BPCE_PILLAR_III_2017

CREDIT RISK Detailed quantitative disclosures

Probability ofdefault (PD) and lossgiven default (LGD)

TABLE 41 – AVERAGE PD AND LGD BY GEOGRAPHIC AREA ➡

12/31/2017

Non-defaulted exposures

Average PD

Average LGD

in millions of euros

France

393,272 26,326 32,030 37,141 13,090

1.9% 0.0% 0.8% 0.6% 0.5% 0.5% 0.7% 1.6% 1.0% 0.0% 0.4% 0.2% 0.2% 2.6% 0.7% 0.7% 2.2% 0.0% 0.9% 0.6% 0.4% 0.7% 0.7% 1.8% 0.8% 0.0% 0.5% 0.3% 0.6% 2.2% 2.0% 0.5%

17.3%

European Institutions Europe(excl. France) North &SouthAmerica

7.1%

23.9% 16.6% 25.7% 21.2% 19.1% 17.3%

Asia

5

Africa and theMiddle East

9,632 1,631

Oceania

A-IRB France

513,121 97,813 52,835 13,977

European Institutions Europe(excl. France) North &SouthAmerica

1,091

Asia

840

Africa and theMiddle East

1,510

Oceania

89

F-IRB

168,154 681,276

TOTAL

12/31/2016

Non-defaulted exposures

Average PD

Average LGD

in millions of euros

France

371,825

18.0%

European Institutions Europe(excl. France) North &SouthAmerica

1,240

7.1%

32,197 52,704 13,175

25.6% 14.4% 24.9% 33.1% 17.8% 18.5%

Asia

Africa and theMiddle East

9,795 2,157

Oceania

A-IRB France

483,093 88,795 52,296 13,865

European Institutions Europe(excl. France) North &SouthAmerica

1,647

Asia

442

Africa and theMiddle East

1,585

Oceania

32

F-IRB

158,661 641,755

TOTAL

127

Risk Report Pillar III 2017