BPCE_REGISTRATION_DOCUMENT_2017

RISK REPORT Credit risk

The discontinuationof the 180-day option for exposures secured by real estate, the Basel Committeeinternalcontrolguidelinesof April 4, 2017 regarding the prudential treatment of non-performing exposures and forbearance definitions, EBA guidelines published in September 2016 on the applicationof the definitionof default under Article 178 of (EU) regulation No. 575/2013, as well as the publication by the ECB in March 2017 of guidelines for non-performingloans are paving the way for the convergenceof the concepts of non-performing exposures and Basel default.

Identification of retail customer forbearance exposures is now automated. In addition, there is a guide for using expert opinion to identify forbearanceexposures, particularlyfor short-, medium-, and long-term loansto non-retailcounterparties. Disclosures on “forbearance, performing and non-performing exposures”are being added to those already provided on default and impairment.

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3.5.2

Internal ratings andrisk measurements

FACTORS IMPACTING LOSSES INCURRED OVER THE 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 Groupe BPCE has been authorized by the competent authorities to use the followingIRB methods.

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

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

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Registration document 2017