BPCE - 2018 Risk report / Pillar III

APPENDICES Index to Pillar III Report tables

Pillar III report Table No.

Pillar III report Page No.

Title

COUNTERPARTY CREDIT RISK Table 46 Breakdownof gross counterparty riskexposures byasset class(excluding otherassets)and method Table 47 Breakdownby exposureclass of risk-weightedassets for the creditvaluationadjustment(CVA)

138 138 139 140 141 142 144 148 148 149 155 155 156 157 158 159 160 161 161 169 169 170 170 170 171 171 172 173 173 174 174 175 175 176 176 181 181 182 184 187 188

Table 48 Counterpartyrisk relatedto derivative andrepurchaseagreementexposures

Table 49 Analysisof counterpartycredit risk(CCR)exposure byapproach Table 50 Regulatory capital requirements for the Credit ValuationAdjustment Table 51 Standardized approach – CCR exposures by regulatoryportfolioand risk Table 52 IRB Approach – CCRexposures by portfolioand PDscale

Table 53 Notional amountof derivatives Table 54 Credit derivativesexposures

Table 55 Exposures toCCPS

SECURITIZATION Table 56 Breakdownof exposures bytype of securitization Table 57 Breakdownof EAD and RWA by typeof portfolio

Table 58 Breakdownof investorsecuritization exposures in the banking book Table 59 Breakdownof investorand sponsorsecuritization exposures in the tradingbook

Table 60 Banking book– Securitization exposures (EAD)

Banking book– Securitization exposures and associated regulatorycapitalrequirements(originator and sponsor positions)

Table 61

Table 62 Banking book– Securitization exposures and associated regulatory Table 63 Banking book– Breakdownof securitization exposures

capitalrequirements(investorpositions)

Table 64 Trading book– Securitization exposures

MARKET RISKS Table 65 Breakdownby risk class

Table 66 Change

Table 67 Main hypothetical stresstests Table 68 Main historical stresstests Table 69 Groupstress test averagefor 2018 Table 70 RWA and capital requirements by type of risk Table 71 Change in risk-weightedassets by impact Table 72 Risk-weighted assetsunder thestandardizedapproach

Table 73 VaR, SVaRand IRC– Regulatory scope Table 74 Backtesting – Regulatory scope

Table 75 Market risks underthe IMA

Table 76 Overall Natixis VaR – trading book (1-day 99% VaR) Table 77 VaR breakdownby risk class and netting effect

Table 78 Natixis stressed VaR

Table 79 IRC indicator

Table 80 Stress test results for Natixis

LIQUIDITY,INTEREST RATE ANDFOREIGN EXCHANGE RISKS Table 81 Liquidityreserves

Table 82 Liquiditygaps

Table 83 Sourcesand uses of funds bymaturity

Table 84 Interestrate gap

Table 85 DetailedLCR at12/31/2018 Table 86 2018 encumberedassets

OTHER RISKS Table 87 CEGC outstandings

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Risk Report Pillar III 2018