BPCE - 2018 Registration document

RISK REPORT Counterparty risk

CVA

exposure to a counterparty due to the potential positive value of the contract, the counterparty’s Probability of Default and the estimated

The valuation of financial instruments traded over-the-counter by collection rate. Groupe BPCE with external counterparties in its capital markets businesses (mainly Natixis) and ALM activities include credit valuation adjustments. The CVA is an adjustment to the valuation of the trading book aimed at factoring in counterparty credit risks. It thus reflects the expectation of loss in fair value terms on the existing

The level of the CVA varies according to changes in exposure to existing counterparty risk and in the counterparty’s credit rating, which may trigger changes in the CDS spread used to determine Probability of Default.

6.6.2

Quantitative disclosures

BREAKDOWN OF GROSS COUNTERPARTY RISK EXPOSURES BY ASSET CLASS (EXCLUDING OTHER ASSETS) AND METHOD ➡

12/31/2018

31/12/2017

Standardized

IRB

Total

Total

Exposure

EAD

RWA Exposure

EAD

RWA Exposure

Exposure

EAD

RWA

in millions of euros

Central banks and other sovereign exposures

-

-

- -

3,938 3,938 2,610 2,574

161 3,938 4,086 4,086 27 2,740 2,283 2,248 1 1,102 1,050 1,050

91 13

Central governments

130

130

Public sector and similar entities

967 1,042

273

135

135

200

Institutions Corporates

20,338 18,931 1,397 14,193 14,193 3,213 34,530 41,559 39,993 4,459

1,511 1,423

931 15,963 15,946 4,400 17,473 17,998 15,266 4,928

Retail

3

3

2

3

3

2

7

7

7

6

Equity exposures

-

-

-

-

-

-

-

-

-

-

Securitization

47

47

14 1,613 1,613

267 1,660 1,489 1,489

285

TOTAL

22,996 21,578 2,617 38,455 38,402 8,072 61,451 68,471 64,138 9,983

The majority of counterparty risk is incurred in the “Institutions” asset class (61% of exposures).

BREAKDOWN BY EXPOSURE CLASS OF RISK-WEIGHTED ASSETS FOR THE CREDIT VALUATION ADJUSTMENT (CVA) ➡

6

12/31/2018

12/31/2017

in millions of euros

Central banks and other sovereign exposures

- - -

- - -

Central governments

Public sector and similar entities

Institutions Corporates

1,807

1,418

509

430

Retail

- - - -

- - - -

Equity exposures

Securitization Other assets

TOTAL

2,317

1,848

659

Registration document 2018