BPCE - Risk Report - Pillar III 2020

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

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 15,806 20,325 0.15 to <0.25 3,194 6,136 0.25 to <0.50 5,514 6,237 0.50 to <0.75 4,603 6,283 0.75 to <2.50 7,231 8,003 2.50 to <10.00 4,531 4,031

63% 27,246 0.05% 69% 7,449 0.17% 60% 9,232 0.31% 56% 8,129 0.60% 50% 11,269 1.42% 52% 6,610 4.33% 69% 883 14.78%

35% 2.23 4,264 30% 2.80 2,148 31% 2.27 3,508 32% 2.11 4,296 32% 2.26 8,423 29% 2.59 6,444

16% 5 29% 4 38% 9 53% 16 75% 51 97% 83

O/W: OTHER

10.00 to <100.00 100.00 (default)

625

390 430

26% 2.98 1,174 133% 33

3,174

30% 3,303

2.02 3,703 112% 1,546

5

Sub-total

44,678 51,835

59% 74,121 0.96% 8,109 32% 2.31 33,959

46% 1,746 1,744

RETAIL – EXPOSURES SECURED BY MORTGAGES ON IMMOVABLE PROPERTY O/W SMES

0.00 to <0.15

-

-

-

-

-

-

-

-

-

-

0.15 to <0.25 7,627 0.25 to <0.50 7,352 0.50 to <0.75 1,710 0.75 to <2.50 19,402 2.50 to <10.00 10,686 10.00 to <100.00 4,228

271 224

111% 7,927 0.24% 75% 7,520 0.34% 84% 1,738 0.53% 96% 20,145 1.37% 98% 11,248 5.20% 97% 4,463 23.43% 90% 116,204 0.09% 99% 46,938 0.24% 81% 21,540 0.25% 97% 27,889 0.63% 97% 19,399 1.75% 89% 12,666 4.02% 95% 5,599 21.75% 64% 3,641 0.08% 45% 761 0.24% 102% 775 0.25% 57% 1,648 0.64% 73% 789 1.82% 47% 484 4.15% 28% 2,729 20.17% 8% 1,240 6% 1,969

18% - 14% - 16% - 20% - 18% - 20% - 10% - 11% - 9% - 11% - 11% - 12% - 15% - 26% - 33% - 21% - 28% - 25% - 31% - 26% - - -

592 557 194

7% 3 7% 4 11% 2 26% 55 52% 106 95% 208 35% 642 2% 11 6% 13 5% 5 11% 19 20% 35 36% 60 80% 178 36% 865 1% 1 4% 1 3% 0 8% 3 15% 3 34% 6 36% 55 24% 165

34

775 572 242

5,174 5,883 4,228

100.00 (default)

1,239

5

438

Sub-total RETAIL – EXPOSURES

52,244 2,123

96% 54,282 3.69% 344,673 18% - 17,067

31% 1,020 1,241

0.00 to <0.15 112,043 4,614 0.15 to <0.25 45,060 1,894

2,696 2,626 1,014 3,002 3,846 4,549 4,481

0.25 to <0.50 20,921

761

0.50 to <0.75 26,542 1,390 0.75 to <2.50 17,558 1,899 2.50 to <10.00 11,177 1,677

10.00 to <100.00 5,359

253

100.00 (default)

1,968

10

707

Sub-total

240,628 12,499

93% 252,203 1.00% 3,051,332 11% - 22,920

9% 1,186 973

RETAIL – QUALIFYING REVOLVING

0.00 to <0.15 1,308 3,627

53 33 22

0.15 to <0.25 0.25 to <0.50

384 227

835 536

0.50 to <0.75 1,077 1,003

130 120 166 982

0.75 to <2.50 2.50 to <10.00

441 327

479 335

10.00 to <100.00 1,234 5,372

100.00 (default)

292

8

9% 292

-

71

Sub-total

5,290 12,194

48% 11,118 5.56% 21,906,634 27% -

1,578

14% 234 266

133

RISK REPORT PILLAR III 2020 | GROUPE BPCE