BPCE_REGISTRATION_DOCUMENT_2017

RISK REPORT Capital management and capital adequacy

OVERVIEW OF RWA ➡ The table below complies with the CRR format, presentingcapital requirementsfor credit and counterpartyrisks, before the CVA and after the application of risk mitigation techniques.

12/31/2017

12/31/2016

Capital requirements

RWA amounts

RWA

in millions of euros

Credit risk (excludingcounterpartycredit risk) (CCR)

313,064 126,916 51,357 94,978

25,045 10,153

305,239 121,639 45,343 99,866

o/w standardizedapproach (SA) - o/w internal ratings-based (IRB) approach - o/w advancedmeasurement approach -

3

4,109 7,598

o/w equityIRB under the simplerisk-weightapproachor the internalmodels - approach

39,813 10,281

3,185

38,391 14,518

Counterpartycredit risk o/w Marked-to-market - o/w Originalexposure -

822 648

8,096

9,224

0 0 0

0 0 0

0 0 0

o/w standardizedapproach for counterparty credit risk - CCR o/w internal modelmethod(IMM) - o/w riskexposureamount for contributions to the default fundof a CCP -

337

27

339

o/w CVA -

1,848

148

4,955

Settlement risk

10

1

27

Securitization exposures in bankingbook o/w internal ratings-based approach (RBA) - o/w IRBSupervisory FormulaApproach (SFA) - o/w standardizedapproach (SA) -

5,310 1,392

425 111

9,320 1,980

0

0

3,918

313 856 518 338

7,340

Market risk

10,700

12,205

o/w standardizedapproach (SA) - o/w internal model approaches (IM) -

6,471 4,229

6,768 5,437

Operational risk

38,055

3,044

37,669

o/w Basic IndicatorApproach - o/w Standardized Approach -

0

0

38,055

3,044

37,669

o/w AdvancedMeasurement Approach -

0

0

Amountsbelowthe thresholdsfor deduction(subjectto 250%risk weight)

8,911

713

12,003

Floor adjustment

0

0

TOTAL 390,981 Note: risk-weightedassets (RWA) and capital requirementsfor counterpartyrisk are presentedaccordingto themodelrecommended bythe EBA in its final report datedDecember 14,2016 (counterparty risk apart and including CVA and risk linked to thecontributionto thedefaultfund.) 386,331 30,906

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Registration document 2017

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