BPCE_PILLAR_III_2017
5 CREDIT RISK
Detailed quantitative disclosures
12/31/2016
Original gross on- balance-
Off- balance- sheet exposures pre-CCF
Value adjust ments and provisions
sheet expos ures
EAD post CRM and post CCF
Average CCF
Average PD
Average
RWA density
Expected loss
PD range
LGD RWAs
in millions of euros OTHER EXPOSURES– O/W SMES
0.00 to< 0.15 0.15 to< 0.25
0
0 100% 0 0.03% 45% 0
5% 0 0% -
-
-
0% - 0.00% 0% -
0.25 to< 0.50 4,077 0.50 to< 0.75 3,243
772 55% 4,499 0.37% 28% 684 15% 5
711 50% 3,600 0.67% 29% 755 21% 7 0.75 to< 2.50 7,907 1,385 57% 8,700 1.61% 29% 2,550 29% 40 2.50 to < 10.00 6,725 1,481 62% 7,638 4.85% 29% 2,803 37% 110 10.00 to < 100.00 5,429 938 62% 6,004 19.95% 29% 3,115 52% 359 100.00 (default) 3,512 304 22% 3,576 1,932 54% 2,149
Subtotal
30,893 5,590 56% 34,018 5.14% 26% 11,838 35% 2,670 2,510
0.00 to< 0.15 30,382 1,658 75% 31,624 0.09% 16% 1,241
4% 5 0% -
OTHER EXPOSURES– O/W NON-SMES
0.15 to< 0.25
-
-
0% - 0.00% 0% -
0.25 to< 0.50 15,404 746 74% 15,957 0.27% 17% 1,439 9% 8 0.50 to< 0.75 10,311 609 77% 10,782 0.68% 20% 1,932 18% 15 0.75 to < 2.50 8,733 1,476 83% 9,957 1.95% 18% 2,346 24% 33 2.50 to< 10.00 4,234 353 81% 4,519 4.59% 29% 2,019 45% 59 10.00 to < 100.00 3,088 237 83% 3,284 20.34% 26% 1,890 58% 175 100.00 (default) 2,088 23 27% 2,094 984 47% 1,002
Subtotal
74,241 5,102 78% 78,218 1.55% 18% 11,851 15% 1,297 1,411 410,417 88,470 58% 461,553 1.80% 18% 99,866 22% 8,512 8,140
TOTALA-IRB
0.00 to< 0.15 83,058
0 100% 83,108 0.00% 45% 253
0% 0
CENTRAL GOVERNMENTS OR CENTRAL BANKS
0.15 to< 0.25
87
-
0% 89 0.20% 45% 41 47% 0 0% 738 0.25% 45% 312 42% 1
0.25 to < 0.50 480
-
0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00
- -
- -
0% 5 0.00% 45% - 0% 6 0.00% 44% - 94% 17 0.19% 44% 1
0% - 0% - 8% 0
0
0
10.00 to <
100.00 237
0
75% 238 0.03% 45% 2
1% 0
100.00 (default)
0
-
0% 1
0 24% 0
Subtotal
83,862
0 92% 84,203 0.00% 45% 609
1% 1 0% 1
0
0.00 to< 0.15 1,913 1,385 93% 3,144 0.05% 41% 739
INSTITUTIONS
0.15 to< 0.25
71
82 82% 157 0.19% 38% 77 47% 0 286 75% 356 0.35% 42% 268 42% 1
0.25 to< 0.50 387
0.50 to< 0.75
42
231 75% 249 0.52% 24% 114 208 74% 387 1.15% 34% 300
0% 0 0% 2 8% 2
0.75 to< 2.50 144
2.50 to < 10.00
50
72
78% 252 1.75% 44% 215
10.00 to < 100.00
0
0
50% 25 0.09% 34% 42
1% 0
100.00 (default)
25
-
0% 57
7 24% 11
Subtotal
2,631 2,263 86% 4,628 0.28% 40% 1,762 1% 16 19
122
Risk Report Pillar III 2017
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