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

Average maturity

RWA density

in millions of euros

PD scale

RWAs

EL

OTHER EXPOSURES – O/W SMES

0.00 to <0.15

5

-

0% 4 0.03% 60% 1,212 0.23% 57% 5,573 0.37% 60% 728 0.55% 64% 10,267 1.46%

45% - 37% - 27% - 27% - 30% -

0

4% 0 15% 1 14% 6 17% 1 29% 45

0.15 to <0.25 1,131 0.25 to <0.50 5,079

134 863

183 792 126

0.50 to <0.75

696

53

0.75 to <2.50 9,368 1,406

3,014

2.50 to <10.00 7,650 1,348

62% 8,491 5.26%

30% -

3,311

39% 135

10.00 to <100.00 4,912

663

64% 5,329 22.00%

30% -

2,998

56% 329

100.00 (default)

3,212

288

31% 3,301

-

1,756

53% 1,980

Sub-total

32,054 4,754

60% 34,906 5.68% 2,279,066

33% - 12,181

35% 2,497 2,517

OTHER EXPOSURES – O/W NON-SMES

0.00 to <0.15 38,004 1,774

70% 39,246 0.09% 75% 5,316 0.24% 68% 14,550 0.25% 73% 12,264 0.65% 79% 10,734 1.90%

17% - 27% - 15% - 20% - 19% -

1,517

4% 6 13% 3 7% 5 18% 16 25% 38

0.15 to <0.25 5,194 0.25 to <0.50 14,127 0.50 to <0.75 11,823

162 622 602

684

1,062 2,161 2,703

0.75 to <2.50 9,857 1,106

2.50 to <10.00 4,717 10.00 to <100.00 3,184

315

79% 4,965 4.13%

28% -

2,075

42% 55

159

78% 3,123 20.45%

27% -

1,778

57% 132

100.00 (default)

1,888

21

26% 1,894

-

877

46% 901

Sub-total

88,796 4,761 453,971 89,372

73% 92,093 1.34% 4,408,073 57% 504,541 1.63%24,817,727

19% - 12,856 18% 2.36 97,055

14% 1,156 1,364 19% 7,637 7,993

TOTAL A-IRB

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to <0.15 82,106

0

50% 82,598 0.00% 0% 283 0.21% 0% 295 0.38%

45% 2.50 45.00% 2.50 45% 2.50

255

0% 0

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

283 295

- - - -

135 47.78% 0

191

65% 1

- -

- -

- -

- -

- -

- -

- -

- -

- -

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

9

0

50% 9 3.19%

45% 2.50

13 139% 0

0

-

0% 0 20.82%

45% 2.50

0 253% 0

0

-

0% 0

2.50

-

0% 0 1% 1 16% 0 54% 0 78% 0 35% 0 74% 0

Sub-total

82,693

0

50% 83,185 0.00% 55

45% 2.50 30% 2.82 42% 2.50 44% 2.50 16% 2.50 27% 2.50

594 267

1

INSTITUTIONS

0.00 to <0.15 1,305

240

75% 1,673 0.04% 72% 159 0.18% 52% 327 0.32% 75% 191 0.53% 76% 119 0.97%

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

104 326

76

86

3

256

38 20

205 130

67 88

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

84

81

75% 156 3.15%

35% 2.50

203 130% 2

0

-

0% 0 11.54%

30% 2.50

0 145% 0

0

-

-

0

-

2.50

-

0

Sub-total

1,877

735

75% 2,625 0.35% 308

32% 2.73

967

37% 3

6

128

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com

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