BPCE_PILLAR_III_2017

5 CREDIT RISK

Detailed quantitative disclosures

Credit risk – standardized approach

TABLE 35 – CREDIT RISK EXPOSURE AND CREDIT RISK MITIGATION (CRM) EFFECTS ➡

12/31/2017

Exposures beforeCCF andCRM

Valueof off-balance sheetitems byconversion factor

Exposures post CCF and CRM

RWAs and RWA density

Creditrisk mitigation techniques subjectto a substitution approach

Creditrisk mitigation techniques affecting theamount of the exposure

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 governmentsor centralbanks Regionalgovernments or local authorities Public sectorentities Multilateraldevelopment banks International organizations

74,524

62 13,508

-

-

1 1,159

- 86,934 580 5,465 6%

49,376 3,976 10,503 19,545 2,265 (2,020)

-

14 1,827 2,629 47 59,339 1,726 12,734 21% - 448 1,409 357 17,561 1,151 3,670 20%

(15)

132

60

1

-

-

-

-

60 133

60

2 1%

733

-

-

-

-

-

-

-

733

-

-

0%

Institutions

4,180

568

63

(6)

56 16 290 335 4,214 483 1,399 30%

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% (200) 11,134 143 411 96 7,741 330 5,822 72%

Retail customers Equity exposures

5

6

-

-

-

-

-

6

5

6

11 100%

Collectiveinvestments undertakings

931

-

-

-

-

-

-

-

931

- 1,056 113% - 8,689 108%

Other exposures

8,058

1

-

-

-

-

1

- 8,058

Claimson institutions and corporates with a short-term credit assessment Secured by mortgages on immovable property Items associatedwith particularly highrisk

381

-

2

-

-

1

-

-

381

-

200 52%

64,746 5,145 (11,867)

(9)

-

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

8

-

-

-

-

-

-

-

8

-

12 150%

Exposureat default

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 exposures are presentedaccording tothe model recommended by the EBA in its finalreport datedDecember14, 2016, i.e.excluding counterparty risk, CVA and risk associated with the contribution to thecentral counterpartydefault fund. 303,935 55,217

112

Risk Report Pillar III 2017