BPCE_PILLAR_III_2017

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 CORPORATES – O/W OTHER

0.00 to< 0.15 10,348 21,958 45% 20,135 0.06% 34% 3,203 16% 4 0.15 to< 0.25 3,139 3,717 63% 5,446 0.20% 31% 1,839 34% 3 0.25 to< 0.50 5,527 6,855 54% 9,217 0.36% 29% 2,980 32% 8 0.50 to< 0.75 7,048 6,808 46% 10,181 0.58% 29% 4,475 44% 16 0.75 to< 2.50 9,675 8,823 57% 14,327 1.41% 30% 8,666 60% 54 2.50 to < 10.00 4,615 2,625 54% 5,845 3.45% 29% 4,000 68% 46 10.00 to < 100.00 1,178 396 61% 1,305 11.20% 30% 1,481 113% 40 100.00 (default) 3,289 851 74% 3,822 3,128 82% 1,650

5

Subtotal

44,818 52,033 50% 70,278 1.13% 30% 29,774 42% 1,820 1,886

0.00 to< 0.15 0.15 to< 0.25

0

- -

0% 0 0.09% 10% 0 0% - 0.00% 0% -

2% 0 0% -

RETAIL CUSTOMERS –

-

SECURED BY REAL ESTATE PROPERTY O/WSMES

0.25 to< 0.50 6,307 0.50 to< 0.75 4,342

193 62% 6,427 0.39% 17% 662 10% 4

97 56% 4,396 0.69% 20% 748 17% 6 0.75 to< 2.50 11,937 290 57% 12,103 1.58% 20% 3,486 29% 39 2.50 to < 10.00 7,579 334 58% 7,772 4.93% 20% 4,353 56% 77 10.00 to < 100.00 6,057 262 59% 6,211 19.68% 19% 5,569 90% 245 100.00 (default) 1,704 5 2% 1,704 684 40% 600

Subtotal

37,926 1,181 58% 38,612 4.79% 18% 15,502 40% 971 711

0.00 to< 0.15 67,092 2,613 62% 68,724 0.10% 12% 1,945

3% 8 0% -

RETAIL CUSTOMERS –

0.15 to< 0.25

-

-

0% - 0.00% 0% -

SECURED BY REAL ESTATE PROPERTY O/WNON-SMES

0.25 to< 0.50 43,819 1,600 61% 44,789 0.27% 12% 2,883 6% 15 0.50 to< 0.75 19,304 866 63% 19,849 0.70% 12% 2,571 13% 17 0.75 to< 2.50 12,993 1,087 69% 13,745 1.81% 12% 3,157 23% 29 2.50 to < 10.00 9,743 1,501 68% 10,763 4.59% 13% 4,655 43% 66 10.00 to < 100.00 5,178 148 64% 5,272 21.08% 14% 4,127 78% 160 100.00 (default) 2,309 12 6% 2,310 811 35% 646

Subtotal

160,438 7,828 64% 165,452 1.32% 12% 20,148 12% 940 801

0.00 to< 0.15 949 2,980 81% 3,357 0.09% 47% 95

3% 1 4% 0 7% 2

RETAIL CUSTOMERS – REVOLVING EXPOSURES

0.15 to< 0.25

0

39

51% 20 0.22% 33% 1

0.25 to< 0.50 428 1,168 79% 1,348 0.27% 47% 93

0.50 to< 0.75 712 0.75 to< 2.50 404 2.50 to < 10.00 416

984 84% 1,535 0.70% 49% 230 15% 5 520 88% 859 1.89% 40% 216 25% 6 402 76% 722 4.68% 51% 443 61% 17

10.00 to <

100.00 412

184 89% 575 20.19% 42% 626 109% 51

100.00 (default)

207

9

5% 208

29 14% 132

Subtotal

3,529 6,285 81% 8,624 2.13% 45% 1,733 20% 215 190

121

Risk Report Pillar III 2017