BPCE - Risk Report - Pillar III 2020

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

12/31/2019

Off- balance

Original on- balance sheet gross exposure

sheet expo- sures before CCF

Average credit conversion factor

EAD post CRM and post CCF

Average PD

Number of obligors

Average LGD

Maturity average

RWA density

Expected losses

Provi- sions

in millions of euros

PD scale

RWAs

CENTRAL GOVERNMENTS

0.00 to <0.15 26,430

685

79% 29,075 0.00% 0% 61 0.21% 100% 49 0.38%

9% 1.39 37% 0.83 30% 2.80

124

0% 0 26% 0 48% 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)

61 18

-

16 24

7

- -

- -

- -

- -

- -

- -

- -

- -

- -

- -

39

47 15

100% 86 3.19%

47% 4.24 57% 2.26

146 169% 1 17 320% 1

1

29%

5 20.93%

49

-

0% 49

1.37

-

0% 49 1% 51 6% 1 20% 0 34% 1 85% 0

Sub-total

26,598

755

79% 29,326 0.01% 103

9% 1.40 19% 1.18 27% 0.52 31% 0.80 43% 2.25 48% 1.46 63% 1.94

325 366

51

INSTITUTIONS

0.00 to <0.15 5,067 1,750

54% 6,302 0.04% 29% 417 0.17% 56% 535 0.31% 20% 100 0.52% 22% 121 1.62% 20% 171 2.95%

392 436

54

82

156 382 338 213

180

24 48

85

151 125% 1 337 197% 3

106

-

-

-

-

-

-

-

- -

-

-

41

0

20% 41

1.89

0% 41 16% 47 20% 0 14% 0 40% 0 34% 1 51% 5 76% 17 91% 7 61% 116 7% 0 19% 0 14% 1 22% 3 33% 10 79% 3

Sub-total

6,114 2,893

43% 7,687 0.16% 619 22% 1.16 1,201

45

CORPORATES – O/W SMES

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

198 112

72 20 36

77% 111 0.07% 97% 61 0.17% 89% 105 0.37% 93% 623 0.58% 79% 1,529 1.57% 83% 1,615 4.52% 76% 270 14.62% 60% 1,344 0.07% 82% 1,554 0.17% 72% 3,450 0.31% 69% 4,437 0.52% 63% 6,678 1.27% 50% 476 3.53% 75% 228

33% 3.04 17% 2.79 33% 2.36 21% 2.51 22% 2.91

23

9

73

42

499

132 295 289 100

213 780

0.75 to <2.50 1,296 2.50 to <10.00 1,404

23% 3.02 1,222

10.00 to <100.00 100.00 (default)

194 214

19% 3.40

245

19

2.93

260 114% 85

Sub-total

3,990

962

82% 4,541 3.26% 13,384 23% 2.91 2,792

90

CORPORATES – O/W: SPECIALIZED LENDING

0.50 to <0.75 3,190 1,681

10% 4.02 14% 4.00 8% 3.86 11% 3.72

96

0.75 to <2.50 1,023

651

297 475 988

2.50 to <10.00 2,641 1,391 10.00 to <100.00 2,717 2,504

100.00 (default)

4,885 2,844

12% 3.74 2,207

-

342

284

23% 4.22 28% 3.05

376

0.00 to <0.15 0.15 to <0.25

13

-

0%

2 11.98%

3 143% 0 428 105% 104

405

16

27% 409

1.27

Sub-total

15,216 9,371

66% 18,350 0.78% 1,412 29% 3.76 4,869

27% 122 135

136

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com