BPCE_PILLAR_III_2017

COUNTERPARTY RISK Detailed quantitative disclosures

12/31/2016

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 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% 0.00% 0.35% 0.64% 1.71% 5.20% 12.84% 4.92% 0.27% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.05% 0.20% 0.36% 0.60% 2.10% 0.00% 0.00% 0.09% 0.04% 0.24% 0.39% 0.64% 1.48% 4.40% 16.09% 2.97% 0.04% 0.20% 0.38% 0.62% 1.40% 4.57% 11.73%

0% 0%

- -

0% 0%

OTHER EXPOSURES – O/W SMES

0 0 1 1 0 0 3

45% 45% 45% 45% 45% 45% 24% 45%

0 0 0 0 0

21% 30% 44% 54% 64%

100.00 (default)

-

0%

Subtotal

1

49% 20%

TOTALA-IRB

36,057

7,095

19

- - - - - - - - -

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

CENTRAL GOVERNMENTS

- - - - - - -

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

6

100.00 (default)

Subtotal

19

45% 45% 45% 45% 45% 45%

892 367

155 145

17% 40% 41%

INSTITUTIONS

37

15

0 6

0 9

104% 153%

-

0% 0%

-

0%

218

64

30%

100.00 (default)

-

-

0%

Subtotal

1,519

39% 45% 45% 45% 45% 45% 45% 45% 44% 45% 45% 45% 45% 45% 45% 45% 44% 41% 25%

388

26% 13% 45% 48% 64% 88%

0 5 4 7

0 2 2 4

CORPORATES – O/W SMES

26 21

23 24

117% 182%

4 1

7

100.00 (default)

-

0%

Subtotal

67

62

93% 18% 49% 65% 81%

612

110

CORPORATES – O/W OTHER

10

5 5

7

21 13 12 16 10

17 15 19 34

109% 153% 217%

100.00 (default)

-

0%

Subtotal

702

0.43% 0.28% 0.27%

204 655

29% 28% 20%

TOTALF-IRB

2,308

TOTAL

38,365

7,749

141

Risk Report Pillar III 2017