BPCE_PILLAR_III_2017

8 MARKET RISKS

Market risk management

for Banque Palatine: daily monitoring of trading book activities is ● based on supervision by the DRCCP of 99% 1-day value-at-risk, stress tests and compliance with regulatory limits. All limits (operationalindicators,VaR, and stress tests) are monitored daily by the each institution’s Risk Management division. All limit breaches must be reported and, where applicable, are subject to a Management decision concerning the position in question (close, hedge, hold,etc.). These supervision mechanisms also have operational limits and resilience thresholds that determine the Group’s risk appetite for trading operations. Banking book risk is monitored by asset class: bonds, securitizations, private equity and UCITS. The bond portfolio is monitored monthly

throughthe supervisionof credit risk (limit per issuer) and market risk (stress test limit). The Group’s single treasury and central bank collateral management pool is subject to daily monitoring of risks and economic results for all of its activities, which are mainly related to the banking book. In particular, a 99% 1-day Monte Carlo VaR is calculated and analyzed by risk factor. Compliance with operational limits in terms of sensitivityto interest rates, both overall and by time buckets, as well as by counterparty,is monitoreddaily. Supervisionof this activityalso includes specific stress scenarios as well as exposure limits per operator (for both individual and cumulative transactions processed per day).

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Risk Report Pillar III 2017