BPCE - Risk Report - Pillar III 2020

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

12/31/2020

EAD post CRM and post CCF

Number of obligors Average LGD

Average maturity

PD scale

Average PD

RWAs RWA density

in millions of euros

CORPORATES – O/W: SPECIALIZED LENDING

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)

225 257 422 775 888

0.09% 0.17% 0.31% 0.52% 1.27% 3.06% 0.72% 0.04% 0.17% 0.31% 0.60% 1.37% 4.00% 12.82%

16% 11% 13% 14% 17% 14% 15% 36% 34% 36% 42% 39% 40% 36%

4.70 3.67 3.93 3.77 3.57 3.73 2.95 3.79 0.79 2.00 1.79 1.62 1.35 1.50 3.44 2.20 1.08 1.15 1.53 1.89 1.44 4.44 1.00 2.21

36 33 87

16% 13% 21% 29% 44% 49%

225 389

57

28

32

47

150%

Sub-total

2,655

482

844 941 282 226 414 840 346 105

32%

CORPORATES – O/W: OTHER

10,438

9%

951 585 639

30% 39% 65% 81%

1,963

1,596

6

704 188

119% 184% 151%

69

Sub-total

15,538

0.59%

2,416

36%

4,749

31%

OTHER EXPOSURES – O/W SMES

1 0 1 0 1 0 3

0.44% 0.52% 1.53% 4.66% 27.37%

45% 45% 45% 45% 45%

0 0 0 0 1

32% 35% 55% 70%

117%

0%

Sub-total

8.10%

142

45%

2

65%

153

RISK REPORT PILLAR III 2020 | GROUPE BPCE