BPCE_PILLAR_III_2017

6 COUNTERPARTY RISK

Detailed quantitative disclosures

Detailed quantitative disclosures 6.3

The detailed quantitativedisclosureson counterpartyrisk presentedin the followingtables expands on the Pillar

III disclosurescontainedin the

previous section.

TABLE 46 – ANALYSIS OF COUNTERPARTY CREDIT RISK (CCR) EXPOSURE BY APPROACH ➡

12/31/2017

Replacement cost/current market value

Potential future credit exposure

EAD post

Notional

EEPE

Multiplier

CRM RWAs

in millions of euros

Mark tomarket

5,384

11,822

17,206 5,344

Originalexposure Standardized approach IMM (for derivativesand SFTs) Securitiesfinancingtransactions (SFTs) Derivatives and long settlement transactions From contractualcross-product netting Financialcollateralsimplemethod(for SFTs) Financialcollateralcomprehensive method(for SFTs)

20,817 2,077

VaR for SFTs TOTAL

7,421

12/31/2016

Replacement cost/current market value

Potential future credit exposure

EAD post

Notional

EEPE

Multiplier

CRM RWAs

in millions of euros

Mark to market

10,237

12,667

22,904 6,714

Originalexposure

-

-

-

Standardized approach

-

-

-

-

IMM (for derivativesand SFTs)

-

-

-

-

-

Securitiesfinancingtransactions (SFTs)

-

-

-

-

-

Derivatives and long settlement transactions

-

-

-

-

-

From contractualcross-product netting Financialcollateralsimplemethod(for SFTs) Financialcollateralcomprehensive method(for SFTs)

-

-

-

-

-

-

-

18,420 1,925

VaR for SFTs

-

-

TOTAL

8,639

134

Risk Report Pillar III 2017