BPCE - 2018 Risk report / Pillar III

COUNTERPARTY RISK Detailed quantitative disclosures

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

OTHER EXPOSURES– O/W SMES

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 < 100.00 100.00 (default) 100.00 (default) 100.00 (default) 100.00 (default)

- -

- -

0

0.44%

45%

0

24%

-

-

2 0

1.81% 4.33%

45% 45% 45%

1 0 1

45% 54%

1 18.86%

136%

0 3

-

0%

Sub-total

6.89% 157 0.35% 4,126

45%

2

71%

TOTALA-IRB INSTITUTIONS

33,161

28% 1.30 55% 1.12 45% 0.88 45% 1.39 45% 2.50

5,239

16%

2,160

0.07%

334

15% 40% 64%

233

0.18% 0.33% 0.55%

92 10

15

0

0

100%

6

-

-

11

2.74%

45% 1.62

16

145%

-

- -

0

2.50

0%

Sub-total

2,420

0.09% 110

54%

453

19% 32% 40% 53% 64% 82%

CORPORATES – O/W SMES

2 0 5 9

0.14% 0.24% 0.42% 0.64% 1.35% 4.74%

45% 2.50 45% 2.50 45% 2.48 45% 2.41 45% 2.50 45% 2.50 45% 2.50 45% 2.48 45% 1.03 45% 0.52 45% 1.11 45% 0.80 45% 2.20 45% 2.49 38% 1.96 45% 0.99 45% 1.06 30% 1.27

1 0 2 6 9

11 14

16

117% 252%

2 20.63%

4

2

2.50

-

0%

Sub-total

45

2.90% 757

39

87%

CORPORATES – O/W: OTHER

1,904

0.06%

258

14% 25% 45% 55%

279

0.18% 0.32% 0.54% 1.16% 4.40%

70 43 19 27 12 18

97 34 25

108% 152% 104%

8

17 12.10%

1

2.50

-

0%

Sub-total

2,365 4,829

0.20% 399 0.17% 1,266 0.33% 5,392

448 939

19% 19% 16%

TOTALF-IRB

TOTAL

37,991

6,178

145

Risk Report Pillar III 2018