BPCE - Risk Report - Pillar III 2020

5

CREDIT RISKS

QUANTITATIVE DISCLOSURES

CONCENTRATION BPCE14 – CONCENTRATION BY BORROWER

12/31/2020

12/31/2019

Breakdown gross amount/Total large risk exposures (1)

Breakdown gross amount/Total large risk exposures (1)

Percentage of capital gross amount/Capital (2)

Percentage of capital gross amount/Capital (2)

Concentration by borrower

No. 1 borrower Top 10 borrowers Top 50 borrowers Top 100 borrowers

2.9%

6.2%

2.6%

6.0%

20.5% 52.8% 74.8%

43.6% 112.2% 159.1%

20.2% 51.8% 72.0%

45.9% 117.8% 163.7%

Total large risks excluding Groupe BPCE sovereign exposures (€166.2 billion at 12/31/2020). (1) Groupe BPCE regulatory capital (Corep CA4 row 11 at 12/31/2020): €78.2 billion. (2)

The percentage of the Top 100 borrowers was slightly up in 2020 and did not show any particular concentration.

Provisions and impairments

CHANGE IN GROUP COST OF RISK (in millions of euros)

COST OF RISK IN BP (1) (GROUPE BPCE)

2,998

110

41

× 2.2

819

22

1,365

312 18

19

2,042

● Excl. business lines ● Corporate & Investment Banking ● Retail Banking & Insurance

19

1,028

● S3 ● S1/S2

2020

2019

2019

2020

Groupe BPCE’s cost of risk amounted to €3 billion in 2020, more than double the figure for 2019. The increase in cost of risk is due to the downturn in the economic environment in 2020 and a prudent provisioning policy for performing loans to take into account the worsened economic outlook.

The cost of risk in relation to gross customer loan outstandings stood at an annual average of 41 bp (up 22 points compared to the 2019 average); around 45% relate to the provisioning of performing loans, classified in Stage 1 or Stage 2. The ratio of non-performing loans to gross loan outstandings stood at 2.5% on December 31, 2020, slightly down compared to end-2019.

BPCE15 – COVERAGE OF NON-PERFORMING LOANS

12/31/2020

12/31/2019

In millions of euros

Gross loan outstandings – customers and banks

851.0

798.2

o/w S3 exposures

21.6

21.7

Non-performing/gross outstanding loans

2.5%

2.7%

Total S3 impairments

9.5

9.9

Impairments recognized/non-performing loans

43.9%

45.9%

(1) Excluding non-recurring items

100

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com