BPCE - 2018 Risk report / Pillar III

MARKET RISKS Quantitative disclosures

Risk-weighted assets and capital requirements TABLE 70 – 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 Interestrate 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/deliveryrisk Major tradingbook risks

6

0

10

1

-

-

-

-

Specificrisk on securitization positions

20

2

259

21

IMA risk TOTAL

4,444

356 849

4,229

338 856

10,609

10,710

TABLE 71 – CHANGE IN RISK-WEIGHTED ASSETS BY IMPACT ➡

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

10.71

VaR impact

0.30

Interestrate risk

(0.04) (0.15) (0.21) 10.61

Foreign exchange risk

Other

8

Market risks– 12/31/2018

171

Risk Report Pillar III 2018