BPCE - 2018 Risk report / Pillar III

5 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 OTHER EXPOSURES– O/W SMES

0.00 to< 0.15

5

-

-

4 0.03%

45% 37% 27% 27% 30% 30%

0 4% 0 183 15% 1 792 14% 6 126 17% 1 3,014 29% 45 3,311 39% 135

0.15 to< 0.25 1,131 134 60% 1,212 0.23% 0.25 to< 0.50 5,079 863 57% 5,573 0.37% 0.50 to< 0.75 696 53 60% 728 0.55% 0.75 to< 2.50 9,368 1,406 64% 10,267 1.46% 2.50 to< 10.00 7,650 1,348 62% 8,491 5.26% 10.00 to < 100.00 4,912 663 64% 5,329 22.00% 100.00 (default) 3,212 288 31% 3,301 0.00 to< 0.15 38,004 1,774 70% 39,246 0.09% 0.15 to< 0.25 5,194 162 75% 5,316 0.24% 0.25 to< 0.50 14,127 622 68% 14,550 0.25% 0.50 to< 0.75 11,823 602 73% 12,264 0.65% 0.75 to< 2.50 9,857 1,106 79% 10,734 1.90% 2.50 to< 10.00 4,717 315 79% 4,965 4.13% 10.00 to < 100.00 3,184 159 78% 3,123 20.45% 100.00 (default) 1,888 21 26% 1,894

30%

2,998 56% 329 1,756 53% 1,980

Sub-total

32,054 4,754 60% 34,906 5.68% 2,279,066 33% - 12,181 35% 2,497 2,517

OTHER EXPOSURES– O/W NON-SMES

17% 27% 15% 20% 19% 28%

1,517 4% 6 684 13% 3 1,062 7% 5 2,161 18% 16 2,703 25% 38 2,075 42% 55

27%

1,778 57% 132 877 46% 901

Sub-total

88,796 4,761 73% 92,093 1.34% 4,408,073 19% - 12,856 14% 1,156 1,364 453,971 89,372 57%504,541 1.63% 24,817,727 18% 2.36 97,055 19% 7,637 7,993

TOTALA-IRB

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to< 0.15 82,106 0.15 to< 0.25 283 0.25 to< 0.50 295

0 50% 82,598 0.00%

45% 2.50 255 0% 0 45% 2.50 135 48% 0 45% 2.50 191 65% 1

- -

- -

283 0.21% 295 0.38%

0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00

- -

- -

- -

- -

- -

- -

9

0 50% 9 3.19%

45% 2.50 13 139% 0

10.00 to < 100.00

0

-

-

0 20.82%

45% 2.50

0 253% 0

100.00 (default)

0

-

-

0

2.50

-

0

Sub-total

82,693

0 50% 83,185 0.00% 55 45% 2.50 594 1% 1

1

INSTITUTIONS

0.00 to< 0.15 1,305 240 75% 1,673 0.04% 0.15 to< 0.25 104 76 72% 159 0.18%

30% 2.82 267 16% 0 42% 2.50 86 54% 0 44% 2.50 256 78% 0 16% 2.50 67 35% 0 27% 2.50 88 74% 0 35% 2.50 203 130% 2

0.25 to< 0.50 326

3 52% 327 0.32%

0.50 to< 0.75 38 205 75% 191 0.53% 0.75 to< 2.50 20 130 76% 119 0.97% 2.50 to< 10.00 84 81 75% 156 3.15%

10.00 to < 100.00

0

-

-

0 11.54%

30% 2.50

0 145% 0

100.00 (default)

0

-

-

0

2.50

-

0

Sub-total

1,877 735 75% 2,625 0.35% 308 32% 2.73 967 37% 3 6

124

Risk Report Pillar III 2018