BPCE_PILLAR_III_2017
8 MARKET RISKS
Quantitative disclosures
Stress test results
TABLE 63 – MAIN HYPOTHETICAL STRESS TESTS ➡
12/31/2017
Fall in stock market indices
Default by an influential corporation
Increase in interest rates
Default by a bank Commodities
Emerging market crisis
in millions of euros Natixistrading BREDtrading
180.0
11.0
120.0 (17.7)
27.0 (6.4)
10.0 (0.4)
41.0 (4.5)
(8.4)
1.0
BPCEsubsidiaries trading OVERALLTRADING BOOK
0
0
0
0
0
0
171.6
12.0
102.3
20.6
9.6
36.5
The most sensitivehypothetical stress isthe rate hike scenario.
TABLE 64 – MAIN HISTORICAL STRESS TESTS ➡
12/31/2017
2008 corporate ABS/MBS interest rate crisis
Fed. post-2007 subprime crisis
2011 sovereign debt crisis
measures 2002 credit crunch
in millions of euros Natixistrading BREDtrading
(64) (2.6)
(6)
2
(3)
(12.5)
(16.2)
2.9
BPCEsubsidiaries trading OVERALLTRADING BOOK
0
0
0
0
(66.6)
(18.5)
(14.2)
(0.1)
The most sensitivehistoric stress test was the 2011 sovereign crisis,mainlywithin theNatixisCIB scope.
TABLE 65 – GROUP STRESS TEST AVERAGE FOR 2017 ➡
in millions of euros
200
150
100
50
0
-50
-100
1990 Gulf War
Liquidity crisis
1997 Asian crisis
1998 LTCM crisis
Default by a bank
2002 credit crunch
Commodities crisis
September 11, 2001
Emerging market crisis
2009 stock market rally
1994 bond market crash
2008 Lehman Bros crisis
1987 stock market crash
Increase in interest rates
2011 sovereign debt crisis
Fall in stock market indices
2008 ABS/MBS interest rate crisis Fed post-2007 subprime crisis measures
Default by an influential corporation
Hypothetical scenarios
Historic scenarios
162
Risk Report Pillar III 2017
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