BPCE_PILLAR_III_2017

5 CREDIT RISK

Detailed quantitative disclosures

Credit risk – internal model approach

TABLE 37 – CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE ➡

12/31/2017

Original gross on- balance- sheet expos- ures

Value adjust- ments and prov- isions

Off- balance- sheet exposures pre-CCF

EAD post CRM and post CCF

Average CCF

Average PD

Average

RWA density

Expected loss

PD range

LGD RWAs

in millions of euros CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to< 0.15 43,686 0.15 to< 0.25 377 0.25 to < 0.50 166

471

41% 46,947 0.00% 8% 114

0% 0

-

7 100% 180 0.21% 37% 88 49% 0 251 100% 156 0.38% 41% 76 49% 0

-

0

0.50 to< 0.75 0.75 to < 2.50

- -

- -

- -

- -

- -

- -

2.50 to< 10.00 359

221 76% 82 3.19% 47% 118 144% 1

4

10.00 to < 100.00

5

0 100% 89 44.09% 8% 2

3% 3

3

100.00 (default)

106

0 100% 49

-

-

48 48

Subtotal

44,699

949 65% 47,503 0.09% 8% 398 779 84% 7,247 0.05% 19% 561

1% 52 55

0.00 to< 0.15 6,305 0.15 to< 0.25 681 0.25 to< 0.50 195

8% 1

0 1

INSTITUTIONS

143 76% 832 0.18% 25% 195 23% 0 164 54% 287 0.33% 34% 137 48% 0 152 23% 85 0.55% 32% 45 53% 0 330 25% 406 1.04% 53% 456 112% 2 148 22% 247 3.08% 75% 570 231% 6

-

0.50 to < 0.75

46

0

0.75 to< 2.50 327 2.50 to < 10.00 206

1

4

10.00 to < 100.00

-

-

-

-

-

-

-

-

-

100.00 (default)

54

-

-

54

-

-

52 52

Subtotal

7,815 1,716 58% 9,158 0.20% 23% 1,964 21% 62 58 44% 148 0.08% 25% 27 19% 0 42 100% 34 0.21% 41% 12 35% 0 98% 377 0.36% 23% 107 28% 0 99% 160 0.62% 27% 61 38% 0 94% 825 1.27% 27% 456 55% 3 281 96% 1,368 3.49% 27% 1,059 77% 12 10 0 0 0 0 3 62 29 78 52

0.00 to< 0.15 137 0.15 to< 0.25 122 0.25 to< 0.50 318 0.50 to< 0.75 158 0.75 to< 2.50 804 2.50 to < 10.00 1,171

CORPORATES – O/W SMES

10.00 to <

100.00 175

47

76% 212 12.51% 19% 187 88% 5

1

100.00 (default)

225

16

70% 199

234 117% 132 132

Subtotal

3,111

606 90% 3,323 2.79% 26% 2,143 64% 152 147

0.00 to< 0.15 1,154 0.15 to< 0.25 995

339 84% 1,294 0.07% 12% 118

9% 0

0

CORPORATES - O/WSPECIALIZED LENDING

659 87% 1,459 0.18% 10% 188 13% 0 1 0.25 to< 0.50 1,987 1,652 79% 3,175 0.33% 10% 493 16% 1 3 0.50 to< 0.75 2,413 1,570 67% 3,257 0.55% 11% 727 22% 2 3 0.75 to< 2.50 6,422 3,133 65% 7,748 1.38% 11% 2,323 30% 12 26 2.50 to < 10.00 887 269 55% 703 3.99% 25% 569 81% 6 21 10.00 to < 100.00 4 - 0% 4 12.20% 23% 4 109% 0 - 100.00 (default) 654 15 43% 661 - - 239 239

Subtotal

14,516 7,638 71% 18,301 0.95% 11% 4,423 24% 260 293

116

Risk Report Pillar III 2017