BPCE_PILLAR_III_2017

5 CREDIT RISK

Detailed quantitative disclosures

12/31/2016

Original gross on- balance-

Off- balance- sheet exposures pre-CCF

Value adjust ments and provisions

sheet expos ures

EAD post CRM and post CCF

Average CCF

Average PD

Average

RWA density

Expected loss

PD range

LGD RWAs

in millions of euros

0.00 to< 0.15 32,280 0.15 to< 0.25 263

79 100% 32,456 0.00% 9% 148

0% 0

CENTRAL GOVERNMENTS OR CENTRAL BANKS

14 100% 385 0.07% 22% 56 15% 0

0.25 to< 0.50 0.50 to< 0.75 0.75 to < 2.50

78

264 100% 412 0.04% 12% 28

7% 0 2% 0 3% 0 9% 1

-

-

0% 125 0.01% 13% 3 0% 936 0.01% 12% 29

-

-

2.50 to< 10.00 303

209 99% 954 0.16% 15% 81

10.00 to <

100.00 138

-

0% 182 1.19% 23% 57 31% 2

100.00 (default)

50

-

0% 360

34

9% 60

Subtotal

33,112

566 100% 35,809 0.01% 9% 434 780 73% 5,969 0.05% 19% 526

1% 63 63

0.00 to< 0.15 5,411 0.15 to< 0.25 236 0.25 to< 0.50 449 0.50 to< 0.75 617 0.75 to< 2.50 241

9% 1

INSTITUTIONS

100 51% 286 0.20% 26% 78 27% 0 186 73% 604 0.35% 38% 387 64% 1 517 32% 825 0.57% 30% 391 47% 1 289 23% 385 1.14% 59% 524 136% 3 283 22% 235 2.45% 58% 394 168% 5

2.50 to < 10.00

85

10.00 to < 100.00

-

-

0% 149 0.04% 15% 11

7% 0

100.00 (default)

65

-

0% 89

3

3% 58

Subtotal

7,105 2,154 49% 8,541 0.24% 24% 2,314 27% 70 65

0.00 to< 0.15 0.15 to< 0.25 0.25 to< 0.50

27 51 69

24 100% 50 0.06% 12% 4

8% 0

CORPORATES – O/W SMES

1 100% 52 0.24% 13% 6 11% 0 99% 125 0.39% 24% 42 34% 0 79% 235 0.64% 19% 65 28% 0 100 95% 684 1.48% 24% 353 52% 2 174 97% 1,241 4.35% 23% 706 57% 10 56 50

0.50 to< 0.75 202 0.75 to< 2.50 658 2.50 to < 10.00 1,147

10.00 to <

100.00 207

45

88% 167 12.91% 22% 166 99% 5

100.00 (default)

314

11

81% 254

247 97% 156

Subtotal

2,674

461 94% 2,808 3.13% 21% 1,590 57% 173 167 364 88% 1,944 0.07% 32% 312 16% 0

0.00 to< 0.15 1,712 0.15 to< 0.25 890

CORPORATES – O/W SPECIALIZED LENDING

503 91% 1,291 0.20% 10% 194 15% 0 0.25 to< 0.50 2,011 1,045 81% 2,801 0.36% 11% 575 21% 1 0.50 to< 0.75 2,617 1,616 69% 3,549 0.60% 13% 910 26% 3 0.75 to< 2.50 6,004 3,347 56% 7,280 1.47% 11% 2,096 29% 11 2.50 to < 10.00 1,421 375 58% 1,339 4.69% 20% 587 44% 7 10.00 to < 100.00 5 - 5 12.65% 31% 8 147% 0 100.00 (default) 1,021 20 44% 984 - 0% 270

Subtotal

15,681 7,269 66% 19,193 1.07% 13% 4,682 24% 293 336

120

Risk Report Pillar III 2017