BPCE - 2019 RISK REPORT Pillar III

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

12/31/2018

Original on- balance sheet gross exposure

Value adjust- ments and provi- sions

Off- balance- sheet exposures pre CCF

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

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to <0.15 31,569

804

75% 34,245 0.00% 0% 159 0.21%

8% 1.71 36% 1.97 25% 3.10 0% - 0% -

110

0% 0 34% 0 44% 0 0% - 0% -

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

153

-

54 17

4

11 100% 39 0.38%

- -

- -

0% - 0% -

0.00% 0.00%

- -

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

93

36

39% 128 3.11%

40% 2.18

155 121% 2

1

-

0% 1 20.93%

57% 4.60

3 352% 0

48

-

0% 48

1.40

-

0% 48 1% 50 5% 1 28% 0 50% 0 96% 0

Sub-total

31,868

851 865

73% 34,620 0.01% 108

9% 1.72 15% 1.57 30% 1.49 41% 1.23 64% 1.07 50% 2.53

340 445 146 158 131

50

INSTITUTIONS

0.00 to <0.15 7,569

60% 8,317 0.04% 64% 517 0.17% 87% 313 0.31% 20% 136 0.53% 26% 116 1.40%

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

433 201 118

90

128

92

17

387

153 132% 1

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

45

226

21% 98 3.06%

89% 2.08

282 288% 3

-

-

0% -

0.00%

0% -

-

0% -

28

-

0% 28

1.00

-

0% 42 14% 47 17% 0 21% 0 34% 0 49% 0 55% 3

Sub-total

8,411 1,787

48% 9,526 0.11% 643

19% 1.56 1,315

44

CORPORATES – O/W SMES

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

199 108 132 154 736

77

76% 125 0.08%

25% 2.95 15% 4.25 27% 2.43 31% 2.29 26% 2.96

21

7 100% 34 0.20%

7

73 26

92% 198 0.42% 68% 171 0.61% 98% 894 1.32%

68 84

161

493

2.50 to <10.00

878

145

94% 1,009 4.00%

25% 3.00

725

72% 10

10.00 to <100.00 1,323

162

47% 1,399 15.48%

18% 3.13

695

50% 11

100.00 (default)

218

7

50% 221

3.13

255 115% 80

Sub-total

3,748

658

79% 4,052 7.07% 12,911

23% 2.92 2,348

58% 103 6% 0 8% 0

82

CORPORATES – O/W: SPECIALIZED LENDING

0.50 to <0.75 2,897 1,255

61% 1,407 0.07% 89% 1,314 0.17%

9% 4.15 7% 3.86

90

0.75 to <2.50

759

668

104

2.50 to <10.00 1,712 1,675 10.00 to <100.00 2,691 1,970

78% 3,002 0.31%

9% 3.86

444

15% 1

71% 4,084 0.53%

10% 3.72

790

19% 2

100.00 (default)

5,263 3,481

60% 7,353 1.30% 64% 471 3.71% 83% 315 12.02%

14% 3.54 2,646

36% 14 82% 4 24% 0 73% 132 26% 154

-

306 258 378

256

26% 3.43 12% 3.59

388

0.00 to <0.15 0.15 to <0.25

68

75

1

65% 379

1.75

278

Sub-total

14,265 9,375

68% 18,325 1.03% 1,416

12% 3.67 4,815

170

126

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com

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