BPCE_PILLAR_III_2017

APPENDICES Index to tables in Pillar III report

Pillar III report Table no.

Pillar III report Table no.

Title

COUNTERPARTYRISK Table 43

Breakdownof gross counterparty riskexposures byasset class(excluding otherassets)and method Breakdownby exposureclass of risk-weightedassets for the creditvaluationadjustment(CVA)

132 132 133 134 135 136 138 142 142 147 147 148 149 150 151 152 153 154 161 161 162 162 162 163 163 164 165 165 166 166 167 167 168 168 173 173 174 176 179 180

Table 44 Table 45 Table 46 Table 47 Table 48 Table 49 Table 50 Table 51 Table 53 Table 54 Table 55 Table 56 Table 57 Table 58 Table 59 Table 60 Table 62 Table 63 Table 64 Table 65 Table 66 Table 67 Table 68 Table 69 Table 70 Table 71 Table 72 Table 73 Table 74 Table 75 Table 76 Table 78 Table 79 Table 80 Table 81 Table 82

Counterpartyrisk relatedto derivative andrepurchaseagreementexposures Analysisof counterpartycredit risk(CCR)exposure byapproach Regulatory capital requirements for the Credit ValuationAdjustment Standardized approach – CCR exposures by regulatoryportfolioand risk

IRB Approach – CCRexposures by portfolioand PDscale

Notional amountof derivatives Credit derivative exposures

SECURITIZATION Table 52

Breakdownof exposures bytype of securitization Breakdownof EAD and RWA by typeof portfolio

Breakdownof investorsecuritization exposures in the banking book Breakdownof investorand sponsorsecuritization exposures in the tradingbook

Banking book – Securitization exposures (EAD)

Banking book– Securitization exposures and associated regulatorycapitalrequirements(originator and sponsor positions) Banking book– Securitization exposures and associated regulatorycapitalrequirements(investorpositions)

Banking book– Breakdownof securitization exposures

Trading book– Securitization exposures

MARKET RISKS Table 61

Breakdownby risk class

Change

Main hypothetical stresstests Main historical stresstests Groupstress test average in 2017

RWA and capital requirements by type of risk Change in risk-weightedassets by impact

Risk-weighted assetsunder thestandardizedapproach

VaR, SVaRand IRC– Regulatory scope

Backtesting – Regulatoryscope

Marketrisks underthe IMA

Overall Natixis VaR – trading book (1-day 99% VaR) VaR breakdownby risk class and netting effect

Natixis stressed VaR

IRC indicator

Stress test results for Natixis

LIQUIDITY,INTERESTRATEANDFOREIGN EXCHANGERISKS Table 77 Liquidityreserves

Liquiditygaps

Sourcesand uses of funds bymaturity

Interestrate gap

DetailedLCR at12/31/2017 2017 encumberedassets

OTHER RISKS Table 83

CEGC outstandings

206

14

213

Risk Report Pillar III 2017