BPCE - 2018 Risk report / Pillar III

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

8

0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

45%

- - - - - - - - -

0%

- - - - - - -

0% 0% 0% 0% 0% 0%

Sub-total

8

0.00%

45% 45% 45% 45% 45% 45% 45% 13% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 0%

0%

INSTITUTIONS

1,729

0.05%

265

15% 40% 50%

142 100

0.18% 0.33% 0.55% 1.97% 2.82% 7.24% 0.09% 0.24% 0.42% 0.64% 1.35% 4.64% 2.49% 0.09% 0.21% 0.38% 0.61% 1.39% 4.76%

56 50

0 0 2

0 0 2 0

100% 151% 105%

6

5,130 10.00%

0%

-

-

Sub-total

7,103

374

5%

CORPORATES – O/W SMES

5 2

1 1 6 6

24% 40% 51% 64% 84%

11

9

18 20

15 23

115% 345%

2 19.70%

6

2

-

0%

Sub-total

68

57

85% 29% 48% 45% 78%

CORPORATES – O/W: OTHER

523

154

4

2

185

83

6

5

29 13

29 20 44

102% 156%

327 10.07%

3%

14%

2

-

0%

Sub-total

1,088 8,267

3.24% 6.67% 2.02%

32% 15% 21%

337 768

31%

TOTALF-IRB

9%

TOTAL

42,282

6,603

16%

147

Risk Report Pillar III 2018