BPCE_PILLAR_III_2017

CREDIT RISK Internal ratings and risk measurements

Internal ratings and risk measurements 5.2

Factors impacting losses incurred overthe period The dollar’s depreciationhad less of an impact on new-generationoil assets in 2017. Moreover,as oil prices steadily climbed,operatorsand strugglingas-yet non-restructuredoperationssaw an improvementin their financial position.

The decline in corporate defaults helped substantially reduce the impact of cost of risk. The most common recurringfactors underlying default were, as in the past, past-due customer payments, customer paymentperiods,and managerial errors by companies.

Current situation

5

Groupe BPCE has beenauthorizedby the competentauthorities touse the following IRB methods.

TABLE 19 – SCOPE OF STANDARDIZED AND IRB METHODS USED BY THE GROUP ➡

Crédit Foncier/ Banque Palatine/ BPCE International

Banque Populaire network

Caisse d’Epargne network

Customer segment

Natixis A-IRB A-IRB

BPCE SA group

Central banks and othersovereignexposures

F-IRB Standardized Standardized F-IRB Standardized Standardized

F-IRB F-IRB

Central administrations

Public sectorand similar entities

Standardized Standardized Standardized Standardized Standardized

Financialinstitutions

F-IRB Standardized StandardizedA-IRB/Standardized

F-IRB

Corporates(Revenue> €3 million)

F-IRB/Standardized Standardized Standardized

A-IRB Standardized

Retail customers

A-IRB

A-IRB Standardized Standardized

TABLE 20 – BREAKDOWN OF EAD BY APPROACH FOR THE MAIN CUSTOMER CATEGORIES ➡

12/31/2017

12/31/2016

EAD

EAD

Standardized

F-IRB A-IRB

Standardized

F-IRB A-IRB

% breakdown

Central banks and othersovereignexposures

30% 45% 25% 53% 27% 20% 99% 0% 1% 37% 24% 39% 37% 24% 39% 15% 0% 85%

35% 46% 19% 56% 26% 17% 100% 0% 0% 45% 11% 44% 35% 22% 43% 16% 0% 84%

Central governments

Public sectorand similar entities

Financialinstitutions

Corporates

Retail customers

81

Risk Report Pillar III 2017