BPCE - Risk Report - Pillar III 2020

5

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

7

0

75%

-

0.00%

0% - 32% - 17% - 22% - 21% - 23% - 22% - 18% - 28% - 15% - 22% - 21% - 31% - 28% - -

-

0% - 13% 1 9% 6 14% 1 21% 51 30% 109 43% 233 34% 1,782 4% 5 14% 4 7% 4 19% 15 27% 29 46% 58 60% 164 39% 960

EXPOSURES – O/W SMES

0.15 to <0.25 1,691

182

82% 1,841 0.23% 75% 9,918 0.39% 72% 905 0.56% 82% 16,171 1.42% 83% 9,289 5.12% 77% 4,679 22.56% 83% 30,269 0.09% 91% 6,228 0.24% 79% 9,709 0.25% 82% 10,956 0.65% 90% 7,943 1.85% 91% 4,803 3.99% 87% 3,411 19.50% 24% 2,914

246 877 130

0.25 to <0.50 9,042 1,160

0.50 to <0.75

852

74

0.75 to <2.50 14,801 1,665 2.50 to <10.00 8,261 1,232

3,350 2,747 2,001

10.00 to <100.00 4,323

462 238

100.00 (default)

2,856

987

Sub-total

41,833 5,014

78% 45,717 4.23% 2,228,864 21% - 10,337

23% 2,183 2,337

OTHER EXPOSURES – O/W NON-SMES

0.00 to <0.15 29,269 1,208

1,322

0.15 to <0.25 6,085 0.25 to <0.50 9,379 0.50 to <0.75 10,552 0.75 to <2.50 7,465 2.50 to <10.00 4,610 10.00 to <100.00 3,326

157 420 492 530 213

853 712

2,117 2,164 2,233 2,050

98 10

100.00 (default)

1,790

18% 1,792

-

700

Sub-total

72,476 3,127 516,061 99,409

84% 75,111 1.56% 5,396,632 21% - 12,151 65% 580,559 1.48% 32,953,745 17% 2.08 106,585

16% 1,239 1,295 18% 7,992 8,281

TOTAL A-IRB

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to <0.15 151,464

51

75% 161,479 0.00%

45% 2.50 45% 2.50 45% 2.50 45% 2.50 45% 2.50 45% 2.50

162

0% 0 52% 0 65% 1 82% 0

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)

0

-

-

0 0.24%

0

555

1

100% 557 0.38%

361

1 0

- -

- -

1 0.64% 0 1.74%

1

0 117% 0 86 138% 1

43

20

100% 62 3.19%

- -

- -

- -

- -

-

-

- -

- -

- -

- -

Sub-total

152,063

72

82% 162,099 0.00% 73 45% 2.50

610 187 105 137 104 283

0% 2 9% 0 43% 0 44% 0 53% 0 93% 0

0

INSTITUTIONS

0.00 to <0.15 1,394

173

69% 2,041 0.05% 91% 244 0.23% 76% 312 0.34% 73% 194 0.56% 57% 304 1.71% 81% 80 3.85% 50% 10 13.30%

36% 2.50 37% 2.50 30% 2.50 30% 2.50 32% 2.50 45% 2.50 45% 2.50

201 137 121 223

45

223 100 125

50

36

128 161% 1 23 224% 1

171

2

1

-

-

2

2.50

-

0% 1 30% 4

Sub-total

2,299

704

72% 3,186 0.42% 520 35% 2.50

968

6

134

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com