BPCE_PILLAR_III_2017

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 68 – RISK-WEIGHTED ASSETS UNDER THE STANDARDIZED APPROACH ➡

12/31/2017

12/31/2016

RWA

RWA

Outright products Interestrate risk(generaland specific) Equity risk (general and specific)

1,913

1,988

452

435

Foreign exchange risk

2,792

2,993

Commodity risk

707

625

Options Simplified approach Delta-plus method

0

0

279

386 263

Scenario-based approach

69

Securitization

259

79

TOTAL

6,471

6,768

Detaileddisclosures onNatixis market risks

Groupe BPCE’s market risks are mainly borne by Natixis, whose market risk measurementquantitative data is provided below.

This internal VaR model used by Natixis was approvedby the ACPR in January 2009. Natixis thus uses VaR to calculatecapital requirements for marketrisks inapproved scopes.

VALUE AT RISK (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.

164

Risk Report Pillar III 2017