BPCE - 2018 Registration document

RISK REPORT Market risks

RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS RWA AND CAPITAL REQUIREMENTS BY TYPE OF RISK ➡

12/31/2018

12/31/2017

Capital requirements

Capital requirements

RWAs 2,115

RWAs 2,150

in millions of euros Interest rate risk

169

172

Equity risk

671

54

443

35

UCI position risk

41

3

46

4

Foreign exchange risk

2,699

216

2,853

228

Commodity risk

612

49

720

58

Settlement/delivery risk Major trading book risks

6

0

10

1

-

-

-

-

Specific risk on securitization positions

20

2

259

21

IMA risk TOTAL

4,444

356 849

4,229

338 856

10,609

10,710

CHANGE IN RISK-WEIGHTED ASSETS BY IMPACT ➡

in billions of euros Market risks – 12/31/2017

10.71

VaR impact

0.30

Interest rate risk

(0.04) (0.15) (0.21) 10.61

Foreign exchange risk

Other

Market risks – 12/31/2018

6

671

Registration document 2018