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
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