BPCE - Risk Report - Pillar III 2020

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

EU MR1 – RISK-WEIGHTED ASSETS UNDER THE STANDARDIZED APPROACH

12/31/2020

12/31/2019

RWAs

RWAs

in millions of euros

Outright products Interest rate risk (general and specific) Equity risk (general and specific)

1,833

2,276

395

360

Foreign exchange risk

3,364 1,121

3,187

Commodity risk

675

Options Simplified approach Delta-plus method Scenario approach

-

-

153 240 187

68

216 171

Securitization

TOTAL

7,292

6,953

Detailed disclosures on Natixis market risks

EU MR3 – VAR, SVAR AND IRC – REGULATORY SCOPE

in millions of euros (from 01/02/2020 to 12/31/2020) VAR (10 DAYS, 99%) Maximum value

97.6 48.4 23.5 33.4

Average value Minimum value

Value at end of period

STRESSED VAR (10 DAYS, 99%) Maximum value

122.9

Average value Minimum value

80.3 45.9 70.3

Value at end of period

INCREMENTAL RISK CHARGE (99.9%) Maximum value

26.5 13.6

Average value Minimum value

9.0

Value at end of period

18.8

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RISK REPORT PILLAR III 2020 | GROUPE BPCE

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