BPCE - 2019 RISK REPORT Pillar III

MARKET RISKS

QUANTITATIVE DISCLOSURES

Risk-weighted assets and capital requirements

TABLE 74 – RWA AND CAPITAL REQUIREMENTS BY TYPE OF RISK

12/31/2019

12/31/2018

Capital requirements

Capital requirements

RWAs

RWAs

in millions of euros

Interest rate risk

2,512

201

2,115

169

Equity risk

490

39

671

54

UCI position risk

22

2

41

3

Foreign exchange risk

3,206

257

2,699

216

Commodity risk

708

57

612

49

Settlement/delivery risk Major trading book risks

35

3

6

0

-

-

-

-

Specific risk on securitization positions

14

11

20

2

IMA risk TOTAL

5,826

466

4,444

356 849

12,815

1,025

10,609

TABLE 75 – CHANGE IN RISK-WEIGHTED ASSETS BY IMPACT

Fiscal year 2019

in billions of euros

Market risks – 12/31/2018

10.6

VaR impact

1.5 0.0 0.2 0.7

Interest rate risk

Foreign exchange risk

8

Other

Market risks – 12/31/2019

12.9

175

RISK REPORT PILLAR III 2019 | GROUPE BPCE