BPCE - 2018 Risk report / Pillar III

5 CREDIT RISK

Detailed quantitative disclosures

Credit risk – internal model approach TABLE 40 – CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE ➡

12/31/2018

Original on- balance-

Off- balance- sheet expo- sures pre-CCF

EAD post CRM and post CCF

Value adjust- ments and provis- ions

sheet gross expo- sures

Average CCF

Average PD

Number of obligors

Average LGD

Average maturity RWAs

RWA density

PD scale

EL

in millions of euros CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to< 0.15 31,569 804 75% 34,245 0.00%

8% 1.71 110 0% 0 36% 1.97 54 34% 0 25% 3.10 17 44% 0

0.15 to< 0.25 153

-

-

159 0.21%

0.25 to< 0.50 0.50 to< 0.75 0.75 to< 2.50

4 11 100% 39 0.38%

- -

- -

- -

- -

- -

- -

2.50 to< 10.00 93 36 39% 128 3.11%

40% 2.18 155 121% 2

10.00 to < 100.00

1

-

-

1 20.93%

57% 4.60

3 352% 0

100.00 (default)

48

-

-

48

1.40

-

0% 48

Sub-total

31,868 851 73% 34,620 0.01% 108 9% 1.72 340 1% 50 50

INSTITUTIONS

0.00 to< 0.15 7,569 865 60% 8,317 0.04% 0.15 to< 0.25 433 90 64% 517 0.17% 0.25 to< 0.50 201 128 87% 313 0.31% 0.50 to< 0.75 118 92 20% 136 0.53% 0.75 to< 2.50 17 387 26% 116 1.40% 2.50 to< 10.00 45 226 21% 98 3.06%

15% 1.57 445 5% 1 30% 1.49 146 28% 0 41% 1.23 158 50% 0 64% 1.07 131 96% 0 50% 2.53 153 132% 1 89% 2.08 282 288% 3

10.00 to < 100.00

-

-

-

-

-

100.00 (default)

28

-

28

1.00

-

0% 42

Sub-total

8,411 1,787 48% 9,526 0.11% 643 19% 1.56 1,315 14% 47 44

CORPORATES – O/W SMES

0.00 to< 0.15 199 77 76% 125 0.08%

25% 2.95 21 17% 0

0.15 to< 0.25 108

7 100% 34 0.20%

15% 4.25

7 21% 0

0.25 to< 0.50 132 73 92% 198 0.42% 0.50 to< 0.75 154 26 68% 171 0.61% 0.75 to< 2.50 736 161 98% 894 1.32% 2.50 to< 10.00 878 145 94% 1,009 4.00% 10.00 to < 100.00 1,323 162 47% 1,399 15.48% 0.00 to< 0.15 2,897 1,255 61% 1,407 0.07% 0.15 to< 0.25 759 668 89% 1,314 0.17% 0.25 to< 0.50 1,712 1,675 78% 3,002 0.31% 0.50 to< 0.75 2,691 1,970 71% 4,084 0.53% 0.75 to< 2.50 5,263 3,481 60% 7,353 1.30% 2.50 to< 10.00 306 256 64% 471 3.71% 10.00 to < 100.00 258 68 83% 315 12.02% 100.00 (default) 218 7 50% 221

27% 2.43 68 34% 0 31% 2.29 84 49% 0 26% 2.96 493 55% 3 25% 3.00 725 72% 10

18% 3.13 695 50% 11

3.13 255 115% 80

Sub-total

3,748 658 79% 4,052 7.07% 12,911 23% 2.92 2,348 58% 103 82

CORPORATES – O/W: SPECIALIZED LENDING

9% 4.15 90 6% 0 7% 3.86 104 8% 0 9% 3.86 444 15% 1 10% 3.72 790 19% 2 14% 3.54 2,646 36% 14 26% 3.43 388 82% 4

12% 3.59 75 24% 0

100.00 (default)

378

1 65% 379

1.75 278 73% 132

Sub-total

14,265 9,375 68% 18,325 1.03% 1,416 12% 3.67 4,815 26% 154 170

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Risk Report Pillar III 2018