BPCE - 2018 Risk report / Pillar III

6 COUNTERPARTY RISK

Detailed quantitative disclosures

TABLE 52 – IRB APPROACH – CCR EXPOSURES BY PORTFOLIO AND PD RANGE ➡

12/31/2018

EAD post CRM and post CCF Average PD

Number of

Average maturity

PD scale

obligors Average LGD

RWAs RWA density

in millions of euros

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to< 0.15 0.15 to< 0.25 0.25 to< 0.50 0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00 10.00 to < 100.00 0.00 to< 0.15 0.15 to< 0.25 0.25 to< 0.50 0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00 10.00 to < 100.00 0.00 to< 0.15 0.15 to< 0.25 0.25 to< 0.50 0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00 10.00 to < 100.00 0.00 to< 0.15 0.15 to< 0.25 0.25 to< 0.50 0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00 10.00 to < 100.00 0.00 to< 0.15 0.15 to< 0.25 0.25 to< 0.50 0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00 10.00 to < 100.00

6,634

0.00%

15% 1.14 37% 0.07 47% 3.02

28

0%

24

0.21% 0.38%

5 5

19% 74%

7

- -

- -

95

3.19%

47% 3.93

156

165%

- -

- -

100.00 (default)

Sub-total

6,760

0.05% 73

15% 1.18 28% 1.08 26% 2.22 29% 1.47 33% 2.23 53% 1.02 84% 0.46 28% 1.21 44% 4.06 44% 1.46 44% 1.79 44% 1.42 43% 2.80 43% 3.85 44% 3.63 44% 3.01 16% 4.78 11% 2.96 16% 3.94 16% 3.68 19% 3.75 18% 2.79 17% 3.65 33% 1.11 33% 1.30 34% 1.51 34% 1.29 35% 1.58 33% 1.46 34% 3.62

193

3%

INSTITUTIONS

8,771 1,794

0.08% 0.18%

178 501 292 237 136

2%

28% 43% 68%

675 347 123

0.33% 0.53% 1.05% 2.90%

110% 225%

31

70

- -

- -

100.00 (default)

Sub-total

11,740

0.14% 803

1,414

12%

CORPORATES – O/W SMES

1 0 4

0.03% 0.24% 0.39% 0.64% 1.21% 3.48%

0 0 2

22% 30% 52%

18

11

58%

5

4

83%

12

16 97

132% 176%

55 11.80%

100.00 (default)

1

4.45

1

56%

Sub-total

97 68

7.43% 302

131

135%

CORPORATES – O/W: SPECIALIZED LENDING

0.09% 0.17% 0.31% 0.53% 1.24% 4.02%

10 19 54

15% 12% 25% 32% 51% 63%

161 215 333 331

108 170

86

54

-

4.15

-

100.00 (default)

11

22

201%

Sub-total

1,205

0.87% 409

436

36%

CORPORATES – O/W: OTHER

9,231 1,063

0.04% 0.17%

892 271 271 269 719 402 231

10% 26% 39% 47% 68% 98% 74%

696 576

0.31% 0.53%

1,060

1.10%

409

3.83%

314 12.76%

100.00 (default)

8

1.13

8

97%

Sub-total

13,356

0.59% 2,382

33% 1.22

3,063

23%

144

Risk Report Pillar III 2018