BPCE - 2019 RISK REPORT Pillar III

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

12/31/2018

Original on- balance sheet gross exposure

Value adjust- ments and provisi- ons

Off- balance- sheet exposures pre CCF

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

CORPORATES – O/W: OTHER

0.00 to <0.15 17,254 21,906 0.15 to <0.25 4,013 5,528 0.25 to <0.50 6,013 7,111 0.50 to <0.75 5,157 4,585 0.75 to <2.50 6,209 6,403 2.50 to <10.00 3,672 3,653 10.00 to <100.00 2,164 2,031

47% 27,569 0.05% 57% 7,232 0.18% 47% 9,385 0.32% 50% 7,437 0.54% 47% 9,190 1.24%

30% 2.39 3,860 31% 2.72 2,264 27% 2.13 3,124 29% 2.38 3,638 28% 2.36 5,718

14% 4 31% 4 33% 8 49% 12 62% 31

57% 5,750 3.93%

28% 2.90 5,298

92% 61

5

50% 3,187 13.33%

28% 3.05 1,576

49% 26

100.00 (default)

1,987

125

53% 2,053

1.75 1,448

71% 1,362

Sub-total

46,470 51,341

49% 71,803 1.24% 9,391

29% 2.42 26,927

38% 1,509 1,515

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

0.00 to <0.15

-

-

-

-

-

-

-

-

-

-

0.15 to <0.25 5,804 0.25 to <0.50 4,926 0.50 to <0.75 1,395 0.75 to <2.50 14,977

183 127

57% 5,908 0.23% 55% 4,996 0.34% 51% 1,403 0.52% 53% 15,232 1.36%

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

458 393 159

8% 3 8% 3 11% 1 26% 42

16

480

3,995

2.50 to <10.00 9,583 10.00 to <100.00 4,779

432

52% 9,809 5.21%

19% -

5,403

55% 96

234

52% 4,902 23.70%

20% -

4,735

97% 231

100.00 (default)

1,606

6

4% 1,607

-

644

40% 585

Sub-total

43,071 1,479

53% 43,857 4.54% 302,642

20% - 15,787

36% 961 1,106

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

0.00 to <0.15 78,030 2,832 0.15 to <0.25 38,942 1,433

59% 79,690 0.09% 57% 39,755 0.24% 58% 11,478 0.25% 59% 21,920 0.63% 66% 14,424 1.69%

11% - 11% - 11% - 11% - 12% -

1,935 2,139

2% 8 5% 11 6% 3 11% 16 21% 28

0.25 to <0.50 11,318 0.50 to <0.75 21,400 0.75 to <2.50 13,797

273 881 951

651

2,424 3,100

2.50 to <10.00 10,532 1,360

66% 11,428 4.01%

12% -

4,096

36% 54

10.00 to <100.00 5,230

157

62% 5,327 20.19%

13% -

3,765

71% 142

100.00 (default)

2,402

11

3% 2,402

-

856

36% 712 10% 974 2% 1 7% 1 4% 0 13% 4 24% 5

Sub-total

181,650 7,899

60% 186,425 1.15% 2,325,701

11% - 18,965

995

RETAIL – QUALIFYING REVOLVING

0.00 to <0.15 1,138 3,164

82% 3,723 0.08% 64% 914 0.24%

45% - 55% - 31% - 46% - 40% -

92 66 25

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

407 101 663 353

790

474 104% 594 0.25%

979 504

85% 1,495 0.63% 90% 805 1.82%

195 193

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

415

379

76% 704 4.14%

49% -

377

54% 14

378

169

89% 516 20.24%

43% -

548 106% 43

184

9

2% 184

-

25

14% 116 17% 186

Sub-total

3,639 6,467

82% 8,936 1.88%15,477,776

45% -

1,521

152

127

RISK REPORT PILLAR III 2019 | GROUPE BPCE