BPCE - 2018 Risk report / Pillar III

5 CREDIT RISK

Detailed quantitative disclosures

12/31/2017

Original on- balance-

Off- balance- sheet exposures pre-CCF

Value adjus- tments and provisions

sheet gross expo- sures

EAD post CRM and post CCF

Average CCF

Average PD

Average

RWA density

PD scale

LGD RWAs

EL

in millions of euros

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to< 0.15 43,686 471 41% 46,947 0.00% 8% 114

0% -

-

0.15 to< 0.25 377 - 0.25 to< 0.50 166 251 100% 156 0.38% 41% 76 49% 0 0 0.50 to< 0.75 - - - - - - 0.75 to< 2.50 - - - - - - 2.50 to< 10.00 359 221 76% 82 3.19% 47% 118 144% 1 4 10.00 to < 100.00 5 0 100% 89 44,09% 8% 2 3% 3 3 100.00 (default) 106 0 100% 49 - - 48 48 0 0.15 to< 0.25 681 143 76% 832 0.18% 25% 195 23% 0 1 0.25 to< 0.50 195 164 54% 287 0.33% 34% 137 48% 0 - 0.50 to< 0.75 46 152 23% 85 0.55% 32% 45 53% 0 0 0.75 to< 2.50 327 330 25% 406 1.04% 53% 456 112% 2 1 2.50 to< 10.00 206 148 22% 247 3.08% 75% 570 231% 6 4 10.00 to < 100.00 - - - - - - - - - - 100.00 (default) 54 - - 54 - - 52 52 7 100% 180 0.21% 37% 88 49% 0 44,699 949 65% 47,503 0.09% 8% 398 1% 52 55 0.00 to< 0.15 6,305 779 84% 7,247 0.05% 19% 561 8% 1

Sub-total

INSTITUTIONS

Sub-total

7,815 1,716 58% 9,158 0.20% 23% 1,964 21% 62 52 44% 148 0.08% 25% 27 19% 0 42 100% 34 0.21% 41% 12 35% 0 62 98% 377 0.36% 23% 107 28% 0 29 99% 160 0.62% 27% 61 38% 0 78 94% 825 1.27% 27% 456 55% 3

58

CORPORATES – O/W SMES

0.00 to< 0.15 137 0.15 to< 0.25 122 0.25 to< 0.50 318 0.50 to< 0.75 158 0.75 to< 2.50 804

0 0 0 0 3

2.50 to< 10.00 1,171 281 96% 1,368 3.49% 27% 1,059 77% 12 10 10.00 to < 100.00 175 47 76% 212 12.51% 19% 187 88% 5 1 100.00 (default) 225 16 70% 199 234 117% 132 132 0 0.15 to< 0.25 995 659 87% 1,459 0.18% 10% 188 13% 0 1 0.25 to< 0.50 1,987 1,652 79% 3,175 0.33% 10% 493 16% 1 3 0.50 to< 0.75 2,413 1,570 67% 3,257 0.55% 11% 727 22% 2 3 0.75 to< 2.50 6,422 3,133 65% 7,748 1.38% 11% 2,323 30% 12 26 2.50 to< 10.00 887 269 55% 703 3.99% 25% 569 81% 6 21 10.00 to < 100.00 4 - 0% 4 12.20% 23% 4 109% 0 - 100.00 (default) 654 15 43% 661 - - 239 239 3,111 606 90% 3,323 2.79% 26% 2,143 64% 152 147 0.00 to< 0.15 1,154 339 84% 1,294 0.07% 12% 118 9% 0

Sub-total

CORPORATES – O/W: SPECIALIZED LENDING

Sub-total

14,516 7,638 71% 18,301 0.95% 11% 4,423 24% 260 293

126

Risk Report Pillar III 2018