BPCE - Risk Report - Pillar III 2020

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

12/31/2019

EAD post CRM and post CCF

Number of obligors Average LGD

Average maturity

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)

3,722

0.00% 0.21% 0.38% 0.00% 0.00% 3.19% 0.00% 0.00% 0.05% 0.04% 0.17% 0.31% 0.52% 1.15% 2.85% 0.00% 0.00% 0.08% 0.03% 0.19% 0.38% 0.63% 1.44% 3.40% 11.74% 0.00% 5.61%

16% 37% 47%

1.56 0.21 5.00

31

1%

24 14

5

21% 98%

13

0% 0%

0% 0%

45

47%

3.38

70

157%

0% 0%

0% 0% 3% 6%

Sub-total

3,804

70

16% 19% 30% 30% 36% 62% 50% 21% 44% 44% 44% 44% 44% 43% 44% 0% 0%

1.58 1.09 1.62 1.74 1.09 0.92 1.30 1.14 3.23 1.34 1.38 1.31 3.49 3.87 3.86 3.42 3.42

119 725 225 155

INSTITUTIONS

11,323

751 384 123

30% 40% 59%

73 95 67

74 44

129% 153%

6

0% 0%

Sub-total

12,699

675

1,340

11% 18% 33% 49% 63%

CORPORATES – O/W SMES

2 0 6 9

0 0 3 6

14 35 37

16 53 84

117% 152% 226% 173% 157%

1

0%

2

Sub-total

105

321

44%

165

155

RISK REPORT PILLAR III 2020 | GROUPE BPCE