BPCE - 2019 RISK REPORT Pillar III

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

TABLE 47 – RWA FLOW STATEMENTS OF EXPOSURES UNDER IRB

Risk-weighted assets

Capital requirements

in millions of euros 12/31/2018 Asset size Asset quality Model updates

183,548 10,379

14,684

830 (58)

(723) 1,100 7,387

88

Methodology and policy Acquisitions and disposals Foreign exchange movements

591

221 117

18

9

Guarantees

(412) 2,168

(33) 173

Other

12/31/2019

203,785

16,303

TABLE 48 – AVERAGE PD AND LGD BY GEOGRAPHIC AREA

12/31/2019

Non-defaulted exposures

Average PD

Average LGD

in millions of euros

France

445,871

1.9% 0.0% 0.6% 0.6% 0.3% 0.8% 0.6% 1.6% 1.9% 0.0% 0.6% 0.1% 0.1% 3.1% 0.6% 1.0%

17.0%

European Institutions Europe (excl. France) North & South America

7,373

7.1%

39,468 39,202 16,420 10,221 559,949 95,405 53,387 1,394

23.2% 18.8% 26.5% 23.9% 27.5% 17.7%

Asia

Africa and the Middle East

Oceania

A-IRB France

European Institutions Europe (excl. France) North & South America

7,787 7,464 1,072 1,352

Asia

Africa and the Middle East

Oceania F-IRB TOTAL

80

166,547 726,496

132

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com