BPCE - 2018 Risk report / Pillar III

COUNTERPARTY RISK Detailed quantitative disclosures

TABLE 50 – REGULATORY CAPITAL REQUIREMENTS FOR THE CREDIT VALUATION ADJUSTMENT ➡

12/31/2018

EAD post-CRM

RWAs 1,014

in millions of euros

Total portfoliossubject toadvancedmethod VaR component(includingthe 3× multiplier) - SVaR component(includingthe 3× multiplier) - Total portfoliossubject tostandardizedmethod

4,193

98

916

4,331 8,525

1,303 2,317

TOTALPORTFOLIOSSUBJECTTO CVAREQUIREMENT

12/31/2017

EAD post-CRM

RWAs

in millions of euros

Total portfoliossubject toadvancedmethod VaR component(includingthe 3× multiplier) - SVaR component(includingthe 3× multiplier) - Total portfoliossubject tostandardizedmethod

9,578 9,578

1,848 1,848

6

TOTALPORTFOLIOSSUBJECTTO CVAREQUIREMENT

141

Risk Report Pillar III 2018