BPCE - 2018 Risk report / Pillar III

COUNTERPARTY RISK Counterparty risk management

CVA

exposure to a counterpartydue to the potential positive value of the contract, the counterparty’sprobability of default and the estimated

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

collection rate.

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 probabilityof default.

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Risk Report Pillar III 2018