BPCE_PILLAR_III_2017

CREDIT RISK Detailed quantitative disclosures

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 CORPORATES - O/W OTHER

0.00 to< 0.15 10,927 20,346 45% 23,632 0.05% 31% 3,693 16% 4 1 0.15 to< 0.25 3,543 4,661 61% 6,202 0.18% 32% 2,005 32% 4 3 0.25 to< 0.50 5,408 7,636 46% 8,571 0.33% 24% 2,713 32% 7 6 0.50 to< 0.75 4,632 5,207 45% 6,651 0.56% 29% 3,096 47% 11 9 0.75 to< 2.50 7,970 7,277 52% 10,387 1.23% 29% 6,576 63% 36 47 2.50 to < 10.00 4,718 3,801 51% 5,414 4.02% 27% 4,752 88% 57 121 10.00 to < 100.00 580 1,045 44% 975 11.76% 23% 1,065 109% 28 17 100.00 (default) 2,822 198 44% 2,479 2,377 96% 1,340 1,340 0.25 to< 0.50 7,077 0.50 to < 0.75 4,803 213 58% 7,205 0.39% 16% 709 10% 5 114 54% 4,869 0.69% 19% 799 16% 7 0 0.75 to< 2.50 12,699 323 54% 12,888 1.58% 20% 3,662 28% 41 0 2.50 to < 10.00 7,996 392 53% 8,212 4.94% 20% 4,564 56% 80 0 10.00 to < 100.00 5,825 263 57% 5,943 19.78% 19% 5,272 89% 225 99 100.00 (default) 1,658 6 1% 1,659 663 40% 596 604 - 0.00 to< 0.15 73,537 2,945 60% 75,292 0.09% 11% 1,838 0.15 to< 0.25 37,008 1,509 58% 37,878 0.24% 11% 2,057 0.25 to < 0.50 10,717 254 58% 10,864 0.25% 12% 627 - 0.50 to < 0.75 20,291 881 60% 20,820 0.63% 12% 2,331 11% 15 - 0.75 to < 2.50 13,100 921 66% 13,710 1.70% 12% 2,989 22% 27 - 2.50 to < 10.00 9,786 1,354 67% 10,693 4.00% 12% 3,904 37% 52 - 10.00 to < 100.00 5,033 158 62% 5,131 19.81% 13% 3,719 72% 138 102 100.00 (default) 2,354 13 3% 2,355 843 36% 676 706 2% 7 5% 10 6% 3 - - 40,059 1,310 55% 40,776 4.63% 19% 15,669 38% 952 703 40,600 50,170 48% 64,310 0.89% 29% 26,279 41% 1,487 1,546 0.00 to< 0.15 0.15 to< 0.25 -   - -   - - - - - - - - - - - -  -

5

Subtotal

- -

RETAIL CUSTOMERS -

SECUREDBY REAL ESTATE PROPERTY O/WSMES

Subtotal

RETAIL CUSTOMERS -

SECUREDBY REAL ESTATE PROPERTY O/WNON-SMES

Subtotal

171,827 8,035 61% 176,743 1.14% 11% 18,307 10% 929 808

0.00 to< 0.15 1,053 3,099 81% 3,579 0.08% 45% 88

2% 1 7% 1 4% 0

0

RETAIL CUSTOMERS – REVOLVING EXPOSURES

0.15 to< 0.25 370 0.25 to< 0.50 103 0.50 to< 0.75 698 0.75 to< 2.50 340 2.50 to < 10.00 339

753 65% 877 0.24% 55% 63 461 103% 579 0.25% 31% 24

0 0 0 0

964 86% 1,539 0.63% 46% 201 13% 4 481 92% 815 1.83% 39% 194 24% 6 378 77% 704 4.18% 49% 375 53% 14

0

10.00 to <

100.00 487

277 74% 540 19.90% 43% 567 105% 44 29

100.00 (default)

195

9

3% 195

26 13% 124 148

Subtotal

3,584 6,422 82% 8,827 1.95% 45% 1,538 17% 196 177

117

Risk Report Pillar III 2017