BPCE - 2019 RISK REPORT Pillar III

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

12/31/2018

Replacement cost/Current market value

Potential Future credit exposure

EAD post-CRM RWAs

Notional

EEPE Multiplier

in millions of euros

Mark to market

1,125

5,635

6,760

2,290

Original exposure Standardized approach IMM (for derivatives and SFTs)

7,831

1

10,963

2,363

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)

22,600

2,410

VaR for SFTs TOTAL

7,063

6

TABLE 54 – REGULATORY CAPITAL REQUIREMENTS FOR THE CREDIT VALUATION ADJUSTMENT

12/31/2019

EAD post-CRM

RWAs

in millions of euros

Total portfolios subject to advanced method VaR component (including the 3× multiplier) • SVaR component (including the 3× multiplier) • Total portfolios subject to the standardized method

4,574

1,001

244 757 650

3,788 8,361

TOTAL PORTFOLIOS SUBJECT TO THE STANDARDIZED METHOD

1,650

12/31/2018

EAD post-CRM

RWAs

in millions of euros

Total portfolios subject to advanced method VaR component (including the 3× multiplier) SVaR component (including the 3× multiplier) Total portfolios subject to the standardized method

4,193

1,014

98

916

4,331 8,525

1,303 2,317

TOTAL PORTFOLIOS SUBJECT TO THE STANDARDIZED METHOD

139

RISK REPORT PILLAR III 2019 | GROUPE BPCE