BPCE - Risk Report - Pillar III 2020

6

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

CCR4 – IRB APPROACH – CCR EXPOSURES BY PORTFOLIO AND PD SCALE

12/31/2020

EAD post CRM and post CCF

Number of obligors Average LGD

Maturity average

PD scale

Average PD

RWAs RWA density

in millions of euros

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0.00 to <0.15 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) 0.00 to <0.15 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) 0.00 to <0.15 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)

8,437

0.01% 0.21% 0.38%

17% 37% 47%

1.49 0.14 4.31

25 60 16

0%

299

20% 90%

17

36

3.19%

47%

3.75

58

162%

Sub-total

8,790

0.03% 0.04% 0.17% 0.31% 0.52% 1.16% 2.95% 0.08% 0.00% 0.19% 0.39% 0.64% 1.43% 3.89% 11.83%

74

18% 19% 28% 27% 33% 52% 58% 20% 44% 44% 44% 44% 43% 31% 44% 0%

1.46 1.05 1.11 1.80 1.10 0.84 1.04 1.09 5.00 1.10 1.24 3.98 2.95 2.53 3.09 1.20 3.02

158 794 226 248

2% 6%

INSTITUTIONS

12,293

952 665 134 102

24% 37% 53%

71

117

115% 174%

28

49

1

0%

Sub-total

14,175

640

1,506

11%

CORPORATES – O/W SMES

0 1 3

0%

0 1

27% 49% 97%

26 23 22 26

25 25 22 57

109% 101% 216% 199% 132%

4

8

Sub-total

104

4.44%

293

41%

138

152

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com