BPCE - Risk Report - Pillar III 2020

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

CR6 – CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE

12/31/2020

Off- balance

Original on- balance sheet gross exposure

sheet expo- sures pre CCF

EAD post CRM and post CCF

Average CCF

Average PD

Number of obligors

Average LGD

Average maturity

RWA density

Expected losses

Provi- sions

in millions of euros

PD scale

RWAs

0.00 to <0.15 35,431

953

90% 40,211 0.00%

8% 1.04 37% 0.53 35% 3.35 0% - 0% - 47% 2.87 45% 3.52 8% 1.04 16% 1.31 29% 1.04 29% 0.88 47% 1.41 51% 1.03 85% 1.09 104% 2.73 1.33

90 17 12

0% 0 23% 0 65% 0 0% - 0% - 0% 49 1% 50 6% 0 22% 0 35% 0 80% 0 0% 23 18% 29 20% 0 19% 0 44% 0 35% 1 53% 6 64% 14 92% 7 7% 0 10% 0 15% 1 22% 2 36% 10 45% 4

GOVERNMENTS OR CENTRAL BANKS

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 <100.00 100.00 (default) 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 <100.00 100.00 (default)

71

-

-

71 0.21%

3

10

100% 19 0.38%

- -

- -

- -

- -

0.00% 0.00%

- -

39

1 1

100% 46 3.19%

69 150% 1 18 269% 1

6

100%

7 27.31%

49

-

-

49

-

Sub-total

35,599

965

90% 40,404 0.01% 95

206 289

52

INSTITUTIONS

0.00 to <0.15 3,998 1,209

58% 5,054 0.05% 62% 106 0.17% 68% 352 0.31% 28% 182 0.52% 20% 58 1.60% 20% 149 3.39%

58

76 78

23

289

125 146

57

442 237 171

9

72 124% 0 415 278% 4 1 662% 0

120

-

1

20%

0 19.36%

23

-

-

23

1.07

-

Sub-total

4,555 2,214

46% 5,923 0.18% 540 20% 1.27 1,070

28

CORPORATES – O/W SMES

0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75

207

40

92% 71 0.07% 20% 46 0.18% 76% 124 0.36% 95% 784 0.59% 87% 1,611 1.57% 75% 1,597 4.25% 57% 268 14.59% 64% 1,724 0.07% 81% 1,282 0.17% 72% 2,027 0.31% 64% 4,128 0.52% 55% 6,184 1.22% 62% 946 3.29% 28% 238

31% 3.10 22% 2.47 41% 1.85 23% 2.34 23% 2.84

14

45 98

0

9

36

55

665

125 163 119

276 855

0.75 to <2.50 1,507 2.50 to <10.00 1,508

21% 2.91 1,019

10.00 to <100.00 100.00 (default)

238 235

62

19% 3.09

246

9

3.02

237 100% 103

Sub-total

4,503

554

82% 4,739 3.05% 15,407 23% 2.78 2,710

57% 131 121

CORPORATES – O/W: SPECIALIZED LENDING

0.00 to <0.15 3,532 1,594

9% 3.96 8% 3.57 9% 3.70 11% 3.69

115 124 296 919

0.15 to <0.25

812

583

0.25 to <0.50 1,280 1,039 0.50 to <0.75 2,998 1,775 0.75 to <2.50 4,241 3,548

14% 3.64 2,235

2.50 to <10.00 10.00 to <100.00 100.00 (default)

742

328

13% 3.74 34% 2.16

427

12

-

-

2 11.98%

4 160% 0

637

16

68% 648

1.93

467

72% 156

Sub-total

14,255 8,883

62% 16,941 0.85% 1,459 12% 3.63 4,585

27% 174 225

132

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com