BPCE_PILLAR_III_2017
6 COUNTERPARTY RISK Quantitative disclosures
Quantitative disclosures 6.2
TABLE 43 – BREAKDOWN OF GROSS COUNTERPARTY RISK EXPOSURES BY ASSET CLASS (EXCLUDING OTHER ASSETS) ➡ AND METHOD
12/31/2017
12/31/2016
Standardized
IRB
Total
Total
Exposure
EAD RWA Exposure
EAD RWA Exposure
Exposure
EAD
RWA
in millions of euros Central banks and other sovereign exposures Central administrations Public sectorand similarentities Financialinstitutions
-
-
-
4,086 4,086
91
4,086
2,860 2,860
182
138
138
-
2,145 2,110
13
2,283
2,296 2,260
13
904
904 199
146
146
1
1,050
1,249 1,249
237
21,394 19,828 1,073
20,165 20,165 3,386 14,546 14,505 4,379
41,559
35,218 34,150 7,399 17,072 17,070 6,103
Corporates
3,452
760 549
17,998
Retail customers
4
4
5
3
3
1
7
12
12
12
Equities
-
-
-
-
-
-
-
Securitization
0
0
0
1,489 1,489 285 42,579 42,503 8,156
1,489
2,517 2,517
388
TOTAL
25,892 21,634 1,827
68,471
61,224 60,118 14,333
The majorityof counterpartyrisk is carried by the “Financial institutions”asset class (61%of exposures).
TABLE 44 – BREAKDOWN BY EXPOSURE CLASS OF RISK-WEIGHTED ASSETS FOR THE CREDIT VALUATION ADJUSTMENT (CVA) ➡
12/31/2017
12/31/1016
in millionsof euros
Central banks and othersovereignexposures
- - -
- - -
Central administrations
Public sectorand similar entities
Financialinstitutions
1,418
3,881 1,033
Corporates
430
Retail customers
- - - -
- -
Equities
Securitization Other assets
41
-
TOTAL
1,848
4,955
132
Risk Report Pillar III 2017
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