BPCE - 2019 RISK REPORT Pillar III

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

12/31/2019

Original on- balance sheet gross exposure

Off- balance- sheet expo- sures pre CCF

Value adjus- tments and provi- sions

EAD post CRM and post CCF

Number Of obligors

Average CCF

Average PD

Average LGD

RWA density

Average maturity

in millions of euros

PD scale

RWAs

EL

CORPORATES – O/W: OTHER

0.00 to <0.15 17,491 22,096 0.15 to <0.25 3,604 5,811 0.25 to <0.50 5,562 6,156 0.50 to <0.75 5,581 5,832 0.75 to <2.50 8,183 7,560

49% 29,019 0.05% 55% 6,849 0.17% 51% 8,865 0.31% 47% 8,337 0.53% 45% 11,612 1.24%

31% 2.29 4,082 30% 2.56 1,968 28% 2.41 3,198 29% 2.27 3,942 27% 2.28 7,088

14% 5 29% 4 36% 8 47% 13 61% 39

2.50 to <10.00 4,035 4,461

54% 6,453 4.18%

26% 2.88 5,713

89% 70

5

10.00 to <100.00 100.00 (default)

418

197

62% 551 13.78%

25% 2.84

700 127% 18

2,314

216

66% 2,457

1.21 1,920

78% 1,552

Sub-total

47,189 52,329

50% 74,144 0.82% 7,846

29% 2.35 28,612

39% 1,707 1,699

RETAIL – EXPOSURES SECURED BY MORTGAGES ON IMMOVABLE PROPERTY O/W SMES

0.00 to <0.15

-

-

0% -

0.00%

0% - 19% - 15% - 17% - 20% -

-

0% - 8% 3 8% 3 12% 1 27% 48

0.15 to <0.25 6,297 0.25 to <0.50 5,520 0.50 to <0.75 1,508 0.75 to <2.50 16,524

208 157

56% 6,414 0.24% 56% 5,608 0.34% 52% 1,520 0.53% 54% 16,838 1.37%

507 443 175

22

585

4,484

2.50 to <10.00 10,378 10.00 to <100.00 4,776

483

52% 10,630 5.22%

19% -

5,864

55% 105

259

55% 4,918 23.65%

20% -

4,660

95% 230

100.00 (default)

1,456

9

16% 1,458

-

587

40% 542

Sub-total

46,460 1,724

54% 47,386 4.33% 317,997

19% - 16,721

35% 932 1,075

RETAIL – EXPOSURES SECURED BY MORTGAGES ON IMMOVABLE PROPERTY O/W NON-SMES

0.00 to <0.15 82,734 3,236 0.15 to <0.25 41,708 1,748

59% 84,630 0.09% 56% 42,683 0.24% 57% 12,313 0.25% 59% 23,988 0.63% 66% 15,854 1.69%

11% - 11% - 11% - 11% - 11% -

2,046 2,286

2% 8 5% 11 6% 3 11% 17 21% 31

0.25 to <0.50 12,126

329

683

0.50 to <0.75 23,329 1,126 0.75 to <2.50 15,007 1,282

2,621 3,363

2.50 to <10.00 11,716 1,772

65% 12,868 4.00%

12% -

4,526

35% 60

10.00 to <100.00 5,447

222

62% 5,585 19.85%

13% -

3,865

69% 142

100.00 (default)

2,356

15

0% 2,356

-

838

36% 714 10% 987 2% 2 7% 1 4% 1 13% 5 24% 6

Sub-total

194,423 9,729

60% 200,277 1.14% 2,627,051

11% - 20,229

981

RETAIL – QUALIFYING REVOLVING

0.00 to <0.15 1,407 3,311

82% 4,120 0.08% 64% 967 0.24%

44% - 55% - 31% - 45% - 39% -

100

0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50

461 161 799 413

792

70 29

511 104% 692 0.25%

990 500

85% 1,642 0.64% 90% 863 1.82%

210 205

2.50 to <10.00

429

375

75% 710 4.13%

50% -

384

54% 14

10.00 to <100.00 1,545 5,124

3% 3,091 19.36%

41% -

1,341

43% 173

100.00 (default)

195

9

3% 195

-

47

24% 119 19% 320

Sub-total

5,410 11,612

41% 12,282 5.47%20,503,900

44% -

2,386

282

123

RISK REPORT PILLAR III 2019 | GROUPE BPCE