BPCE - 2018 Risk report / Pillar III

CREDIT RISK Detailed quantitative disclosures

12/31/2017

Non-defaulted exposures

Average PD

Average LGD

in millions of euros

France

393,272 26,326 32,030 37,141 13,090

1.9% 0.0% 0.8% 0.6% 0.5% 0.5% 0.7% 1.6% 1.0% 0.0% 0.4% 0.2% 0.2% 2.6% 0.7% 0.7%

17.3%

European Institutions Europe(excl. France) North &SouthAmerica

7.1%

23.9% 16.6% 25.7% 21.2% 19.1% 17.3%

Asia

Africa and theMiddle East

9,632 1,631

Oceania

A-IRB France

513,121 97,813 52,835 13,977

5

European Institutions Europe(excl. France) North &SouthAmerica

1,091

Asia

840

Africa and theMiddle East

1,510

Oceania

89

F-IRB

168,154 681,276

TOTAL

TABLE 45 – BACKTESTING OF LGDS BY EXPOSURE CLASS ➡

Estimated probability of default

Actual EAD/Estimated EAD

Actual CCF/Estimated CCF

Actual default rate

Estimated

Portfolio

LGD Actual LGD

Central governmentsand central banks

0.17% 6.6% 48.7% 30.2% 0.25% 1.1% 64.9% 40.1% 0.39% 0.8% 39.2% 29.9%

N/A N/A N/A

62.7% 62.7% 62.7%

Banks

Very large corporates

SMEs and ISEs

3.32% 3.6%

N/A

N/A

N/A

N/A

Retail –Professionalcustomers Retail –Individualcustomers

4.70% 5.1% 25.5% 16.0% 77.1% 62.0% 1.59% 2.1% 21.5% 14.3% 82.5% 72.0%

This table provides a general summary of the backtesting system’s significant, representative percentage of each exposure class. The performancebut differs from the Group’s annual backtests,which are results come from data warehouses used for modeling purposes, conducted on a model-by-modelbasis and not overall by portfolio. based on all performing exposures for default rates and PDs, and on However, the table can be used to compare estimates and actual all customers indefaultfor LGD and EAD. results for each internal input over an extended period and for a

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Risk Report Pillar III 2018