BPCE - 2018 Registration document

RISK REPORT Market risks

6.8.4

Quantitative disclosures

GROUPE BPCE VAR BREAKDOWN BY RISK CLASS ➡

Monte Carlo 99% 1-day VaR

31/12/2018 Average -2018

Min -2018

Max -2018

31/12/2017

in millions of euros Interest rate risk

3.7 1.1

4.3 2.0 7.3 2.2 0.5

2.7 0.8 2.3 0.8

8.1 3.6

2.8 2.1 3.5 1.3 0.4

Credit risk Equity risk

13.4

16.3

Foreign exchange risk

2.4 0.5

6.7 6.7

Commodity risk

0

TOTAL Netting

21.1 (6.9) 14.2

10.1 (4.8)

Consolidated VaR

9.3

5.8

17.1

5.3

CHANGE IN MILLIONS OF EUROS ➡ in millions of euros

18

16

14

12

10

8

6

6

4

12/30/17

31/01/18

02/28/18

03/31/18

04/30/18

05/31/18

06/30/18

07/31/18

08/31/18

09/30/18

10/31/18

11/30/18

12/31/18

VaR

Consolidated VaR for Groupe BPCE’s trading operations (99% one-day Monte Carlo VaR) amounted to € 14.2 million at December 31, 2018, up € 8.9 million over the fiscal year. Group VaR ranged from € 5.8 million to € 17.1 million over the year.

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Registration document 2018