BPCE - 2019 RISK REPORT Pillar III

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

12/31/2018

Non-defaulted exposures

Average PD

Average LGD

in millions of euros

France

415,382 17,965 34,435 36,478 14,234 10,719 530,723 84,068 47,424 12,156 1,510

1.9% 0.0% 0.6% 0.8% 0.4% 0.6% 0.6% 1.6% 1.2% 0.0% 0.4% 0.1% 0.1% 2.0% 1.6% 0.7%

17.2%

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

7.1%

23.9% 19.3% 25.6% 22.3% 23.5% 17.6%

Asia

Africa and the Middle East

Oceania

A-IRB France

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

5

3,850 1,070 1,344

Asia

Africa and the Middle East

Oceania F-IRB TOTAL

48

149,959 680,683

TABLE 49 – BACKTESTING OF LGDS BY EXPOSURE CLASS

Estimated probability of default

Actual EAD/ Estimated EAD

Actual CCF/ Estimated CCF

Actual default rate

Estimated

Portfolio

LGD Actual LGD

Sovereigns

0.19% 0.23% 0.51% 3.24% 4.54% 1.56%

6.41% 48.74% 30.16% 1.01% 63.68% 34.47% 0.61% 39.19% 33.04%

N/A N/A N/A N/A

62.73% 62.73% 62.73%

Banks

Very large corporates

SMEs and ISEs

3.67%

N/A

N/A

N/A

Retail – Professional customers Retail – Individual customers

4.93% 25.57% 16.01% 77.43% 61.49% 2.10% 21.31% 14.20% 82.83% 73.67%

This table provides a general summary of the backtesting over an extended period and for a significant, representative system’s performance but differs from the Group’s annual percentage of each exposure class. The results come from data backtests, which are conducted on a model-by-model basis and warehouses used for modeling purposes, based on all not overall by portfolio. However, the table can be used to performing exposures for default rates and PDs, and on all compare estimates and actual results for each internal input customers in default for LGD and EAD.

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RISK REPORT PILLAR III 2019 | GROUPE BPCE