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 SMES

0.00 to< 0.15 975 239 73% 690 0.11% 0.15 to< 0.25 331 101 77% 380 0.23% 0.25 to< 0.50 2,350 895 58% 2,878 0.43% 0.50 to< 0.75 1,125 475 53% 1,384 0.64% 0.75 to< 2.50 5,835 1,849 52% 6,808 1.31% 2.50 to< 10.00 6,118 1,748 54% 7,058 4.09% 10.00 to < 100.00 1,144 271 40% 2,009 16.20% 0.00 to< 0.15 4,260 715 68% 4,751 0.08% 0.15 to< 0.25 1,956 867 71% 2,609 0.20% 0.25 to< 0.50 1,955 865 67% 2,539 0.37% 0.50 to< 0.75 1,777 479 74% 2,154 0.61% 0.75 to< 2.50 5,150 1,507 69% 6,198 1.31% 2.50 to< 10.00 3,762 867 68% 4,357 4.00% 10.00 to < 100.00 1,663 355 61% 2,221 13.25% 100.00 (default) 889 377 21% 4

42% 2.48 150 22% 0 43% 2.50 148 39% 0 42% 2.50 1,309 45% 5 43% 2.50 835 60% 4 43% 2.50 5,025 74% 38 43% 2.50 6,952 98% 123

5

23% 2.50 1,588 79% 482

2.50

-

2

Sub-total

18,768 5,954 52% 21,209 3.42% 87,372 43% 2.50 16,007 75% 655 709

CORPORATES – O/W: OTHER

45% 2.00 1,290 27% 2 44% 2.50 1,206 46% 2 44% 2.50 1,569 62% 4 43% 2.50 1,678 78% 6 43% 2.50 6,314 102% 35 43% 2.50 6,166 142% 75

24% 2.50 2,435 110% 536

100.00 (default)

953 235 66% 16

2.50

-

7

Sub-total

21,475 5,889 68% 24,846 2.34% 31,416 44% 2.37 20,659 83% 667 792

EQUITY EXPOSURES

0.00 to< 0.15 5,670 172 100% 5,842

18,246 312% 99 0 290% 0 0 290% 0 12 190% 0 433 351% 2 301 310% 2

0.15 to< 0.25 0.25 to< 0.50 0.50 to< 0.75

0 0 6

- - -

- - -

0 0 6

0.75 to< 2.50 123 2.50 to< 10.00 97

- -

- -

123

97

10.00 to < 100.00 6,459

-

- 6,459

23,495 364% 91

100.00 (default)

2

-

-

2

8 370% 0

Sub-total

12,358 172 100% 12,530

- 42,496 339% 194

TOTALF-IRB

137,171 12,751 65%144,395 0.74% 119,151 39% 2.48 80,724 56% 1,520 1,509 591,142102,122 52%648,937 1.43% 24,936,878 22% 2.42177,779 27% 9,157 9,502

TOTAL

Note: only credit risk excluding dilution risk and specializedlendingunder the F-IRBapproach. On- and off-balancesheet exposures are shown at initial risk, other items at final risk, which is why EADscan exceedexposure amounts.

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Risk Report Pillar III 2018