BPCE - 2018 Risk report / Pillar III

5 CREDIT RISK

Risk measurement and internal ratings

PD (PROBABILITY OF DEFAULT) MODELS ➡

Number of models

Exposure class

Portfolio

Description/Methodology

Expert criteriaincludingquantitativeand qualitative variables/economic and descriptive variables Portfolio with lowdefault risk

Sovereigns, central governments and central banks

Sovereignsand affiliates

1

Expertcriteria Portfolio with lowdefault risk

Multilateral developmentbanks

1

Municipalities(communes), departments, regions,social housing agencies, hospitals, etc.

10 (NA*)

Expert criteria/statisticalmodeling(logistic regression) Portfolio with lowdefault risk

Public sector

Expertcriteria Portfolio with lowdefault risk

Financial institutions

OECDor non-OECDbanks, brokers/dealers

3

5 Expert criteriaincludingquantitative andqualitative variables, depending on thebusinesssector Portfolio with lowdefault risk Statistical models(logistic regression) or flat scores, on companiespublishingparent companyor consolidated financial statements,mainlybased on balance sheetdata dependingon the businesssector, and banking behavior/history Expert criteriaincludingquantitativeand qualitative variables Portfolio with lowdefault risk Expert criteria basedon features offinanced goods/projects Portfolio with lowdefault risk 7 Statistical models(logistic regression) includingbehavioral and socioeconomic variables, differentiated by customerprofile 2 Statisticalmodels(logisticregression) includingbalance sheet and behavioral variables Statistical models(logistic regression) includingbehavioral and socioeconomicvariables, or project description variables (quota, etc.),differentiatedby customerprofile 1 Statistical models(logistic regression) includingbehavioral and socioeconomic variables

Large corporates (Revenue> €1 billion)

SMEs (Revenue> €3 million)

11 (o/w 2 NA)

Non-profitsand Insurancecompanies Specialized lending (real estate, asset pool,aircraft, etc.)

8 (o/w 1 NA)

Corporates

Individualcustomers

Professionalcustomers(socioeconomic category, differentiatedaccording tocertain sectors)

10

5 (o/w 2 NA)

Residential real estate

Retail

Revolvingloans

NA refers to modelsnot yet approvedfor the determinationof capitalrequirements. *

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Risk Report Pillar III 2018