BPCE - Risk Report - Pillar III 2020

6

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

– NOTIONAL AMOUNT OF DERIVATIVES

12/31/2020 6,160,164 4,328,373 1,831,791

12/31/2019 4,989,109 3,072,173 1,916,936

in millions of euros

TOTAL NOTIONAL VALUE OF DERIVATIVES o/w notional value of derivatives traded with CCPs •

Notional value of OTC derivatives

o/w interest rate derivatives • o/w equity derivatives • o/w currency derivatives • o/w credit derivatives • o/w interest rate derivatives • o/w equity derivatives • o/w currency derivatives • o/w credit derivatives •

855,441 118,215 820,498 16,790

901,057 164,893 826,380 15,276

Notional value of cleared derivatives

4,328,373 4,166,703

3,072,173 2,876,640

114,899 17,708 24,543

158,621 18,214 11,410

CCR6 – CREDIT DERIVATIVE EXPOSURES

12/31/2020

Other derivatives of credit

Protection bought

Protection sold

in millions of euros

Notional CDS

8,315

11,503

CLN TRS CDO

-

- - - -

- - - - -

2,974

- -

Index CDS

Other credit derivatives

11,041

5,602

CDS Single Name Hedge CVA TOTAL NOTIONALS Fair values Positive fair value (asset) Negative fair value (liability)

424

234

22,755

17,340

-

8

439

- -

(591)

(4)

12/31/2019

Other derivatives of credit

Protection bought

Protection sold

in millions of euros

Notional CDS

8,140

7,927

CLN TRS CDO

-

-

- - - -

134

2,282

- -

- -

Index CDS

Other credit derivatives CDS Single Name Hedge CVA TOTAL NOTIONALS Fair values Positive fair value (asset) Negative fair value (liability)

178

26

-

13,084

12,288

-

8

196 (50)

- -

(313)

158

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com