BPCE_PILLAR_III_2017

6 COUNTERPARTY RISK

Detailed quantitative disclosures

12/31/2016

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

3,916

0.00% 0.00% 0.38% 0.00% 0.00% 3.19% 0.14% 0.12% 0.05% 0.20% 0.36% 0.30% 1.37% 3.01% 0.01% 0.12% 0.10% 0.24% 0.39% 0.64% 1.21% 3.42% 11.73% 3.35% 0.10% 0.20% 0.36% 0.60% 1.33% 4.05% 0.00% 0.99% 0.05% 0.20% 0.36% 0.49% 1.60% 5.52% 0.53%

11%

14

0% 0%

CENTRAL GOVERNMENTS OR CENTRAL BANKS

-

0%

-

7

47%

3

39%

- -

0% 0%

- -

0% 0%

143

47% 37%

178

124%

2

0

20%

100.00 (default)

-

-

0% 5% 8%

Subtotal

4,069

13% 17% 25% 33% 12% 59% 73% 20% 44% 44% 30% 44% 44% 44% 44% 40% 28% 29% 14% 23% 18% 21% 19% 34% 34% 34% 39% 34% 33% 0% 0%

195 959 762 141 118 283 100

11,946

INSTITUTIONS

2,582

29% 51% 26%

279 457 213

133% 202%

49

107

21

19%

100.00 (default)

-

-

0%

Subtotal

15,633

2,384

15% 50% 34% 60% 92% 77%

1 1 6 8 1 8 6 1

0 0 4 7 1 9

CORPORATES – O/W SMES

102% 193%

12

100.00 (default)

0

40%

Subtotal

32 47

33 13 43 98

103%

28% 42% 27% 54% 55% 84% 46% 11% 31% 49% 41% 76% 0% 0%

CORPORATES – O/W SPECIALIZED

102 365 271 321 127

145 176 106

-

- -

100.00 (default)

43

Subtotal

1,276 9,129 1,485

581

1,035

CORPORATES – O/W OTHER

458 468 338 828 393 287

950 816

1,091

366

107%

1,159

1%

25%

100.00 (default)

48

92

192%

Subtotal

15,043

0.39%

31%

3,900

26%

140

Risk Report Pillar III 2017