BPCE - 2018 Risk report / Pillar III

CREDIT RISK Detailed quantitative disclosures

12/31/2017

Exposures before CCF and CRM

Credit risk mitigation tech- niques affecting the amount of the expo- sure

Value of off-balance sheet items by conversion factor

Exposures post CCF and CRM

RWAs and RWA density

Credit risk mitigation tech- niques subject to a sub- stitution approach

On- balance sheet amount

Off- balance sheet amount

On- balance sheet amount

Off- balance sheet amount

RWA density

0% 20% 50% 100%

RWAs

in millions of euros Central governments or central banks Regional governmentor local authorities

5

74,524

62 13,508

-

-

1 1,159

-

86,934

580 5,465 6%

49,376 3,976 10,503

-

14 1,827 2,629 47 59,339 1,726 12,734 21%

Public sector entities

19,545 2,265 (2,020)

(15)

- 448 1,409 357 17,561 1,151 3,670 20%

Multilateral development banks

132

60

1

-

-

-

-

60

133

60

2 1%

International organizations

733

-

-

-

-

-

-

-

733

-

-

0%

Institutions

4,180

568

63

(6)

56 16 290 335 4,214

483 1,399 29%

Covered bonds

514

-

-

-

-

-

-

-

514

-

184 36%

Corporates

67,269 30,816 (8,274) 8,149 11,823 (246)

(1,813)

37 3,315 18,842 7,955 57,850 18,039 64,188 85%

Retail

(200)

11,134 143 411 96 7,741

330 5,822 72%

Equity exposures

5

6

-

-

-

-

-

6

5

6

11 100%

Collective investment undertakings

931

-

-

-

-

-

-

-

931

-

1,056 113% 8,689 108%

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

8,058

1

-

-

-

-

1

-

8,058

-

381

-

2

-

-

1

-

-

381

-

200 52%

Secured by mortgageson immovable property 64,746 5,145 (11,867)

(9)

-

75 3,923 55 53,964 2,031 22,728 41%

Items associated with particularlyhigh risk Exposures in default

8

-

-

-

-

-

-

-

8

-

12 150%

5,384

495 (1,054)

(18)

8 40 194 249 4,316

354 5,428 116%

TOTAL 616 (2,062) 11,248 5,865 28,857 9,161 302,682 24,762 131,589 40% Note: net exposuresare presentedaccordingto the templaterecommendedby the EBA in its final report dated December 14,2016, i.e. excludingCCR, CVA and risk exposureamount for contributions tothe default fund ofa CCP. 303,935 55,217

119

Risk Report Pillar III 2018