BPCE - 2018 Risk report / Pillar III

6 COUNTERPARTY RISK Quantitative disclosures

Quantitative disclosures 6.2

TABLE 46 – BREAKDOWN OF GROSS COUNTERPARTY RISK EXPOSURES BY ASSET CLASS (EXCLUDING OTHER ASSETS) ➡ AND METHOD

12/31/2018

31/12/2017

Standardized

IRB

Total

Total

Exposure

EAD

RWA Exposure

EAD

RWA Exposure

Exposure

EAD

RWA

in millions of euros

Central banks and othersovereign exposures

-

-

-

3,938 3,938 2,610 2,574

161 3,938 4,086 4,086 27 2,740 2,283 2,248 1 1,102 1,050 1,050

91 13

Central governments

130

130

-

Public sectorand similar entities

967 1,042

273

135

135

200

Institutions Corporates

20,338 18,931 1,397 14,193 14,193 3,213 34,530 41,559 39,993 4,459

1,511 1,423

931 15,963 15,946 4,400 17,473 17,998 15,266 4,928

Retail

3

3

2

3

3

2

7

7

7

6

Equity exposures

-

-

-

-

-

-

-

-

-

-

Securitization

47

47

14 1,613 1,613

267 1,660 1,489 1,489

285

TOTAL

22,996 21,578 2,617 38,455 38,402 8,072 61,451 68,471 64,138 9,983

The majorityof counterpartyrisk is incurred inthe “Institutions” assetclass (61%of exposures).

TABLE 47 – BREAKDOWN BY EXPOSURE CLASS OF RISK-WEIGHTED ASSETS FOR THE CREDIT VALUATION ADJUSTMENT (CVA) ➡

12/31/2018

12/31/2017

in millionsof euros

Central banks and othersovereignexposures

- - -

- - -

Central governments

Public sectorand similar entities

Institutions Corporates

1,807

1,418

509

430

Retail

- - - -

- - - -

Equity exposures

Securitization Other assets

TOTAL

2,317

1,848

138

Risk Report Pillar III 2018