BPCE - 2018 Risk report / Pillar III

COUNTERPARTY RISK Detailed quantitative disclosures

TABLE 55 – EXPOSURES TO CCPS ➡

EAD post CRM

RWAs

(in millionsof euros)

Exposures toQCCPs (1) (total)

765

Exposures for tradesat QCCPs(excluding initialmargin and default fundcontributions);of which

13,600

270

OTC derivatives (i)

1,672 8,492 3,437

32

Exchange-trade derivatives (ii)

169

SFTs (iii)

69

Netting setswhere cross-productnettinghas beenapproved (iv) Segregatedinitial margin Non-segregated initial margin

4,143

87

Prefunded default fund contributions

349

407

Exposures tonon-QCCPs(total) Exposures for tradesat non-QCCPs(excluding initialmargin and default fundcontributions);of which OTC derivatives (i) Exchange-trade derivatives (ii) SFTs (iii) Netting setswhere cross-productnettinghas beenapproved (iv) Segregatedinitial margin Non-segregated initial margin

6

Prefunded default fund contributions Unfunded default fundcontributions QualifyingCentralClearingCounterparty (1)

149

Risk Report Pillar III 2018