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 SMES

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

769 654 417

200 416 217

49% 391 0.06% 68% 949 0.18% 66% 560 0.37% 56% 4,605 0.59% 56% 8,352 1.48% 55% 8,422 4.63% 53% 1,649 18.40% 71% 3,385 0.06% 63% 2,254 0.20% 75% 2,369 0.34% 72% 3,640 0.58% 69% 9,297 1.52% 68% 5,179 4.66% 62% 1,048 14.97% 43% 916

45% 2.50 43% 2.50 42% 2.50

76

19% 0 32% 1 48% 1 53% 11 77% 52

306 270

0.50 to <0.75 3,764 1,483 0.75 to <2.50 6,997 2,402 2.50 to <10.00 7,101 2,381

42% 2.50 2,446 42% 2.50 6,438

43% 2.50 8,718 104% 165 43% 2.50 2,553 155% 128

10.00 to <100.00 1,742

484 249

100.00 (default)

808

2.50

-

0% 389

5

Sub-total

22,253 7,833

56% 25,843 3.40% 108,370 43% 2.50 20,806

81% 747 668

CORPORATES – O/W: OTHER

0.00 to <0.15 2,886 0.15 to <0.25 1,628 0.25 to <0.50 1,915 0.50 to <0.75 2,959

796 947 597 899

44% 2.50

784

23% 1 46% 2 60% 4 76% 9

44% 2.50 1,033 44% 2.50 1,431 43% 2.50 2,753

0.75 to <2.50 7,677 2,284 2.50 to <10.00 4,381 1,178

43% 2.50 9,812 106% 60 43% 2.50 7,577 146% 102 42% 2.50 2,248 215% 66

10.00 to <100.00 1,827

365 450

100.00 (default)

1,455

36% 1,616

2.50

-

0% 708

Sub-total

24,729 7,516

67% 28,788 2.12% 44,577 43% 2.50 25,639

89% 952 1,193

EQUITY EXPOSURES 0.00 to <0.15 5,453

158

100% 5,611

18,192 324% 98 12 190% 0 1 190% 0 12 192% 0 362 303% 12 274 216% 2 28,812 339% 96 17 370% 0 47,682 332% 209

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

6 1 6

- - - - -

- - - - -

6 1 6

120 127

120 127

10.00 to <100.00 8,974

2

1

8,491

100.00 (default)

4

-

-

4

Sub-total

14,691

160

100% 14,366

TOTAL F-IRB

153,351 16,219 627,156 115,567

63% 162,026 1.04% 153,302 42% 2 95,762 50% 690,989 1.49% 30,066,384 23% 2 199,273

59% 1,913 1,867 29% 9,915 10,025

TOTAL

139

RISK REPORT PILLAR III 2020 | GROUPE BPCE