BPCE_PILLAR_III_2017

6 COUNTERPARTY RISK

Detailed quantitative disclosures

TABLE 50 – NOTIONAL AMOUNT OF DERIVATIVES ➡

12/31/2017 5,364,139 3,289,491 2,074,648 1,000,508

12/31/2016 5,965,401 3,534,622 2,430,693 1,269,877

in millionsof euros

TOTALNOTIONALVALUEOF DERIVATIVES o/w notional valueof derivativestraded withCCPs -

Notionalvalue of OTC derivatives o/w interestrate derivatives - o/w equityderivatives - o/w currencyderivatives - o/w credit derivatives - o/w interestrate derivatives - o/w equityderivatives - o/w currencyderivatives - o/w credit derivatives - Notionalvalue of clearedderivatives

139,792 896,539 17,993

141,672 957,307 48,165

3,289,491 3,081,168

3,534,708 3,436,385

165,862 16,485 17,456

61,992 19,099

7,467

TABLE 51 – CREDIT DERIVATIVE EXPOSURES ➡

12/31/2017

Other credit derivatives

Protection bought

Protection sold

Notional CDS

5,935

5,051

0 0 0 0 0 0 0 0 0 0

CLN TRS CDO

- - -

-

1,189

-

Index CDS

1,962 9,438

1,110 7,796

Other creditderivatives TOTALNOTIONALS

17,335

15,147

Fair values

-

-

Positivefair value(asset) Negativefair value(liability)

76

221 (71)

(311)

142

Risk Report Pillar III 2017