BPCE_PILLAR_III_2017

COUNTERPARTY RISK Detailed quantitative disclosures

TABLE 47 – REGULATORY CAPITAL REQUIREMENTS FOR THE CREDIT VALUATION ADJUSTMENT ➡

12/31/2017

EAD post-CRM

RWAs

in millions of euros

Total portfoliossubject tothe advanced method VaR component(includingthe 3× multiplier) - SVaR component(includingthe 3× multiplier) - Total portfoliossubject tothe standardizedmethod

9,578 9,578

1,848 1,848

TOTALPORTFOLIOSSUBJECTTO THE STANDARDIZEDMETHOD

12/31/2016

EAD post-CRM

RWAs

in millions of euros

Total portfoliossubject tothe advanced method VaR component(includingthe 3× multiplier) - SVaR component(includingthe 3× multiplier) - Total portfoliossubject tothe standardizedmethod

12,437 12,437

4,955 4,955

6

TOTALPORTFOLIOSSUBJECTTO THE STANDARDIZEDMETHOD

135

Risk Report Pillar III 2017