BPCE - Risk Report - Pillar III 2020

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

12/31/2019

Exposure potential future credit exposure

Replacement cost/Current market value

Notional amount

EAD post-CRM

EEPE

Multiplier

RWAs

in millions of euros

Mark to market

1,651

5,893

7,544

2,019

Original exposure Standardized approach IMM

8,200

1.4

11,480

3,029

Securities financing transactions (SFTs) Derivatives and long settlement transactions From contractual cross-product netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (for SFTs)

22,103

2,055

6

VaR for SFTs TOTAL

7,103

CCR2 – REGULATORY CAPITAL REQUIREMENTS FOR THE CREDIT VALUATION ADJUSTMENT

12/31/2020

EAD post-CRM

RWAs

in millions of euros

Total portfolios subject to advanced method VaR component (including the 3× multiplier) • SVaR component (including the 3× multiplier) • Total portfolios subject to the standardized method

5,315

1,538

186

1,351

3,369 8,683

432

TOTAL PORTFOLIOS SUBJECT TO THE STANDARDIZED METHOD

1,969

12/31/2019

EAD post-CRM

RWAs

in millions of euros

Total portfolios subject to advanced method VaR component (including the 3× multiplier) • SVaR component (including the 3× multiplier) • Total portfolios subject to the standardized method

4,574

1,001

244 757 650

3,788 8,361

TOTAL PORTFOLIOS SUBJECT TO THE STANDARDIZED METHOD

1,650

149

RISK REPORT PILLAR III 2020 | GROUPE BPCE