BPCE_PILLAR_III_2017

8 MARKET RISKS

Detailed quantitative disclosures

TABLE 71 – MARKET RISKS UNDER THE IMA ➡

Capital requirements

RWAs 1,159

in millionsof euros

VaR (higher ofvaluesa andb) Previousday’s VaR (Article 365 (1))

93 16

198

Average ofthe daily VaR (Article 365(1)) of the CRR on each of the preceding60 business days x multiplication factor (in line with Article 366)

1,159 2,448

93

SVaR (higher ofvaluesa andb)

196

Latest SVaR (Article 365(2))

430

34

Average ofthe daily SVaR (Article 365(2)) of the CRR duringthe preceding60 business daysx multiplication factor (Article 366)

2,448

196

IRC (higher ofvaluesa andb)

622

50

Most recentIRC value (incremental default and migration risks calculated in accordance with Section 3 ofArticles 370/371)

591 622

47 50

Average ofthe IRC numberover the preceding12 weeks

Comprehensiverisk measure (higher of valuesa, b and c) Most recentrisk numberfor thecorrelationtrading portfolio(Article 377)

Average ofthe risk numberfor thecorrelationtradingportfolio overthe preceding12 weeks 8% of the own funds requirement in the standardizedapproachon the most recent risknumber for the correlationtrading portfolio(Article 338(4)) TOTALAT 12/31/2017

4,229 5,437

338 435

TOTALAT 12/31/2016

TABLE 72 – OVERALL NATIXIS VAR – TRADING BOOK (1-DAY 99% VAR) ➡

in millions of euros

0 1 2 3 4 5 6 7 8 9 10

03/31/17

30/09/17

11/30/17

01/31/17

12/31/16

02/28/17

04/30/17

06/30/17

0831/17

10/31/17

12/30/17

05/31/17

07/31/17

Natixis trading book VaR

The 99% 1-day VaR level for Natixis’ trading books averaged € 6.9 million. It peaked at € 8.7 million on May 17, 2017, recorded a low of € 5.2 million on April 6, 2017 and stood at € 5.3 million at December 31, 2017. The chart above shows the VaR history of the trading books between December31, 2016 and December31, 2017 for the overall scope.

166

Risk Report Pillar III 2017