BPCE_PILLAR_III_2017

COUNTERPARTY RISK Detailed quantitative disclosures

12/31/2017

EAD post CRM and post CCF

PD range

Average PD

Average LGD

RWAs

RWA density

in millions of euros

0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00 0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00 0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00 0.00 to<0.15 0.15 to<0.25 0.25 to<0.50 0.50 to<0.75 0.75 to<2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) 100.00 (default) 100.00 (default) 100.00 (default)

8

0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.05% 0.18% 0.33% 0.55% 1.97% 2.82% 10.00% 7.24% 0.09% 0.24% 0.42% 0.64% 1.35% 4.64% 19.70% 2.49% 0.09% 0.21% 0.38% 0.61% 1.39% 4.76% 10.07%

45%

- - - - - - - - -

0%

CENTRAL GOVERNMENTS OR CENTRAL BANKS

- - - - - - -

0% 0% 0% 0% 0% 0%

Subtotal

8

45% 45% 45% 45% 45% 45% 45% 13% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 0%

0%

1,729

265

15% 40% 50%

INSTITUTIONS

142 100

56 50

0 0 2

0 0 2 0

100% 151% 105%

6

5,130

0%

-

-

Subtotal

7,103

374

5%

5 2

1 1 6 6

24% 40% 51% 64% 84%

CORPORATES – O/W SMES

11

9

18 20

15 23

115% 345%

2 2

6

-

0%

Subtotal

68

57

85% 29% 48% 45% 78%

523

154

CORPORATES – O/W OTHER

4

2

185

83

6

5

29 13

29 20 44

102% 156%

327

3%

14%

2

-

0%

Subtotal

1,088 8,267

3.24% 6.67% 2.02%

32% 15% 21%

337 768

31%

TOTALF-IRB

9%

TOTAL

42,282

6,603

16%

139

Risk Report Pillar III 2017