BPCE - 2019 RISK REPORT Pillar III

8

MARKET RISKS

DETAILED QUANTITATIVE DISCLOSURES

TABLE 79 – MARKET RISKS UNDER THE IMA

Capital requirements

RWAs

in millions of euros

VaR (higher of values a and b)

2,102

168

Previous day’s VaR (Article 365 (1) of the CRR (VaRt-1))

350

28

Average of the daily VaR (Article 365 (1) of the CRR) on each of the preceding 60 business days (VaRavg) x multiplication factor (mc) in accordance with Article 366) of the CRR

2,102 3,456

168 276

SVaR (higher of values a and b)

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

711

57

Average of the daily SVaR (Article 365 (2) of the CRR) during the preceding 60 business days (SVaRavg) x multiplication factor (ms) (Article 366 of the CRR)

3,456

276

IRC (higher of values a and b)

268

21

Most recent IRC value (incremental default and migration risks calculated in accordance with Article 370 and Article 371 of the CRR)

236 268

19 21

Average of the IRC number over the preceding 12 weeks Comprehensive risk measure (higher of values a, b and c) Most recent risk number for the correlation trading portfolio (Article 377) Average of the risk number for the correlation trading portfolio over the preceding 12 weeks 8% of the own funds requirement in the standardized approach on the most recent risk number for the correlation trading portfolio (Article 338 (4)) TOTAL AT 12/31/2019

5,826 4,444

466 356

TOTAL AT 12/31/2018

TABLE 80 – OVERALL NATIXIS VAR – TRADING BOOK (1-DAY 99% VAR)

in millions of euros 16

14

12

10

8

6

4

2

0

12/31/19

01/31/19

10/31/19

11/30/19

07/31/19

12/30/18

05/31/19

03/31/19

08/31/19

02/28/19

06/30/19

09/30/19

04/30/19

VaR NATIXIS Negociation

The 99% 1-day VaR for Natixis’ trading books averaged €8.8 million over the year. It peaked at €15.1 million on October 16, 2019, recorded a low of €6.4 million on July 19, 2019 and stood at €8 million at December 31, 2019. The chart above shows the VaR history of the trading books between December 31, 2018 and December 31, 2019 for the overall scope.

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RISK REPORT PILLAR III 2019 | GROUPE BPCE

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