BPCE - 2018 Risk report / Pillar III

5 CREDIT RISK

Detailed quantitative disclosures

TABLE 43 – RWA FLOW STATEMENTS OF EXPOSURES UNDER IRB ➡

Risk-weighted assets

Capital requirements

(in millionsof euros)

31/12/2017

186,148

14,892

Asset size

4,672 (2,881) (1,719) (2,798)

374

Asset quality

(230) (138) (224)

Model updates

Methodology and policy

Acquisitions anddisposals Foreign exchange movements

537

43

Guarantees

(209) (202)

(17) (16)

Other

31/12/2018

183,548

14,684

Probability ofDefault (PD) and LossGiven Default (LGD) TABLE 44 – AVERAGE PD AND LGD BY GEOGRAPHIC AREA ➡

12/31/2018

Non-defaulted exposures

Average PD

Average LGD

in millions of euros

France

415,382 17,965 34,435 36,478 14,234 10,719 530,723 84,068 47,424 12,156 1,510

1.9% 0.0% 0.6% 0.8% 0.4% 0.6% 0.6% 1.6% 1.2% 0.0% 0.4% 0.1% 0.1% 2.0% 1.6% 0.7%

17.2%

European Institutions Europe(excl. France) North &SouthAmerica

7.1%

23.9% 19.3% 25.6% 22.3% 23.5% 17.6%

Asia

Africa and theMiddle East

Oceania

A-IRB France

European Institutions Europe(excl. France) North &SouthAmerica

3,850 1,070 1,344

Asia

Africa and theMiddle East

Oceania

48

F-IRB

149,959 680,683

TOTAL

132

Risk Report Pillar III 2018