BPCE_REGISTRATION_DOCUMENT_2017

3 RISK REPORT Credit risk

PD (PROBABILITY OF DEFAULT) MODELS ➡

Number of models

Exposure class

Portfolio

Description/Methodology

Expert criteriaincludingquantitativeand qualitative variables/economic and descriptive variables Portfolio with lowdefault risk

Sovereignsand affiliates

1

Sovereigns, central governments and centralbanks

Expert criteria Portfolio with lowdefault risk

Multilateral developmentbanks Municipalities( communes ), departments, regions,social housingagencies,hospitals, etc.

1

10 (NS*)

Expertcriteria/statisticalmodeling(logistic regression) Portfolio with lowdefault risk

Public sector

Expertcriteria Portfolio with lowdefault risk

OECDor non-OECDbanks, brokers/dealers

Financialinstitutions

3

5 Expert criteriaincludingquantitative andqualitative variables, depending on thebusinesssector Portfolio with lowdefault risk Statisticalmodels(logisticregression)or flat scores,on companies publishingparent company orconsolidatedfinancial statements, mainly basedon balancesheet data depending on thebusiness sector, and banking behavior/history Expert criteriaincludingquantitativeand qualitative variables Portfolio with lowdefault risk Expert criteria basedon features offinanced goods/projects Portfolio with lowdefault risk Statistical models(logistic regression) includingbehavioral and socioeconomic variables, differentiated by customerprofile 10 Statisticalmodels(logisticregression)includingbalance sheetand behavioral variables Statistical models(logistic regression) includingbehavioral and socioeconomicvariables, or project description variables (quota, etc.),differentiatedby customerprofile Statistical models(logistic regression) includingbehavioral and socioeconomic variables 1 2 7

Large corporates (Revenue> €1 billion)

SMEs (Revenue> €3 million) Non-profitsand insurance companies Specialized Financing (real estate,asset pool, aircraft, etc.)

11 (o/w 4NS)

8 (o/w 1NS)

Corporates

Individualcustomers

Professionalcustomers (socioeconomic category, differentiatedaccording to certain sectors)

5 (o/w 2NS)

Residential real estate

Retail customers

Revolvingloans

NS refers to non-standardizedmodelsused in determiningcapitalrequirements. *

160

Registration document 2017