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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