BPCE - Risk Report - Pillar III 2020

COUNTERPARTY RISK

DETAILED QUANTITATIVE DISCLOSURES

CCR8 – EXPOSURE TO CCPS

12/31/2020

EAD post CRM

RWAs

in millions of euros

Exposures to QCCPs (1) (total)

491 212

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); o/w

10,611

(i) OTC derivatives

1,887 5,302 3,422

38

(ii) Exchange-traded derivatives

106

(iii) SFTs

68

(iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

1,352

33

Exposures to non-QCCPs (total)

338

246

Exposures to non-QCCPs (total) Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); o/w (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

6

Pre-funded default fund contributions Unfunded default fund contributions Qualifying Central Clearing Counterparties. (1)

12/31/2019

EAD post CRM

RWAs

in millions of euros

Exposures to QCCPs (total)

621 237

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); o/w

11,822

(i) OTC derivatives

1,276 6,717 3,828

26

(ii) Exchange-traded derivatives

135

(iii) SFTs

77

(iv) Netting sets where cross-product netting has been approved

- -

Segregated initial margin Non-segregated initial margin

3,069

63

Pre-funded default fund contributions

375

320

Exposures to non-QCCPs (total) Exposures for trades at QCCPs (excluding initial margin and default fund contributions); o/w (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

Pre-funded default fund contributions Unfunded default fund contributions

159

RISK REPORT PILLAR III 2020 | GROUPE BPCE