BPCE_PILLAR_III_2017

5 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 OTHER EXPOSURES – O/W SMES

0.00 to< 0.15 0.15 to< 0.25

0 0

- -

- -

0 0.13% 23% 0 0 0.23% 22% 0

5% 0 8% 0

- -

0.25 to< 0.50 4,166 0.50 to< 0.75 3,374 791 57% 4,684 0.37% 28% 730 16% 5 704 53% 3,809 0.67% 30% 824 22% 8 0 0.75 to< 2.50 8,013 1,332 59% 8,878 1.61% 30% 2,716 31% 43 0 2.50 to < 10.00 6,662 1,407 62% 7,584 4.83% 30% 2,914 38% 113 1 10.00 to < 100.00 5,208 882 61% 5,479 19.64% 30% 2,964 54% 327 208 100.00 (default) 3,225 282 21% 3,283 1,795 55% 2,015 2,101 0

Subtotal

30,647 5,399 57% 33,718 5.35% 30% 11,943 35% 2,511 2,310

0.00 to< 0.15 34,852 1,817 71% 36,146 0.08% 17% 1,396

4% 5

1

OTHER EXPOSURES– O/W NON-SMES

0.15 to< 0.25 4,916

194 77% 5,051 0.24% 26% 643 13% 3

1

0.25 to< 0.50 13,004 626 69% 13,433 0.25% 15% 975 0 0.50 to< 0.75 11,189 625 74% 11,650 0.65% 20% 2,032 17% 15 4 0.75 to< 2.50 9,438 1,097 80% 10,315 1.90% 19% 2,574 25% 36 3 2.50 to < 10.00 4,485 348 79% 4,759 4.13% 27% 1,971 41% 52 8 10.00 to < 100.00 3,075 182 80% 3,082 16.83% 25% 1,745 57% 131 203 100.00 (default) 2,032 22 30% 2,040 977 48% 992 1,194 7% 5 82,990 4,909 74% 86,475 1.26% 19% 12,313 14% 1,239 1,415 439,848 87,155 57% 489,134 1.58% 17% 94,978 19% 7,840 7,510

Subtotal

TOTALA-IRB

0.00 to< 0.15 85,817 0.15 to< 0.25 259 0.25 to < 0.50 310

0

50% 86,301 0.00% 45% 203

0% 0

0

CENTRAL GOVERNMENTS OR CENTRAL BANKS

-

-

259 0.21% 45% 124 48% 0 310 0.38% 45% 201 65% 1

-

-

-

0

0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00

-

-

-

- 0.00% - - 0.00% -

-

-   -

-

-

 - 9

 - 1

 -

-

-

-

50% 16 3.19% 45% 23 138% 0

0

10.00 to < 100.00

0

-

-

0 20.93% 45% 0 255% 0

-

100.00 (default)

0

-

-

0

-

-

0

-

Subtotal

86,396

1 50% 86,887 0.00% 45% 551

1% 1

0

0.00 to< 0.15 1,127

953 91% 2,750 0.04% 36% 780 28% 1 50% 97 0.18% 27% 35 36% 0 105 74% 218 0.33% 43% 167 77% 0 198 75% 247 0.55% 22% 124 50% 0 133 74% 154 1.17% 31% 139 90% 1 77% 248 3.04% 42% 326 149% 3 29 92

5

INSTITUTIONS

0.15 to< 0.25

82

-

- -

0.25 to < 0.50 514 0.50 to < 0.75 100

0.75 to < 2.50

55

0

2.50 to < 10.00 143

0

10.00 to < 100.00

0

-

-

0

-

0% 0 158% 0

-

100.00 (default)

42

-

-

13

-

-

19 12

Subtotal

2,063 1,509 85% 3,727 0.32% 36% 1,571 42% 23 18

118

Risk Report Pillar III 2017