BPCE - Risk Report - Pillar III 2020

CREDIT RISKS

RISK MEASUREMENT AND INTERNAL RATINGS

Risk measurement and internal ratings 5.2

Current situation

BPCE12 – SCOPE OF STANDARDIZED AND IRB METHODS USED BY THE GROUP

Crédit Foncier/Banque Palatine/BPCE International

Banque Populaire network

Caisse d’Epargne network

Customer segment

Natixis

BPCE SA

Central banks and other sovereign exposures

IRBF IRBF

Standardized Standardized Standardized Standardized

Standardized Standardized Standardized Standardized Standardized Standardized

IRBA IRBA

IRBF IRBF

Central governments

5

Public sector, similar entities

Standardized

Standardized IRBA/Standard IRBA/Standard Standardized

Standardized

Institutions

IRBF

IRBF

Corporates (Rev.* > €3m)

F-IRB/Standardized F-IRB/Standardized

Standardized

Retail

IRBA

IRBA

Rev.: revenues. * The Oney subsidiary is approved for credit models applicable to retail customers in France. The Portugal, Spain, Russia, Hungary and Poland scopes use the standardized approach.

BPCE13 – BREAKDOWN OF EAD BY APPROACH FOR THE MAIN CUSTOMER SEGMENTS

12/31/2020

12/31/2019

EAD

EAD

Standardized

IRBF 57% 34%

IRBA 12% 27% 40% 38% 89% 51% 1%

Standardized

IRBF 48% 35%

IRBA 12% 23% 36% 41% 87% 52% 1%

in %

Central banks and other sovereign exposures

32% 39% 98% 51% 39% 11% 31%

40% 43% 99% 54% 39% 13% 34%

Central governments

Public sector and similar entities

0% 9%

0%

Institutions Corporates

10% 20%

23%

Retail

0%

0%

TOTAL

19%

14%

Rating system

Internal rating system models are developed based on historical data for observed defaults and losses. They are used to measure the credit risks to which Groupe BPCE is exposed, expressed as a one-year probability of default (PD), as a Loss Given Default (LGD) and as Credit Conversion Factors (CCF), depending on the characteristics of the transactions.

These internal rating systems are also applied to risk supervision, authorization systems, internal limits on counterparties, etc., and may also serve as a basis for other processes, such as statistical provisioning. The resulting risk metrics are then used to calculate capital requirements, once they have been validated by the supervisory authority in compliance with regulatory requirements.

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RISK REPORT PILLAR III 2020 | GROUPE BPCE