BPCE - Risk Report - Pillar III 2020

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

CORPORATES – O/W: OTHER

0.00 to <0.15 17,491 22,096 0.15 to <0.25 3,604 5,811 0.25 to <0.50 5,562 6,156 0.50 to <0.75 5,581 5,832 0.75 to <2.50 8,183 7,560 2.50 to <10.00 4,035 4,461

49% 29,019 0.05% 55% 6,849 0.17% 51% 8,865 0.31% 47% 8,337 0.53% 45% 11,612 1.24% 54% 6,453 4.18% 62% 551 13.78%

31% 2.29 4,082 30% 2.56 1,968 28% 2.41 3,198 29% 2.27 3,942 27% 2.28 7,088 26% 2.88 5,713

14% 5 29% 4 36% 8 47% 13 61% 39 89% 70

10.00 to <100.00 100.00 (default)

418

197 216

25% 2.84

700 127% 18

2,314

66% 2,457

1.21 1,920

78% 1,552

5

Sub-total

47,189 52,329

50% 74,144 0.82% 7,846 29% 2.35 28,612

39% 1,707 1,699

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

0.00 to <0.15

-

-

-

-

-

-

-

-

-

-

0.15 to <0.25 6,297 0.25 to <0.50 5,520 0.50 to <0.75 1,508 0.75 to <2.50 16,524 2.50 to <10.00 10,378 10.00 to <100.00 4,776

208 157

56% 6,414 0.24% 56% 5,608 0.34% 52% 1,520 0.53% 54% 16,838 1.37% 52% 10,630 5.22% 55% 4,918 23.65% 59% 84,630 0.09% 56% 42,683 0.24% 57% 12,313 0.25% 59% 23,988 0.63% 66% 15,854 1.69% 65% 12,868 4.00% 62% 5,585 19.85% 82% 4,120 0.08% 64% 967 0.24% 104% 692 0.25% 85% 1,642 0.64% 90% 863 1.82% 75% 710 4.13% 3% 3,091 19.36% 16% 1,458 0% 2,356

19% - 15% - 17% - 20% - 19% - 20% - 11% - 11% - 11% - 11% - 11% - 12% - 13% - 44% - 55% - 31% - 45% - 39% - 50% - 41% - - -

507 443 175

8% 3 8% 3 12% 1 27% 48 55% 105 95% 230 40% 542 2% 8 5% 11 6% 3 11% 17 21% 31 35% 60 69% 142 36% 714 2% 2 7% 1 4% 1 13% 5 24% 6 54% 14 43% 173 24% 119

22

585 483 259

4,484 5,864 4,660

100.00 (default)

1,456

9

587

Sub-total

46,460 1,724

54% 47,386 4.33% 317,997 19% - 16,721

35% 932 1,075

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

0.00 to <0.15 82,734 3,236 0.15 to <0.25 41,708 1,748

2,046 2,286

0.25 to <0.50 12,126

329

683

0.50 to <0.75 23,329 1,126 0.75 to <2.50 15,007 1,282 2.50 to <10.00 11,716 1,772

2,621 3,363 4,526 3,865

10.00 to <100.00 5,447

222

100.00 (default)

2,356

15

838

Sub-total

194,423 9,729

60% 200,277 1.14% 2,627,051 11% - 20,229

10% 987 981

RETAIL – QUALIFYING REVOLVING

0.00 to <0.15 1,407 3,311

100

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

461 161 799 413 429

792 511 990 500 375

70 29

210 205 384

10.00 to <100.00 1,545 5,124

1,341

100.00 (default)

195

9

3% 195

-

47

Sub-total

5,410 11,612

41% 12,282 5.47% 20,503,900 44% -

2,386

19% 320 282

137

RISK REPORT PILLAR III 2020 | GROUPE BPCE