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 7,236

175 248 150

54% 315 0.06% 66% 687 0.18% 69% 689 0.37% 58% 5,646 0.58% 59% 9,770 1.46% 58% 7,969 4.52% 54% 1,337 18.95% 69% 3,264 0.06% 62% 2,538 0.20% 73% 2,139 0.34% 69% 4,397 0.58% 67% 10,121 1.53% 67% 6,164 4.64% 66% 2,380 14.88% 50% 837

43% 2.50 43% 2.50 42% 2.50

48

15% 0 28% 1 44% 1 48% 14 69% 60 95% 154

O/W SMES

0.15 to <0.25 0.25 to <0.50

531 584

191 301

0.50 to <0.75 4,741 1,541 0.75 to <2.50 8,175 2,636 2.50 to <10.00 6,745 2,100

42% 2.50 2,737 42% 2.50 6,726 43% 2.50 7,576

10.00 to <100.00 2,949

369 239

43% 2.50 1,939 145% 108

100.00 (default)

717

2.50

-

0% 360

5

Sub-total

31,678 7,457

58% 27,249 3.00% 90,552 43% 2.50 19,519

72% 698 690

0.00 to <0.15 5,385

768

44% 2.50

695

21% 1 45% 2 60% 3 75% 11

0.15 to <0.25 1,743 1,212

44% 2.50 1,141 43% 2.50 1,274 43% 2.50 3,299

0.25 to <0.50 1,669

623

0.50 to <0.75 3,626 1,076 0.75 to <2.50 8,422 2,482 2.50 to <10.00 5,198 1,460

43% 2.50 10,630 105% 66 43% 2.50 9,004 146% 122 42% 2.50 4,414 185% 123

10.00 to <100.00 3,519

750 465

CORPORATES – O/W: OTHER

100.00 (default)

1,588

40% 1,775

2.50

-

0% 782

Sub-total

31,150 8,836

66% 32,779 2.69% 54,015 43% 2.50 30,457

93% 1,110 1,387

EQUITY EXPOSURES 0.00 to <0.15 5,592

181

100% 5,773

0 0

18,857 327% 103 72 216% 0 1 190% 0 115 295% 1 378 331% 2 230 231% 1 30,485 344% 112 16 370% 0 50,154 336% 220

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

33

- - - - -

- - - - -

33

0

0

39

39

0 0 0 0

114 100

114 100

10.00 to <100.00 9,392

1

1

8,864

100.00 (default)

4

-

-

4

Sub-total

15,275

182

100% 14,928

TOTAL F-IRB

232,465 17,252 748,526 116,661

64% 240,241 0.71% 145,160 44% 2 101,708 57% 820,800 1.27% 33,098,905 24% 2 208,293

42% 2,033 2,083 25% 10,025 10,365

TOTAL

Only credit risk excluding Dilution Risk and Specialized Lending under the F-IRB approach. On- and off-balance sheet exposures are shown at initial risk, other items at final risk, which is why EADs can exceed exposure amounts.

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RISK REPORT PILLAR III 2020 | GROUPE BPCE