BPCE - 2018 Registration document

RISK REPORT Credit risk

PD (PROBABILITY OF DEFAULT) MODELS ➡

Number of models

Exposure class

Portfolio

Description/Methodology

Expert criteria including quantitative and qualitative variables/economic and descriptive variables Portfolio with low default risk

Sovereigns, central governments and central banks

Sovereigns and affiliates

1

Expert criteria Portfolio with low default risk

Multilateral development banks

1

Municipalities (communes), departments, regions, social housing agencies, hospitals, etc.

10 (NA*)

Expert criteria/statistical modeling (logistic regression) Portfolio with low default risk

Public sector

Expert criteria Portfolio with low default risk

Financial institutions

OECD or non-OECD banks, brokers/dealers

3

5 Expert criteria including quantitative and qualitative variables, depending on the business sector Portfolio with low default risk Statistical models (logistic regression) or flat scores, on companies publishing parent company or consolidated financial statements, mainly based on balance sheet data depending on the business sector, and banking behavior/history Expert criteria including quantitative and qualitative variables Portfolio with low default risk Expert criteria based on features of financed goods/projects Portfolio with low default risk 7 Statistical models (logistic regression) including behavioral and socioeconomic variables, differentiated by customer profile 2 Statistical models (logistic regression) including balance sheet and behavioral variables Statistical models (logistic regression) including behavioral and socioeconomic variables, or project description variables (quota, etc.), differentiated by customer profile 1 Statistical models (logistic regression) including behavioral and socioeconomic variables

Large corporates (Revenue > €1 billion)

SMEs (Revenue > €3 million)

11 (o/w 2 NA)

Non-profits and Insurance companies Specialized lending (real estate, asset pool, aircraft, etc.)

8 (o/w 1 NA)

Corporates

Individual customers

Professional customers (socioeconomic category, differentiated according to certain sectors)

10

5 (o/w 2 NA)

Residential real estate

Retail

Revolving loans

NA refers to models not yet approved for the determination of capital requirements. *

6

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Registration document 2018