BPCE - 2019 RISK REPORT Pillar III

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

12/31/2018

EAD post CRM and post CCF

Number of obligors

Average maturity

PD scale

Average PD

Average LGD

RWAs

RWA density

in millions of euros

Central governments or central banks

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)

6,634

0.00% 0.21% 0.38%

15% 37% 47%

1.14 0.07 3.02

28

0%

24

5 5

19% 74%

7

95

3.19%

47%

3.93

156

165%

Sub-total Institutions

6,760 8,771 1,794

0.05% 0.08% 0.18% 0.33% 0.53% 1.05% 2.90% 0.14% 0.03% 0.24% 0.39% 0.64% 1.21% 3.48% 11.80%

73

15% 28% 26% 29% 33% 53% 84% 28% 44% 44% 44% 44% 43% 43% 44%

1.18 1.08 2.22 1.47 2.23 1.02 0.46 1.21 4.06 1.46 1.79 1.42 2.80 3.85 3.63 4.45 3.01

193 178 501 292 237 136

3% 2%

28% 43% 68%

675 347 123

110% 225%

31

70

6

Sub-total

11,740

803

1,414

12% 22% 30% 52% 58% 83%

Corporates – o/w SMEs

1 0 4

0 0 2

18

11

5

4

12 55

16 97

132% 176%

1

1

56%

Sub-total

97

7.43%

302

44%

131

135%

145

RISK REPORT PILLAR III 2019 | GROUPE BPCE