BPCE - 2019 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 76 – RISK-WEIGHTED ASSETS UNDER THE STANDARDIZED APPROACH

12/31/2019

12/31/2018

RWAs

RWAs

in millions of euros

Outright products Interest rate risk (general and specific) Equity risk (general and specific)

2,276

1,685

360

461

Foreign exchange risk

3,187

2,645

Commodity risk

675

553

Options Simplified approach Delta-plus method Scenario approach

-

-

68

207 354 254

216 171

Securitization

TOTAL

6,953

6,159

Detailed disclosures on Natixis market risks

Groupe BPCE’s market risks are mainly borne by Natixis. The quantitative data used by Natixis to measure market risk are provided below.

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 approved by the ACPR in January 2009. Natixis thus uses VaR to calculate capital requirements for market risks in approved scopes.

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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