BPCE_PILLAR_III_2017
8 MARKET RISKS
Detailed quantitative disclosures
TABLE 75 – IRC INDICATOR ➡
€ 35.5 million. It peaked at € 71.2 million on September 7, 2017 and
This indicator is based on the regulatoryscope. Natixis’ IRC level averaged bottomed out at € 22.2 million onApril 4, 2017,standingat € 33.4 million at December
30, 2017.
in millions of euros
80
70
60
50
40
30
20
10
0
12/30/16
01/30/17
02/28/17
03/31/17
04/30/17
05/31/17
06/30/17
07/31/17
08/31/17
09/30/17
10/31/17
30/11/17
12/31/17
IRC
TABLE 76 – STRESS TEST RESULTS FOR NATIXIS ➡
Comprehensivestress tests levels were up significantlycomparedwith 2016. The historicstress test that reproducesthe 1987 stock market crash gave the maximumlevel of losses (- € 139 million at December 30, 2016). At December 31, 2017 however,the historic stress test that reproduces the 2011 sovereign crisisgave the maximum levelof losses(- € 64 million).
Comprehensive stress tests at December 31, 2017
in millions of euros
100 150 200 250 300 350
-100 -50 0 50
Liquidity
Bank default
Commodities
1990 Gulf War
1997 Asian crisis
Market downturn
2002 credit crunch
2007 Fed measures
1998 LTCM collapse
September 11, 2011
Rise in interest rates
2008 corporate crisis
Emerging market crisis
2009 stock market rally
1994 bond market crash
1987 stock market crash
2011 sovereign debt crisis
Default by influential issuer
2008 Lehman Brothers crisis
Hypothetical Stress Tests
Historic Stress Tests
168
Risk Report Pillar III 2017
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