BPCE - 2018 Risk report / Pillar III

6 COUNTERPARTY RISK

Detailed quantitative disclosures

TABLE 53 – NOTIONAL AMOUNT OF DERIVATIVES ➡

12/31/2018 4,936,326 2,932,018 2,004,308

12/31/2017 5,364,139 3,289,491 2,074,648 1,000,508

in millionsof euros

TOTALNOTIONALVALUEOF DERIVATIVES o/w notional valueof derivativestraded withCCPs -

Notionalvalue of OTC derivatives o/w interestrate derivatives - o/w equityderivatives - o/w currencyderivatives - o/w credit derivatives - o/w interestrate derivatives - o/w equityderivatives - o/w currencyderivatives - o/w credit derivatives - Notionalvalue of clearedderivatives

941,846 153,100 885,738 13,666

139,792 896,539 17,993

2,932,018 2,710,193

3,289,491 3,081,168

189,456 15,740

165,862 16,485 17,456

9,444

TABLE 54 – CREDIT DERIVATIVE EXPOSURES ➡

12/31/2018

Protection bought

Protection sold Other credit derivatives

in millions of euros

Notional CDS

6,061

4,854

0 0 0 0 0 0 0 0 0 0

CLN TRS CDO

- - -

-

1,477

-

Index CDS

1,768 3,649

1,145 2,900

Other creditderivatives TOTALNOTIONALS

11,478

10,376

Fair values

-

-

Positivefair value(asset) Negativefair value(liability)

66

50

(121)

(108)

12/31/2017

Protection bought

Protection sold Other credit derivatives

in millions of euros

Notional CDS

5,935

5,051

0 0 0 0 0 0 0 0 0 0

CLN TRS CDO

- - -

-

1,189

-

Index CDS

1,962 9,438

1,110 7,796

Other credit derivatives TOTALNOTIONALS

17,335

15,147

Fair values

-

-

Positivefair value(asset) Negativefair value(liability)

76

221 (71)

(311)

148

Risk Report Pillar III 2018