BPCE_PILLAR_III_2017
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
- -
0.00% 0.00% 0.35% 0.64% 1.71% 5.20% 12.84% 4.92% 0.27% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.05% 0.20% 0.36% 0.60% 2.10% 0.00% 0.00% 0.09% 0.04% 0.24% 0.39% 0.64% 1.48% 4.40% 16.09% 2.97% 0.04% 0.20% 0.38% 0.62% 1.40% 4.57% 11.73%
0% 0%
- -
0% 0%
OTHER EXPOSURES – O/W SMES
0 0 1 1 0 0 3
45% 45% 45% 45% 45% 45% 24% 45%
0 0 0 0 0
21% 30% 44% 54% 64%
100.00 (default)
-
0%
Subtotal
1
49% 20%
TOTALA-IRB
36,057
7,095
19
- - - - - - - - -
0% 0% 0% 0% 0% 0% 0% 0% 0%
CENTRAL GOVERNMENTS
- - - - - - -
0% 0% 0% 0% 0% 0%
6
100.00 (default)
Subtotal
19
45% 45% 45% 45% 45% 45%
892 367
155 145
17% 40% 41%
INSTITUTIONS
37
15
0 6
0 9
104% 153%
-
0% 0%
-
0%
218
64
30%
100.00 (default)
-
-
0%
Subtotal
1,519
39% 45% 45% 45% 45% 45% 45% 45% 44% 45% 45% 45% 45% 45% 45% 45% 44% 41% 25%
388
26% 13% 45% 48% 64% 88%
0 5 4 7
0 2 2 4
CORPORATES – O/W SMES
26 21
23 24
117% 182%
4 1
7
100.00 (default)
-
0%
Subtotal
67
62
93% 18% 49% 65% 81%
612
110
CORPORATES – O/W OTHER
10
5 5
7
21 13 12 16 10
17 15 19 34
109% 153% 217%
100.00 (default)
-
0%
Subtotal
702
0.43% 0.28% 0.27%
204 655
29% 28% 20%
TOTALF-IRB
2,308
TOTAL
38,365
7,749
141
Risk Report Pillar III 2017
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