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 OTHER EXPOSURES– O/W SMES

0.00 to< 0.15 0.15 to< 0.25

0

0 100% 0 0.03% 45% 0

5% 0 0% -

-

-

0% - 0.00% 0% -

0.25 to< 0.50 4,077 0.50 to< 0.75 3,243

772 55% 4,499 0.37% 28% 684 15% 5

711 50% 3,600 0.67% 29% 755 21% 7 0.75 to< 2.50 7,907 1,385 57% 8,700 1.61% 29% 2,550 29% 40 2.50 to < 10.00 6,725 1,481 62% 7,638 4.85% 29% 2,803 37% 110 10.00 to < 100.00 5,429 938 62% 6,004 19.95% 29% 3,115 52% 359 100.00 (default) 3,512 304 22% 3,576 1,932 54% 2,149

Subtotal

30,893 5,590 56% 34,018 5.14% 26% 11,838 35% 2,670 2,510

0.00 to< 0.15 30,382 1,658 75% 31,624 0.09% 16% 1,241

4% 5 0% -

OTHER EXPOSURES– O/W NON-SMES

0.15 to< 0.25

-

-

0% - 0.00% 0% -

0.25 to< 0.50 15,404 746 74% 15,957 0.27% 17% 1,439 9% 8 0.50 to< 0.75 10,311 609 77% 10,782 0.68% 20% 1,932 18% 15 0.75 to < 2.50 8,733 1,476 83% 9,957 1.95% 18% 2,346 24% 33 2.50 to< 10.00 4,234 353 81% 4,519 4.59% 29% 2,019 45% 59 10.00 to < 100.00 3,088 237 83% 3,284 20.34% 26% 1,890 58% 175 100.00 (default) 2,088 23 27% 2,094 984 47% 1,002

Subtotal

74,241 5,102 78% 78,218 1.55% 18% 11,851 15% 1,297 1,411 410,417 88,470 58% 461,553 1.80% 18% 99,866 22% 8,512 8,140

TOTALA-IRB

0.00 to< 0.15 83,058

0 100% 83,108 0.00% 45% 253

0% 0

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.15 to< 0.25

87

-

0% 89 0.20% 45% 41 47% 0 0% 738 0.25% 45% 312 42% 1

0.25 to < 0.50 480

-

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

- -

- -

0% 5 0.00% 45% - 0% 6 0.00% 44% - 94% 17 0.19% 44% 1

0% - 0% - 8% 0

0

0

10.00 to <

100.00 237

0

75% 238 0.03% 45% 2

1% 0

100.00 (default)

0

-

0% 1

0 24% 0

Subtotal

83,862

0 92% 84,203 0.00% 45% 609

1% 1 0% 1

0

0.00 to< 0.15 1,913 1,385 93% 3,144 0.05% 41% 739

INSTITUTIONS

0.15 to< 0.25

71

82 82% 157 0.19% 38% 77 47% 0 286 75% 356 0.35% 42% 268 42% 1

0.25 to< 0.50 387

0.50 to< 0.75

42

231 75% 249 0.52% 24% 114 208 74% 387 1.15% 34% 300

0% 0 0% 2 8% 2

0.75 to< 2.50 144

2.50 to < 10.00

50

72

78% 252 1.75% 44% 215

10.00 to < 100.00

0

0

50% 25 0.09% 34% 42

1% 0

100.00 (default)

25

-

0% 57

7 24% 11

Subtotal

2,631 2,263 86% 4,628 0.28% 40% 1,762 1% 16 19

122

Risk Report Pillar III 2017