BPCE - 2019 RISK REPORT Pillar III

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

12/31/2019

EAD post CRM and post CCF

Number of obligors

Average maturity

PD scale

Average PD

Average LGD

RWAs

RWA density

in millions of euros

Corporates – o/w: Specialized lending

0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default)

106 164 351 502 562

0.08% 0.17% 0.31% 0.52% 1.24% 3.28% 0.75% 0.04% 0.17% 0.31% 0.52% 1.23% 4.28% 12.21%

16% 11% 14% 13% 18% 27% 15% 33% 34% 33% 35% 31% 34% 34%

4.57 3.80 3.73 3.87 3.68 2.89 3.24 3.77 0.92 1.92 1.62 1.34 1.16 1.51 3.74 2.17 1.12

15 23 81

15% 14% 23% 27% 47% 84%

135 265

67

56

18

35

197%

Sub-total

1,769

423

611

35%

Corporates – o/w: Other

11,827

1,002

8%

1,165

352 204 432

30% 37% 49% 58%

547 889

1,746

1,015

6

397 221

414 393

104% 178% 191%

28

54

Sub-total

16,821

0.47%

2,286

33%

3,867

23%

Other exposures – o/w SMEs

0 0 1 0 0

0.43% 0.57% 1.21% 5.29% 18.80%

45% 45% 66% 45% 45%

0 0 1 0 0

31% 37% 74% 71%

103%

Sub-total

2

2.31%

122

60%

1

71%

143

RISK REPORT PILLAR III 2019 | GROUPE BPCE