BPCE - 2018 Risk report / Pillar III

8 MARKET RISKS

Detailed quantitative disclosures

TABLE 75 – MARKET RISKS UNDER THE IMA ➡

RWAs 1,169

Capital requirements

in millionsof euros

VaR (higher ofvaluesa andb)

94 24

Previousday’s VaR (Article 365 (1) ofthe CRR (VaRt-1))

305

Average ofthe daily VaR (Article 365(1) of the CRR) on each of the preceding60 business days (VaRavg)x multiplicationfactor (mc) in accordance with Article 366) of the CRR

1,169 2,905

94

SVaR (higher ofvaluesa andb)

232

Latest SVaR (Article 365(2) of the CRR (SVaRt-1))

645

52

Average ofthe daily SVaR (Article 365(2) of the CRR) duringthe preceding60 business days (SVaRavg) xmultiplication factor (ms) (Article 366 ofthe CRR)

2,905

232

IRC (higher ofvaluesa andb)

370

30

Most recentIRC value (incremental default and migration risks calculated in accordance with Article 370 andArticle 371 ofthe CRR)

370 324

30 26

Average ofthe IRC numberover the preceding12 weeks

Comprehensiverisk measure (higher of valuesa, b and c) Most recentrisk numberfor thecorrelationtrading portfolio(Article 377)

Average ofthe risk numberfor thecorrelationtradingportfolio overthe preceding12 weeks 8% of the own funds requirement in the standardizedapproachon the most recent risknumber for the correlationtrading portfolio(Article 338(4) of the CRR) TOTALAT 12/31/2018

4,444 4,229

356 338

TOTALAT 12/31/2017

TABLE 76 – OVERALL NATIXIS VAR – TRADING BOOK (1-DAY 99% VAR) ➡

in millions of euros

10 11 12 13 14 15 16 17 18

0 1 2 3 4 5 6 7 8 9

03/31/18

09/30/18

11/30/18

01/31/18

12/29/17

02/28/18

04/30/18

06/30/18

08/31/18

10/31/18

12/30/18

05/31/18

07/31/18

Natixis trading book VaR

The 99% 1-day VaR for Natixis’ trading books averaged € 8.9 million. It peaked at € 16.4 million on December 24, 2018, recorded a low of € 5.9 million on January 2, 2018 and stood at € 13.6 million at December 31, 2018. The chart above shows the VaR history of the trading books between December29, 2017 and December31, 2018 for the overall scope.

174

Risk Report Pillar III 2018