BPCE - 2020 Universal Registration Document

6

RISK FACTORS & RISK MANAGEMENT

CREDIT RISKS

FORBEARANCE, PERFORMING AND NON-PERFORMING EXPOSURES

Forced restructuring, over indebtedness proceedings, or any kind of default as defined by the Group standard, which involves a forbearance measure as previously defined, results in classification as a non-performing forborne exposure. Disclosures on “forbearance, performing and non-performing exposures” are being added to those already provided on default and impairment. Probationary periods for customers no longer in forbearance were implemented as part of the new default project. A forbearance qualification guide was rolled out as part of crisis management. Moreover, since the end of 2020, this guide also specifies the criteria enabling institutions to refer to these practices.

Forbearance results from the combination of a concession and financialhardships,and may involveperformingor non-performing loans. The decision to downgrade a loan from the “performing forborne exposure” to the “non-performing forborne exposure” category is subject to a different set of rules than the rules for default (new concession or payment more than 30 days past due) and, like the decision to move a loan out of the “forborne” category, is subject to probationary periods.

Risk measurement and internal ratings 6.5.2

CURRENT SITUATION SCOPE OF STANDARDIZED AND IRB METHODS USED BY THE GROUP

Crédit Foncier/Banque Palatine/BPCE International

Banque Populaire network

Caisse d’Epargne network

Customer segment

Natixis

BPCE SA

Central banks and other sovereign exposures

IRBF IRBF

Standardized Standardized Standardized Standardized

Standardized Standardized Standardized Standardized Standardized Standardized

IRBA IRBA

IRBF IRBF

Central governments

Public sector, similar entities

Standardized

Standardized IRBA/Standard IRBA/Standard Standardized

Standardized

Institutions

IRBF

IRBF

Corporates (Rev.* > €3m)

F-IRB/Standardized F-IRB/Standardized

Standardized

Retail

IRBA

IRBA

Rev.: revenues. * The Oney subsidiary is approved for credit models applicable to retail customers in France. The Portugal, Spain, Russia, Hungary and Poland scopes use the standardized approach.

BREAKDOWN OF EAD BY APPROACH FOR THE MAIN CUSTOMER SEGMENTS

12/31/2020

12/31/2019

EAD

EAD

Standardized

IRBF 57% 34%

IRBA 12% 27% 40% 38% 89% 51% 1%

Standardized

IRBF 48% 35%

IRBA 12% 23% 36% 41% 87% 52% 1%

in %

Central banks and other sovereign exposures

32% 39% 98% 51% 39% 11% 31%

40% 43% 99% 54% 39% 13% 34%

Central governments

Public sector and similar entities

0% 9%

0%

Institutions Corporates

10% 20%

23%

Retail

0%

0%

TOTAL

19%

14%

RATING SYSTEM Information provided in the respect of IFRS 7.

These internal rating systems are also applied to risk supervision, authorization systems, internal limits on counterparties, etc., and may also serve as a basis for other processes, such as statistical provisioning. The resulting risk metrics are then used to calculate capital requirements, once they have been validated by the supervisory authority in compliance with regulatory requirements.

Internal rating systemmodels are developed based on historical data for observed defaults and losses. They are used to measure the credit risks to which Groupe BPCE is exposed, expressed as a one-year probability of default (PD), as a Loss Given Default (LGD) and as Credit Conversion Factors (CCF), depending on the characteristics of the transactions.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE

www.groupebpce.com