BPCE - 2019 RISK REPORT Pillar III

APPENDICES

INDEX TO PILLAR III REPORT TABLES

Pillar III Report Table Number Title

Pillar III

Table 47 Table 48 Table 49

RWA flow statements of exposures under IRB Average PD and LGD by geographic area Backtesting of LGDs by exposure class

132 132 133 137 137 138 138 139 140 142 148 148 149 156 156 157 158 159 160 162 164 164 173 173 174 174 174 175 175 176 177 177 178 178 179 179 180 180 185 185 186 188 191 192

COUNTERPARTY RISK Table 50

Breakdown of gross counterparty risk exposures by asset class (excluding other assets) and method Breakdown by exposure class of risk-weighted assets for the credit valuation adjustment (CVA)

Table 51 Table 52 Table 53 Table 54 Table 55 Table 56 Table 57 Table 58 Table 59 Table 61 Table 62 Table 63 Table 64 Table 65 Table 66 Table 67 Table 68 Table 70 Table 71 Table 72 Table 73 Table 74 Table 75 Table 76 Table 77 Table 78 Table 79 Table 80 Table 81 Table 82 Table 83 Table 84 Table 86 Table 87 Table 88 Table 89 Table 90

Counterparty risk related to derivative and repurchase agreement exposures Analysis of counterparty credit risk (CCR) exposure by approach Regulatory capital requirements for the Credit Valuation Adjustment Standardized approach – CCR exposures by regulatory portfolio and risk

IRB Approach – CCR exposures by portfolio and PD range

Notional amount of derivatives Credit derivative exposures

Exposures to CCPs

SECURITIZATION Table 60

Breakdown of exposures by type of securitization Breakdown of EAD and RWA by type of portfolio

Breakdown of investor securitization exposures in the banking book by rating Breakdown of investor and sponsor securitization exposures in the trading book

Banking book – Securitization exposures

Banking book – Securitization exposures and associated capital requirements (originator and sponsor positions) Banking book – Securitization exposures and associated capital requirements (investor positions)

Banking book – Breakdown of securitization exposures

Trading book – Securitization exposures

MARKET RISKS Table 69

Breakdown by risk class

Change

Main hypothetical stress tests Main historical stress tests Group stress test average for 2019

RWA and capital requirements by type of risk Change in risk-weighted assets by impact

Risk-weighted assets under the standardized approach VaR, stressed VaR and IRC within the regulatory scope

Backtesting within the regulatory scope

Market risks under the IMA

Overall Natixis VaR– trading book (1 day 99% VaR) VaR breakdown by risk class and netting effect

Natixis stressed VaR

IRC indicator

Stress test results for Natixis

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS Table 85 Liquidity reserves

Liquidity gaps

Sources and uses of funds by maturity

Interest rate gap 2019 detailed LCR

HQLA

OTHER RISKS Table 91

CEGC outstandings

220 220

Table 92

CEGC Investment portfolio

15

229

RISK REPORT PILLAR III 2019 | GROUPE BPCE