BPCE - 2018 Risk report / Pillar III

6 COUNTERPARTY RISK

Detailed quantitative disclosures

Detailed quantitative disclosures 6.3

The detailed quantitativedisclosureson counterpartyrisk presentedin the following tables expand on the Pillar

III disclosurescontainedin the

previous section.

TABLE 49 – ANALYSIS OF COUNTERPARTY CREDIT RISK (CCR) EXPOSURE BY APPROACH ➡

12/31/2018

Replacement cost/current market value

Potential future credit exposure

EAD post

Notional

EEPE Multiplier

CRM RWAs

in millions of euros Mark tomarket

1,125

5,635

6,760

2,290

Originalexposure Standardized approach IMM (for derivativesand SFTs)

7,831

1

10,963

2,363

Securitiesfinancingtransactions (SFTs) Derivatives and long settlementransactions From contractualcross-product netting Financialcollateralsimplemethod(for SFTs) Financialcollateralcomprehensive method (for SFTs)

22,600

2,410

VaR for SFTs

-

-

TOTAL

7,063

12/31/2017

Replacement cost/current market value

Potential future credit exposure

EAD post

Notional

EEPE Multiplier

CRM RWAs

in millions of euros Mark tomarket

5,384 11,822

17,206

5,344

Originalexposure Standardized approach IMM (for derivativesand SFTs) Securitiesfinancingtransactions (SFTs) Derivatives and long settlementransactions From contractualcross-product netting Financialcollateralsimplemethod(for SFTs) Financialcollateralcomprehensive method (for SFTs)

20,817

2,077

VaR for SFTs TOTAL

7,421

140

Risk Report Pillar III 2018