BPCE_PILLAR_III_2017

5 CREDIT RISK

Detailed quantitative disclosures

Detailed quantitative disclosures 5.5

The detailed quantitative disclosures on credit risk in the following tables expand on the Pillar III disclosures contained in the previous section. The key variables represented in the tables are: exposure: all assets (e.g. loans, receivables, accrued income, etc.) ● related to transactions on the market or with a customer and

Credit risk exposures are shown by debtor category, as listed below: central banks and other sovereign exposures: regulated deposits ● and savings centralized with Caisse des Dépôts et Consignations, deferredtax assets and reserves; central administrations: exposures to sovereigns, central ● administrationsand similar bodies, multilateraldevelopmentbanks and international organizations; public sector and similar entities: exposures to national public ● institutions, local authorities or other public sector entities, including private social housing agencies; financialinstitutions:exposuresto regulatedcredit institutionsand ● similar bodies,including clearing houses; corporates:other exposures,in particularto large corporates,SMEs, ● ISEs, insurancecompanies,funds, etc.; retail customers: exposures to individual customers, VSEs, ● professionalcustomers andindividual entrepreneurs; exposure to retail customersis also broken down into a number of ● categories: mortgage-backed exposures (excl. SMEs), mortgage-backedexposures(incl. SMEs), revolvingexposures,other exposures to retail customers (incl. SMEs) and other exposures to retail customers (excl.SMEs); securitizations: exposures to securitization transactions; ● equities: exposures representing investments in associates; ● other assets: this category includes all assets other than those ● whose risk relates to third parties (fixed assets, goodwill, residual values onlease financingagreements,etc.).

recorded as on-or off-balance sheet items; value at risk (Exposureat Default, EAD); ●

probabilityof default(PD); ● loss given default (LGD); ●

expected loss (EL): the value of the loss likely to be incurred given ● the quality of the transactionstructure and any measures taken to mitigaterisk, such as collateral.In the A-IRB method,the following equation summarizes the relationship between these variables: EL = EAD x PD x LGD (except for receivables in default); risk-weightedassets (RWA): calculatedbased on exposuresand the ● associatedlevel of risk, which depends on the counterparty’scredit quality. Reporting mechanisms present exposures according to the standardized or IRB approach, by region, by business sector and by maturity. They also provide information on credit quality using the standardized or IRB approach, by region and by business sector. The tables present credit risks after the applicationof risk mitigation techniques, including CVA. The breakdowns are shown with no substitutionby the guarantor’s segment. Credit risk exposures are also presented net of the impacts of mitigation and of credit derivatives on risk-weighted assets (RWA).

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Risk Report Pillar III 2017