BPCE - 2018 Risk report / Pillar III

8 MARKET RISKS

Detailed quantitative disclosures

Detailed quantitative disclosures 8.5

The detailed quantitative disclosures on market risks presented in the following tables expand on the Pillar

III disclosures contained in the

previous section.

Breakdown of market risk-weighted assets by approach TABLE 72 – RISK-WEIGHTED ASSETS UNDER THE STANDARDIZED APPROACH ➡

12/31/2018

12/31/2017

RWAs

RWAs

in millions of euros

Outright products Interestrate risk(generaland specific) Equity risk (general and specific)

1,685

1,913

461

452

Foreign exchange risk

2,645

2,792

Commodity risk

553

707

Options Simplified approach Delta-plus method Scenario approach

0

0

207 354 254

279

69

Securitization (specific risk)

259

TOTAL

6,159

6,471

Detaileddisclosures onNatixis market risks

Groupe BPCE’smarketrisks are mainlyborne byNatixis, whose market risk measurement quantitative data is providedbelow.

VAR VaR backtesting is carried out on approved scopes and confirms the overall robustness of the model used. Extreme risks, which are not recognized by VaR, are accounted for using stress tests throughout the Group.

This internal VaR model used by Natixis was approvedby the ACPR in January 2009. Natixis thus uses VaR to calculatecapital requirements for marketrisks inapproved scopes.

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Risk Report Pillar III 2018