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

OTHER EXPOSURES – O/W SMES

0.00 to <0.15

-

-

-

-

-

-

-

-

-

-

0.15 to <0.25 1,187 0.25 to <0.50 5,590

179 999

69% 1,310 0.23% 61% 6,197 0.38% 63% 752 0.56% 67% 11,033 1.46% 64% 8,853 5.23% 62% 4,790 23.65% 68% 41,521 0.09% 77% 5,487 0.24% 64% 15,995 0.25% 71% 13,143 0.65% 74% 11,532 1.90% 76% 5,252 4.12% 74% 4,156 19.00% 16% 3,126

37% - 27% - 27% - 30% - 30% - 30% - 16% - 27% - 15% - 20% - 19% - 28% - 25% - -

205 891 132

16% 1 14% 6 18% 1 29% 49 39% 140 58% 335 55% 1,936 4% 6 13% 4 7% 6 18% 17 25% 40 42% 58 54% 250 45% 872

0.50 to <0.75

708

70

0.75 to <2.50 9,994 1,551 2.50 to <10.00 7,932 1,446

3,252 3,457 2,779 1,723

10.00 to <100.00 4,413

612 238

100.00 (default)

3,088

Sub-total

32,912 5,096

62% 36,061 5.43% 2,333,453 30% - 12,437

34% 2,468 2,447

OTHER EXPOSURES – O/W NON-SMES

0.00 to <0.15 40,290 1,814

1,605

0.15 to <0.25 5,367 0.25 to <0.50 15,554 0.50 to <0.75 12,687

156 686 641

716

1,165 2,307 2,887 2,205 2,230

0.75 to <2.50 10,718 1,103

2.50 to <10.00 5,005 10.00 to <100.00 4,052

325 141

100.00 (default)

1,821

12

22% 1,823

-

825

Sub-total

95,493 4,878 473,805 99,349

70% 98,909 1.44% 4,107,317 19% - 13,940 53% 528,963 1.62% 29,913,082 18% 2.28 103,511

14% 1,253 1,354 20% 8,002 8,158

TOTAL A-IRB

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to <0.15 89,027

3

100% 89,494 0.00%

45% 2.50

186

0% 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)

-

- - - - - - -

-

-

-

-

-

-

-

-

286

0% 286 0.38%

45% 2.50

185

65% 0

- -

- -

- -

- -

- -

- -

- -

- -

- -

9 0

0% 0%

9 3.19% 0 20.93%

45% 2.50 45% 2.50

13 139% 0 0 255% 0

-

-

-

-

-

-

-

Sub-total

89,322

3

100% 89,789 0.00% 46 45% 2.50

384 499

0% 1 21% 0 43% 0 18% 0 41% 0

1

INSTITUTIONS

0.00 to <0.15 1,855

248

76% 2,399 0.04% 73% 65 0.17% 75% 172 0.31% 74% 125 0.52% 62% 343 1.81% 78% 134 3.53%

37% 2.50 34% 2.50 13% 2.50 22% 2.50 38% 2.50 45% 2.50

26 23 58

53

28 32 51

199

90 55 61

308

427 124% 2 213 158% 2

85

-

-

-

-

-

-

-

- -

-

-

0

0

100%

0

2.50

0% 0 39% 5

Sub-total

2,356

707

74% 3,239 0.41% 309 35% 2.50 1,249

5

138

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com