance sheet amount

On- balance sheet amount

Off- balance sheet amount

RWA den- sity

0% 20% 50% 100%

RWAs

in millions of euros Central governments or centralbanks Regional governmentor local authorities

75,303

7 13,331

-

-

1 702

0 87,938

352 6,008 7%

47,750 3,834 10,149

-

- 1,737 2,430

9 57,557 1,571 12,376 21%

Public sectorentities 19,182 2,613 (1,870)

(44)

-

967 1,456 210 17,248 1,132 3,846 21%

Multilateral development banks

187

19

46

-

-

0

6 19

227

22

-

0%

International organizations

884

-

-

-

-

-

-

-

884

-

-

0%

Institutions

11,112

465

206

(5)

2

19 251 233 11,273

362 2,004 17%

Covered bonds

280

-

-

-

-

-

-

-

280

-

175 63%

Corporates

78,643 30,502 (8,053) 9,020 12,446 (434)

(2,128)

146 7,873 17,635 4,205 69,105 14,597 71,565 85%

Retail

(440) 11,659 180 430 109 8,215

360 6,097 71%

Equity exposures

4

-

-

-

-

-

-

-

4

-

4 100%

Collective investment undertakings

846

3

-

-

-

-

-

3

846

3 933 110% - 6,873 89%

Other exposures Claimson institutions and corporates with a short-term credit assessment

7,704

-

2

-

-

-

-

-

7,706

630

9

50

(20)

-

14

-

-

655

3 420 64%

Secured by mortgageson immovable property 69,081 4,983 (11,625)

(9)

-

95 4,159 36 58,141 2,134 24,344 40%

Items associated with particularlyhigh risk Exposures in default

11

-

-

-

-

-

-

-

11

-

16 150%

5,706

342 (1,176)

(30)

11

69 176 78 4,508

179 5,467 117%

TOTAL 626 (2,676) 11,818 10,954 27,246 4,902 324,597 20,716 140,130 41% Note: net exposures are presentedaccording tothe template recommended by the EBA in its finalreport datedDecember 14,2016, i.e.excluding CCR, CVA and risk exposure amount for contributions tothe default fund ofa CCP. 326,344 55,224

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Risk Report Pillar III 2018