BPCE - 2018 Risk report / Pillar III

6 COUNTERPARTY RISK

Detailed quantitative disclosures

12/31/2017

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

6,334

0.00%

10% 37% 47%

13

0%

3

0.21% 0.38% 0.00% 0.00% 3.19%

1 7

33% 38%

20

- -

0% 0%

- -

67

47%

83

124%

- -

-

100.00 (default)

Sub-total

6,424

0.04% 0.05% 0.18% 0.33% 0.55% 1.00% 2.88% 0.11% 0.06% 0.00% 0.39% 0.64% 1.31% 3.83% 5.02% 0.09% 0.18% 0.33% 0.55% 1.11% 3.61% 0.88% 0.05% 0.18% 0.33% 0.56% 1.23% 3.36%

11% 18% 27% 32% 30% 62% 67%

105 816 440 160 149 250

2% 7%

INSTITUTIONS

10,998

1,268

35% 49% 66%

326 228 194

129% 189%

51

95

-

- -

100.00 (default)

1

0%

Sub-total

13,065

21% 44%

1,911

15% 23%

CORPORATES – O/W SMES

1

0

-

0%

-

5 2 6

32% 44% 43% 44% 40% 41% 31% 17% 13% 21% 20% 19% 18% 34% 32% 34% 31% 34% 34%

2 2 6

45% 89% 88%

19

22 25

114% 168% 179% 118% 23% 23% 23% 47% 58% 75% 41% 10% 28% 41% 42% 66% 98% 22% 176% 0%

15 10.73%

100.00 (default)

1

1

Sub-total

49 58

58 13 24 62

CORPORATES – O/W: SPECIALIZED LENDING

106 263 221 228 107

103 131

80

-

- -

100.00 (default)

36

Sub-total

1,019

413 783 343 344 461 537 550 291

CORPORATES – O/W: OTHER

7,627 1,203

843

1,086

816 559

1,298 17.79%

1%

100.00 (default)

22

39

Sub-total

13,454 34,014

2.04% 0.89%

30% 23%

3,347 5,835

25% 17%

TOTALA-IRB

146

Risk Report Pillar III 2018