BPCE - 2018 Risk report / Pillar III
6 COUNTERPARTY RISK
Detailed quantitative disclosures
Detailed quantitative disclosures 6.3
The detailed quantitativedisclosureson counterpartyrisk presentedin the following tables expand on the Pillar
III disclosurescontainedin the
previous section.
TABLE 49 – ANALYSIS OF COUNTERPARTY CREDIT RISK (CCR) EXPOSURE BY APPROACH ➡
12/31/2018
Replacement cost/current market value
Potential future credit exposure
EAD post
Notional
EEPE Multiplier
CRM RWAs
in millions of euros Mark tomarket
1,125
5,635
6,760
2,290
Originalexposure Standardized approach IMM (for derivativesand SFTs)
7,831
1
10,963
2,363
Securitiesfinancingtransactions (SFTs) Derivatives and long settlementransactions From contractualcross-product netting Financialcollateralsimplemethod(for SFTs) Financialcollateralcomprehensive method (for SFTs)
22,600
2,410
VaR for SFTs
-
-
TOTAL
7,063
12/31/2017
Replacement cost/current market value
Potential future credit exposure
EAD post
Notional
EEPE Multiplier
CRM RWAs
in millions of euros Mark tomarket
5,384 11,822
17,206
5,344
Originalexposure Standardized approach IMM (for derivativesand SFTs) Securitiesfinancingtransactions (SFTs) Derivatives and long settlementransactions From contractualcross-product netting Financialcollateralsimplemethod(for SFTs) Financialcollateralcomprehensive method (for SFTs)
20,817
2,077
VaR for SFTs TOTAL
7,421
140
Risk Report Pillar III 2018
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