BPCE_PILLAR_III_2017

6 COUNTERPARTY RISK Quantitative disclosures

Quantitative disclosures 6.2

TABLE 43 – BREAKDOWN OF GROSS COUNTERPARTY RISK EXPOSURES BY ASSET CLASS (EXCLUDING OTHER ASSETS) ➡ AND METHOD

12/31/2017

12/31/2016

Standardized

IRB

Total

Total

Exposure

EAD RWA Exposure

EAD RWA Exposure

Exposure

EAD

RWA

in millions of euros Central banks and other sovereign exposures Central administrations Public sectorand similarentities Financialinstitutions

-

-

-

4,086 4,086

91

4,086

2,860 2,860

182

138

138

-

2,145 2,110

13

2,283

2,296 2,260

13

904

904 199

146

146

1

1,050

1,249 1,249

237

21,394 19,828 1,073

20,165 20,165 3,386 14,546 14,505 4,379

41,559

35,218 34,150 7,399 17,072 17,070 6,103

Corporates

3,452

760 549

17,998

Retail customers

4

4

5

3

3

1

7

12

12

12

Equities

-

-

-

-

-

-

-

Securitization

0

0

0

1,489 1,489 285 42,579 42,503 8,156

1,489

2,517 2,517

388

TOTAL

25,892 21,634 1,827

68,471

61,224 60,118 14,333

The majorityof counterpartyrisk is carried by the “Financial institutions”asset class (61%of exposures).

TABLE 44 – BREAKDOWN BY EXPOSURE CLASS OF RISK-WEIGHTED ASSETS FOR THE CREDIT VALUATION ADJUSTMENT (CVA) ➡

12/31/2017

12/31/1016

in millionsof euros

Central banks and othersovereignexposures

- - -

- - -

Central administrations

Public sectorand similar entities

Financialinstitutions

1,418

3,881 1,033

Corporates

430

Retail customers

- - - -

- -

Equities

Securitization Other assets

41

-

TOTAL

1,848

4,955

132

Risk Report Pillar III 2017