BPCE - Risk Report - Pillar III 2020

MARKET RISKS

QUANTITATIVE DISCLOSURES

Risk-weighted assets and capital requirements

BPCE36 – RWA AND CAPITAL REQUIREMENTS BY TYPE OF RISK

12/31/2020

12/31/2019

Capital requirements

Capital requirements

RWAs

RWAs

in millions of euros

Interest rate risk

1,923

154

2,355

188

Equity risk

558

45

490

39

UCI position risk

32

3

22

2

Foreign exchange risk

3,413 1,179

273

3,206

257

Commodity risk

94

708

57

Settlement/delivery risk Major trading book risks

6

0

35

3

-

-

-

-

Specific risk on securitization positions

187

15

171

14

IMA Risk

7,147

572

5,826

466

TOTAL

14,445

1,155

12,815

1,025

BPCE 37 – CHANGE IN RISK-WEIGHTED ASSETS BY IMPACT

in billions of euros Market risks – 12/31/2019 adjusted amount

12.7

Standard

7.2 7.1 2.2 4.5 0.4

Internal model

VaR

8

SVaR

IRC

MARKET RISKS – 12/31/2020

14.3

181

RISK REPORT PILLAR III 2020 | GROUPE BPCE