BPCE - 2019 RISK REPORT Pillar III
COUNTERPARTY RISK
DETAILED QUANTITATIVE DISCLOSURES
TABLE 59 – EXPOSURES TO CCPS
12/31/2019
EAD post CRM
RWAs
in millions of euros
Exposures to QCCPs (1) (total)
621 237
Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which
11,822
(i) OTC derivatives
1,276 6,717 3,828
26
(ii) Exchange-traded derivatives
135
(iii) SFTs
77
(iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin
3,069
63
Pre-funded default fund contributions
375
320
Exposures to non-QCCPs (total) Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin
6
Pre-funded default fund contributions Unfunded default fund contributions Qualifying Central Clearing Counterparties. (1)
12/31/2018
EAD post CRM
RWAs
in millions of euros
Exposures to QCCPs (total)
765 270
Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which
13,600
(i) OTC derivatives
1,672 8,492 3,437
32
(ii) Exchange-traded derivatives
169
(iii) SFTs
69
(iv) Netting sets where cross-product netting has been approved
- -
Segregated initial margin Non-segregated initial margin
4,143
87
Pre-funded default fund contributions
349
407
Exposures to non-QCCPs (total) Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin
Pre-funded default fund contributions Unfunded default fund contributions:
149
RISK REPORT PILLAR III 2019 | GROUPE BPCE
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