BPCE - 2019 RISK REPORT Pillar III

6

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

Other exposures – o/w non-SMEs

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) 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% 0.00% 0.00% 0.00% 0.00% 0.00% 10.30% 10.30% 0.31% 0.00%

0% 0% 0% 0% 0% 0%

0% 0% 0% 0% 0% 0%

0 0 0

100%

0

180%

0%

Sub-total

9

100%

0

177%

TOTAL A-IRB

35,199

3,906

26% 45%

1.32 2.50

6,103

17%

Central governments or central banks

4

0

1% 0% 0% 0% 0% 0% 0% 0% 1%

Sub-total Institutions

4

0.00% 0.05% 0.17% 0.31% 0.52% 1.90% 4.27% 0.07% 0.05% 0.20% 0.39% 0.61% 1.41% 4.51% 21.06% 1.92% 0.06% 0.17% 0.31% 0.58% 1.31% 3.74% 15.71%

4

45% 41% 31% 45% 45% 45% 45% 41% 45% 45% 45% 45% 45% 45% 45% 45% 45% 36% 45% 45% 45% 45% 45% 44% 42% 28%

2.50 1.05 2.42 2.50 2.50 0.50 0.50 2.50 1.09 2.50 2.50 0.68 2.50 2.50 2.50 2.50 2.50 2.03 1.29 1.09 0.95 1.65 2.08 1.53 2.42 2.50 1.27 1.17 1.30

0

2,677

364

14% 30% 78% 80% 93%

75

23

3 0 2

2 0 2

10

14

134%

0% 0%

0

Sub-total

2,767

113

405

15% 16% 39% 36% 66% 88%

Corporates – o/w SMEs

12

2 0 6 4

1

17

7

17

15 11

9 2 1

122% 182%

4

0%

Sub-total

66

715

43

65% 16% 28% 43% 68%

Corporates – o/w: Other

1,333

217

67 26 12 35 23 16

241

61 17 35 17

100% 131% 185%

9 0

0%

Sub-total

1,713 4,550

0.19% 0.14% 0.29%

449

395 843

23% 19% 17%

TOTAL F-IRB

1,281 5,187

TOTAL

39,749

6,946

144

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com