BPCE - 2018 Risk report / Pillar III
6 COUNTERPARTY RISK
Detailed quantitative disclosures
TABLE 53 – NOTIONAL AMOUNT OF DERIVATIVES ➡
12/31/2018 4,936,326 2,932,018 2,004,308
12/31/2017 5,364,139 3,289,491 2,074,648 1,000,508
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
941,846 153,100 885,738 13,666
139,792 896,539 17,993
2,932,018 2,710,193
3,289,491 3,081,168
189,456 15,740
165,862 16,485 17,456
9,444
TABLE 54 – CREDIT DERIVATIVE EXPOSURES ➡
12/31/2018
Protection bought
Protection sold Other credit derivatives
in millions of euros
Notional CDS
6,061
4,854
0 0 0 0 0 0 0 0 0 0
CLN TRS CDO
- - -
-
1,477
-
Index CDS
1,768 3,649
1,145 2,900
Other creditderivatives TOTALNOTIONALS
11,478
10,376
Fair values
-
-
Positivefair value(asset) Negativefair value(liability)
66
50
(121)
(108)
12/31/2017
Protection bought
Protection sold Other credit derivatives
in millions of euros
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 credit derivatives TOTALNOTIONALS
17,335
15,147
Fair values
-
-
Positivefair value(asset) Negativefair value(liability)
76
221 (71)
(311)
148
Risk Report Pillar III 2018
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