BPCE - Risk Report - Pillar III 2020

5

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

CR8 – RWA FLOW STATEMENTS OF EXPOSURES UNDER IRB

RWAs

Capital requirements

in millions of euros 12/31/2019 Asset size Asset quality Model updates

203,785 10,861

16,303

869 197

2,457

(2,900)

(232)

Methodology and policy

(700)

(56)

Acquisitions and disposals Foreign exchange movements

(663) (632)

(53) (51)

Guarantees

Other

873

70

12/31/2020

213,081

17,046

BPCE20 – AVERAGE PD AND LGD BY GEOGRAPHIC AREA

12/31/2020

Non-defaulted exposures

Average PD

Average LGD

in millions of euros

France

491,066 14,062 37,473 38,063 12,109

1.7% 0.0% 0.7% 0.7% 0.3% 0.9% 0.7% 1.5% 1.7% 0.0% 0.8% 0.1% 0.2% 2.5% 0.1% 0.8%

15.6%

European Institutions Europe (excl. France) North & South America

7.1%

24.8% 17.7% 33.7% 29.9% 29.2% 16.5%

Asia

Africa and the Middle East

7,951 1,349

Oceania

IRBA France

602,072 109,024 116,444

European Institutions Europe (excl. France) North & South America

7,968

10,588

Asia

718

Africa and the Middle East

1,506

Oceania

89

IRBF

246,337 848,410

TOTAL

142

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com