BPCE_PILLAR_III_2017

CREDIT RISK Detailed quantitative disclosures

12/31/2016

Exposures before CCF and CRM

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

Credit risk mitigation techniques subject toa substitution 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 centralbanks Regionalgovernments or local authorities Public sectorentities Multilateraldevelopment banks International organizations

79,117

130 13,339

-

-

34 1,107

1 91,444 561 7,837 9%

53,429 4,220 10,350 19,085 2,212 (2,087)

-

15 2,060 2,605 41 63,278 1,755 13,371 21% - 432 1,417 347 17,015 1,142 3,585 20%

-

884

49

28

-

-

-

2 47 912

48

2 0%

5

825

-

-

-

-

-

-

-

825

-

-

0%

Institutions

3,759

295 (128)

-

13

7 191 96 3,596 193 1,500 40%

Covered bonds

395

-

-

-

-

-

-

-

395

-

247 62%

Corporates

63,256 26,923 (8,012) 8,404 11,466 (326)

(167)

- 3,652 16,020 6,753 55,522 15,493 60,251 85%

Retail customers Equity exposures

(173) 10,685 113 530 67 7,976 355 6,002 72%

170

6

-

-

-

-

-

6 170

6 161 91%

Collectiveinvestments undertakings

1,519 7,237

- -

- -

- -

- -

- -

- -

- 1,519 - 7,237

- 1,650 109% - 6,660 92%

Other exposures

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

2,306

-

10

-

-

1

-

- 2,315

-

124 5%

63,859 4,531 (11,659)

-

-

89 3,421 38 53,183 1,766 22,001 40%

16

-

-

-

-

-

-

-

16

-

24 150%

Exposureat default

5,574

546 (1,084)

(1)

-

72 235 231 4,495 362 5,480 113%

TOTAL

309,835 50,378

432 (342) 10,713 6,460 25,526 7,628 309,898 21,682 128,894 39%

113

Risk Report Pillar III 2017