BPCE_PILLAR_III_2017

6 COUNTERPARTY RISK

Detailed quantitative disclosures

TABLE 49 – IRB APPROACH – CCR EXPOSURES BY PORTFOLIO AND PD RANGE ➡

12/31/2017

EAD post CRM and post CCF

PD range

Average PD

Average LGD

RWAs

RWA density

in millions of euros

0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00 0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00 0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00 0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00 0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00

6,334

0.00% 0.21% 0.38% 0.00% 0.00% 3.19% 0.00% 0.04% 0.05% 0.18% 0.33% 0.55% 1.00% 2.88% 0.00% 0.11% 0.06% 0.00% 0.39% 0.64% 1.31% 3.83% 10.73% 5.02% 0.09% 0.18% 0.33% 0.55% 1.11% 3.61% 0.00% 0.88% 0.05% 0.18% 0.33% 0.56% 1.23% 3.36% 17.79%

10% 37% 47%

13

0%

CENTRAL GOVERNMENTS OR CENTRAL BANKS

3

1 7

33% 38%

20

- -

0% 0%

- -

67

47%

83

124%

- -

0%

- -

100.00 (default)

Subtotal

6,424

11% 18% 27% 32% 30% 62% 67%

105 816 440 160 149 250

2% 7%

10,998

INSTITUTIONS

1,268

35% 49% 66%

326 228 194

129% 189%

51

95

-

0%

- -

100.00 (default)

1

0%

Subtotal

13,065

21% 44%

1,911

15% 23%

1

0

CORPORATES – O/W SMES

-

0%

-

5 2 6

32% 44% 43% 44% 40% 41% 31% 17% 13% 21% 20% 19% 18% 34% 32% 34% 31% 34% 34% 0% 0%

2 2 6

45% 89% 88%

19 15

22 25

114% 168% 179% 118%

100.00 (default)

1

1

Subtotal

49 58

58 13 24 62

23% 23% 23% 47% 58% 75% 41% 10% 28% 41% 42% 66% 98% 22% 0%

CORPORATES – O/W SPECIALIZED

106 263 221 228 107

103 131

80

-

- -

100.00 (default)

36

Subtotal

1,019 7,627 1,203

413 783 343 344 461 537 550 291

CORPORATES – O/W OTHER

843

1,086

816 559

1,298

1%

100.00 (default)

22

39

176%

Subtotal

13,454 34,014

2.04% 0.89%

30% 23%

3,347 5,835

25% 17%

TOTALA-IRB

138

Risk Report Pillar III 2017