BPCE - Risk Report - Pillar III 2020

6

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

OTHER EXPOSURES – O/W NON-SMES

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) 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 0 0 0 0 0 0 0 0

0.08% 0.24% 0.25% 0.67% 2.28% 4.98% 13.74%

45% 45% 45% 45% 45% 45% 45% 45% 26% 45%

1.10 3.50 1.00 1.00 1.01 1.00 4.21 1.00 1.03 1.34 2.50

0 0 0 0 0 0 0

9%

22% 22% 40% 63% 70% 90%

0%

Sub-total

1.22% 0.31% 0.00%

70

0

35% 18%

TOTAL A-IRB

41,265

4,117

7,397

CENTRAL GOVERNMENTS OR CENTRAL BANKS

9

0%

Sub-total

9

0.00% 0.06% 0.17% 0.31% 0.64% 1.90% 2.73% 0.00% 0.08% 0.07% 0.22% 0.38% 0.60% 1.37% 4.34% 20.91% 2.38% 0.07% 0.17% 0.31% 0.59% 1.24% 4.47% 13.27%

3

45% 43% 45% 45% 45% 45% 45% 43% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 45% 44% 27%

2.50 0.96 0.97 2.50 2.50 0.54 0.50 2.50 1.01 2.50 2.50 2.50 2.50 2.50 2.50 2.50 2.50 2.50 1.87 0.82 0.71 2.44 0.97 2.17 1.81 0.52 1.60 1.24 1.33

0%

2,136

328

15% 38% 77% 82%

INSTITUTIONS

13

5 7 0

9 1

14

17

116% 136%

6

8

62

0%

Sub-total

2,242

116

365

16% 20% 40% 58% 65% 89%

CORPORATES – O/W SMES

1 2 3

0 1 2 7

10 21 15

19 19

124% 199%

1 1

2

0%

Sub-total

55

452

49

90% 21% 28% 50% 80% 88%

CORPORATES – O/W: OTHER

852

182

29 20

8

10

8

6

115

102

17 13

25 27

147% 208%

126

0%

Sub-total

1,181 3,486

0.44% 0.23% 0.31%

442

360 774

30% 22% 18%

TOTAL F-IRB

1,013 5,130

TOTAL

44,751

8,171

154

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com