BPCE - Risk Report - Pillar III 2020

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

12/31/2019

Non-defaulted exposures

Average PD

Average LGD

in millions of euros

France

445,871

1.9% 0.0% 0.6% 0.6% 0.3% 0.8% 0.6% 1.6% 1.9% 0.0% 0.6% 0.1% 0.1% 3.1% 0.6% 1.0%

17.0%

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

7,373

7.1%

39,468 39,202 16,420 10,221 559,949 95,405 53,387 1,394

23.2% 18.8% 26.5% 23.9% 27.5% 17.7%

Asia

Africa and the Middle East

Oceania

IRBA France

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

5

7,787 7,464 1,072 1,352

Asia

Africa and the Middle East

Oceania

80

IRBF

166,547 726,496

TOTAL

BPCE21 – BACKTESTING OF LGDS BY EXPOSURE CLASS

Estimated probability of default

Actual default rate

Actual EAD/ Estimated EAD

Actual CCF/ Estimated CCF

Portfolio

Estimated LGD

Actual LGD

Sovereigns

0.37% 0.18% 0.55% 3.19% 4.44% 1.52%

2.23% 0.49% 0.66% 3.69% 5.31% 2.08%

65.20% 58.37% 32.77%

40.20% 29.33% 29.64%

N/A N/A N/A N/A

65.95% 65.95% 65.95%

Banks

Very large corporates

SMEs and ISEs

N/A

N/A

N/A

Retail – Professional customers Retail – Individual customers

25.59% 21.06%

16.00% 14.03%

77.74% 83.17%

60.88% 74.07%

This table provides a general summary of the backtesting over an extended period and for a significant, representative system’s performance but differs from the Group’s annual percentage of each exposure class. The results come from data backtests, which are conducted on a model-by-model basis and warehouses used for modeling purposes, based on all not overall by portfolio. However, the table can be used to performing exposures for default rates and PDs, and on all compare estimates and actual results for each internal input customers in default for LGD and EAD.

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RISK REPORT PILLAR III 2020 | GROUPE BPCE