BPCE - 2019 RISK REPORT Pillar III

6

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

TABLE 48 – COUNTERPARTY RISK RELATED TO DERIVATIVE AND REPURCHASE AGREEMENT EXPOSURES

12/31/2019

12/31/2018

Standardized

IRB

Total

Standardized

IRB

Total

in millions of euros

Derivatives Central banks and other sovereign exposures

-

222

222

-

692 462 135

692 524

Central governments

43

1,155

1,198 1,287

61

Public sector and similar entities

1,153

134

921

1,055

Institutions Corporates

13,920

6,340 9,032

20,260

16,568

6,631 7,312

23,199

626

9,658

547

7,858

Retail

3

2

5

3

3

7

Securitization

88

1,645

1,733

47

1,613

1,660

TOTAL

15,833

18,530

34,363

18,147

16,849

34,996

Repurchase agreements Central banks and other sovereign exposures

-

784

784

-

3,246 2,147

3,246 2,216

Central governments

195

1,398

1,593

69 47

Public sector and similar entities

10

-

10

-

47

Institutions Corporates

4,220

9,150

13,370 10,562

3,770

7,561 8,651

11,331

254

10,308

964

9,615

Retail

- -

0

0

- -

- -

- -

Securitization

-

-

TOTAL

4,679

21,640

26,319

4,850

21,606

26,456

Detailed quantitative disclosures 6.3

The detailed quantitative disclosures on counterparty risk presented in the following tables expand on the Pillar III disclosures contained in the previous section.

TABLE 53 – ANALYSIS OF COUNTERPARTY CREDIT RISK (CCR) EXPOSURE BY APPROACH

12/31/2019

Replacement cost/Current market value

Potential future credit exposure

Notional

EEPE

Multiplier EAD post-CRM

RWAs

in millions of euros

Mark to market

1,651

5,893

7,544

2,019

Original exposure Standardized approach IMM (for derivatives and SFTs) Securities financing transactions (SFTs) Derivatives and long settlement transactions From contractual cross-product netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (for SFTs)

8,200

1

11,480

3,029

22,103

2,055

VaR for SFTs TOTAL

7,103

138

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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