BPCE - 2019 RISK REPORT Pillar III

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

CORPORATES – O/W SMES

0.00 to <0.15 0.15 to <0.25

975 331

239 101 895 475

73% 690 0.11% 77% 380 0.23% 58% 2,878 0.43% 53% 1,384 0.64% 52% 6,808 1.31%

42% 2.48 43% 2.50

150 148

22% 0 39% 0 45% 5 60% 4 74% 38

0.25 to <0.50 2,350 0.50 to <0.75 1,125

42% 2.50 1,309

43% 2.50

835

0.75 to <2.50 5,835 1,849

43% 2.50 5,025

2.50 to <10.00 6,118 1,748

54% 7,058 4.09%

43% 2.50 6,952

98% 123

10.00 to <100.00 1,144

271

40% 2,009 16.20%

23% 2.50 1,588

79% 482

5

100.00 (default)

889

377

21% 4

2.50

-

2

Sub-total

18,768 5,954

52% 21,209 3.42% 87,372

43% 2.50 16,007 45% 2.00 1,290 44% 2.50 1,206 44% 2.50 1,569 43% 2.50 1,678

75% 655 27% 2 46% 2 62% 4 78% 6

709

CORPORATES – O/W: OTHER

0.00 to <0.15 4,260 0.15 to <0.25 1,956 0.25 to <0.50 1,955 0.50 to <0.75 1,777

715 867 865 479

68% 4,751 0.08% 71% 2,609 0.20% 67% 2,539 0.37% 74% 2,154 0.61% 69% 6,198 1.31%

0.75 to <2.50 5,150 1,507

43% 2.50 6,314 102% 35

2.50 to <10.00 3,762 10.00 to <100.00 1,663

867

68% 4,357 4.00%

43% 2.50 6,166 142% 75

355

61% 2,221 13.25%

24% 2.50 2,435 110% 536

100.00 (default)

953

235

66% 16

2.50

-

7

Sub-total

21,475 5,889

68% 24,846 2.34% 31,416

44% 2.37 20,659

83% 667

792

EQUITY EXPOSURES 0.00 to <0.15 5,670

172 100% 5,842

18,246 312% 99 0 290% 0 0 290% 0 12 190% 0 433 351% 2

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

0 0 6

- - - -

- - - -

0 0 6

123

123

2.50 to <10.00

97

-

-

97

301 310% 2

10.00 to <100.00 6,459

-

-

6,459

23,495 364% 91

100.00 (default)

2

-

-

2

8 370% 0

Sub-total

12,358

172 100% 12,530

42,496 339% 194

TOTAL F-IRB

137,171 12,751 591,142 102,122

65% 144,395 0.74% 119,151 52% 648,937 1.43%24,936,878

39% 2 80,724 22% 2 177,779

56% 1,520 1,509 27% 9,157 9,502

TOTAL

129

RISK REPORT PILLAR III 2019 | GROUPE BPCE