BPCE - 2019 RISK REPORT Pillar III

6

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

TABLE 57 – NOTIONAL AMOUNT OF DERIVATIVES

12/31/2019 4,989,109 3,072,173 1,916,936

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

in millions of euros

TOTAL NOTIONAL VALUE OF DERIVATIVES o/w notional value of derivatives traded with CCPs •

Notional value of OTC derivatives

o/w interest rate derivatives • o/w equity derivatives • o/w currency derivatives • o/w credit derivatives • o/w interest rate derivatives • o/w equity derivatives • o/w currency derivatives • o/w credit derivatives •

901,057 164,893 826,380 15,276

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

Notional value of cleared derivatives

3,072,173 2,876,640

2,932,018 2,710,193

158,621 18,214 11,410

189,456 15,740

9,444

TABLE 58 – CREDIT DERIVATIVE EXPOSURES

12/31/2019

Other credit derivatives

Protection bought

Protection sold

in millions of euros

Notional CDS

8,140

7,927

CLN TRS CDO

-

-

- - - - -

134

2,282

- -

- -

Index CDS

Other credit derivatives

4,632

2,053

CDS Single Name Hedge CVA

178

26

TOTAL NOTIONALS

13,084

12,288

- -

Fair values

-

-

Positive fair value (asset) Negative fair value (liability)

8

196 (50)

- -

(313)

12/31/2018

Other credit derivatives

Protection bought

Protection sold

in millions of euros

Notional CDS

6,061

4,854 1,477

- - - - - -

CLN TRS CDO

- -

-

1,768 3,649

1,145 2,900

Index CDS

Other credit derivatives TOTAL NOTIONALS Fair values Positive fair value (asset) Negative fair value (liability)

11,478

10,376

-

-

-

66

50

(121)

(108)

-

148

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com