BPCE - 2018 Risk report / Pillar III

CREDIT RISK Detailed quantitative disclosures

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 CORPORATES – O/W: OTHER

0.00 to< 0.15 17,254 21,906 47% 27,569 0.05% 0.15 to< 0.25 4,013 5,528 57% 7,232 0.18% 0.25 to< 0.50 6,013 7,111 47% 9,385 0.32% 0.50 to< 0.75 5,157 4,585 50% 7,437 0.54% 0.75 to< 2.50 6,209 6,403 47% 9,190 1.24% 2.50 to< 10.00 3,672 3,653 57% 5,750 3.93% 10.00 to < 100.00 2,164 2,031 50% 3,187 13.33% 100.00 (default) 1,987 125 53% 2,053 0.15 to< 0.25 5,804 183 57% 5,908 0.23% 0.25 to< 0.50 4,926 127 55% 4,996 0.34% 0.50 to< 0.75 1,395 16 51% 1,403 0.52% 0.75 to< 2.50 14,977 480 53% 15,232 1.36% 2.50 to< 10.00 9,583 432 52% 9,809 5.21% 10.00 to < 100.00 4,779 234 52% 4,902 23.70% 0.00 to< 0.15 78,030 2,832 59% 79,690 0.09% 0.15 to< 0.25 38,942 1,433 57% 39,755 0.24% 0.25 to< 0.50 11,318 273 58% 11,478 0.25% 0.50 to< 0.75 21,400 881 59% 21,920 0.63% 0.75 to< 2.50 13,797 951 66% 14,424 1.69% 2.50 to< 10.00 10,532 1,360 66% 11,428 4.01% 10.00 to < 100.00 5,230 157 62% 5,327 20.19% 100.00 (default) 2,402 11 3% 2,402 0.00 to< 0.15 1,138 3,164 82% 3,723 0.08% 0.15 to< 0.25 407 790 64% 914 0.24% 0.25 to< 0.50 101 474 104% 594 0.25% 0.50 to< 0.75 663 979 85% 1,495 0.63% 0.75 to< 2.50 353 504 90% 805 1.82% 2.50 to< 10.00 415 379 76% 704 4.14% 10.00 to < 100.00 378 169 89% 516 20.24% 0.00 to< 0.15 - - - - 100.00 (default) 1,606 6 4% 1,607

30% 2.39 3,860 14% 4 31% 2.72 2,264 31% 4 27% 2.13 3,124 33% 8 29% 2.38 3,638 49% 12 28% 2.36 5,718 62% 31 28% 2.90 5,298 92% 61

5

28% 3.05 1,576 49% 26 34% 1.75 1,448 71% 1,362

Sub-total

46,470 51,341 49% 71,803 1.24% 9,391 29% 2.42 26,927 38% 1,509 1,515

RETAIL – EXPOSURES SECURED BY MORTGAGES ON IMMOVABLE PROPERTYO/W SMES

-

-

19% 15% 17% 20% 19%

458 8% 3 393 8% 3 159 11% 1 3,995 26% 42 5,403 55% 96

20%

4,735 97% 231 644 40% 585

Sub-total

43,071 1,479 53% 43,857 4.54% 302,642 20% - 15,787 36% 961 1,106

RETAIL – EXPOSURES SECURED BY MORTGAGES ON IMMOVABLE PROPERTYO/W NON-SMES

11% 11% 11% 11% 12% 12%

1,935 2% 8 2,139 5% 11 651 6% 3 2,424 11% 16 3,100 21% 28 4,096 36% 54

13%

3,765 71% 142 856 36% 712

Sub-total

181,650 7,899 60%186,425 1.15% 2,325,701 11% - 18,965 10% 974 995

RETAIL - QUALIFYING REVOLVING

45% 55% 31% 46% 40% 49%

92 2% 1 66 7% 1 25 4% 0 195 13% 4 193 24% 5 377 54% 14

43%

548 106% 43 25 14% 116

100.00 (default)

184

9 2% 184

Sub-total

3,639 6,467 82% 8,936 1.88% 15,477,776 45% - 1,521 17% 186 152

123

Risk Report Pillar III 2018