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

Other exposures – o/w 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

0.44%

45%

0

24%

2 0 1 0 3

1.81% 4.33% 18.86% 6.89% 0.35% 0.07% 0.18% 0.33% 0.55% 0.09% 0.14% 0.24% 0.42% 0.64% 1.35% 4.74% 20.63% 2.90% 0.06% 0.18% 0.32% 0.54% 1.16% 4.40% 12.10% 2.74%

45% 45% 45% 45% 28% 55% 45% 45% 45% 54% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 38% 45% 45% 30% 45%

1 0 1

45% 54%

136%

0%

Sub-total

157

2

71% 16% 15% 40% 64%

TOTAL A-IRB

33,161

4,126

1.30 1.12 0.88 1.39 2.50

5,239

Institutions

2,160

334

233

92 10

15

0

0

100%

6

11

1.62

16

145%

0

2.50

0%

Sub-total

2,420

110

453

19% 32% 40% 53% 64% 82%

Corporates – o/w SMEs

2 0 5 9

2.50 2.50 2.48 2.41 2.50 2.50 2.50 2.50 2.48 1.03 0.52 1.11 0.80 2.20 2.49 1.96 2.50 0.99 1.06 1.27

1 0 2 6 9

11 14

16

117% 252%

2 2

4

0%

Sub-total

45

757

39

87% 14% 25% 45% 55%

Corporates – o/w: Other

1,904

258

279

70 43 19 27 12 18

97 34 25

108% 152% 104%

8

17

0%

1

Sub-total

2,365 4,829

0.20% 0.17% 0.33%

399

448 939

19% 19% 16%

TOTAL F-IRB

1,266 5,392

TOTAL

37,991

6,178

147

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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