BPCE - 2019 RISK REPORT Pillar III

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

12/31/2019

Original on- balance sheet gross exposure

Off- balance- sheet expo- sures pre CCF

Value adjust- ments and provi- sions

EAD post CRM and post CCF

Number of obligors

Average CCF

Average PD

Average LGD

Average maturity

RWA density

in millions of euros

PD scale

RWAs

EL

OTHER EXPOSURES – O/W SMES

0.00 to <0.15

-

-

0% -

0.00%

0% - 37% - 27% - 27% - 30% -

-

0% - 16% 1 14% 6 18% 1 29% 49

0.15 to <0.25 1,187 0.25 to <0.50 5,590

179 999

69% 1,310 0.23% 61% 6,197 0.38% 63% 752 0.56% 67% 11,033 1.46%

205 891 132

0.50 to <0.75

708

70

0.75 to <2.50 9,994 1,551

3,252

2.50 to <10.00 7,932 1,446

64% 8,853 5.23%

30% -

3,457

39% 140

10.00 to <100.00 4,413

612

62% 4,790 23.65%

30% -

2,779

58% 335

100.00 (default)

3,088

238

16% 3,126

-

1,723

55% 1,936

Sub-total

32,912 5,096

62% 36,061 5.43% 2,333,453

30% - 12,437

34% 2,468 2,447

OTHER EXPOSURES – O/W NON-SMES

0.00 to <0.15 40,290 1,814

68% 41,521 0.09% 77% 5,487 0.24% 64% 15,995 0.25% 71% 13,143 0.65% 74% 11,532 1.90%

16% - 27% - 15% - 20% - 19% -

1,605

4% 6 13% 4 7% 6 18% 17 25% 40

0.15 to <0.25 5,367 0.25 to <0.50 15,554 0.50 to <0.75 12,687

156 686 641

716

1,165 2,307 2,887

0.75 to <2.50 10,718 1,103

2.50 to <10.00 5,005 10.00 to <100.00 4,052

325

76% 5,252 4.12%

28% -

2,205

42% 58

141

74% 4,156 19.00%

25% -

2,230

54% 250

100.00 (default)

1,821

12

22% 1,823

-

825

45% 872

Sub-total

95,493 4,878 473,805 99,349

70% 98,909 1.44% 4,107,317 53% 528,963 1.62%29,913,082

19% - 13,940 18% 2.28 103,511

14% 1,253 1,354 20% 8,002 8,158

TOTAL A-IRB

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to <0.15 89,027

3 100% 89,494 0.00%

45% 2.50

186

0% 0

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

-

- - -

-

-

-

-

-

-

-

-

286

0% 286 0.38%

45% 2.50

185

65% 0

- -

- -

- -

- -

- -

- -

- -

- -

- -

-

2.50 to <10.00 10.00 to <100.00 100.00 (default)

9

-

0% 9 3.19%

45% 2.50

13 139% 0

0

-

0% 0 20.93%

45% 2.50

0 255% 0

-

-

-

-

-

-

-

-

-

Sub-total

89,322

3 100% 89,789 0.00% 46

45% 2.50 37% 2.50 34% 2.50 13% 2.50 22% 2.50 38% 2.50

384 499

0% 1 21% 0 43% 0 18% 0 41% 0

1

INSTITUTIONS

0.00 to <0.15 1,855

248

76% 2,399 0.04% 73% 65 0.17% 75% 172 0.31% 74% 125 0.52% 62% 343 1.81%

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

26 23 58

53

28 32 51

199

90 55

308

427 124% 2

2.50 to <10.00 10.00 to <100.00 100.00 (default)

85

61

78% 134 3.53%

45% 2.50

213 158% 2

-

-

0% -

0.00%

0.00% -

-

0.00% -

0

0 100% 0

2.50

-

0% 0 39% 5

Sub-total

2,356

707

74% 3,239 0.41% 309

35% 2.50 1,249

5

124

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com