BPCE - 2018 Risk report / Pillar III

MARKET RISKS Quantitative disclosures

Quantitative disclosures 8.4

Groupe BPCE VaR TABLE 65 – 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 Interestrate 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)

ConsolidatedVaR

9.3

5.8

17.1

5.3

TABLE 66 – CHANGE IN MILLIONS OF EUROS ➡ in millions of euros

18

16

14

8

12

10

8

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

€ 14.2 million at December 31, 2018, up

ConsolidatedVaR for Groupe BPCE’s trading operations(99% one-dayMonte Carlo VaR) amountedto

€ 8.9 million over the fiscal year. Group VaR ranged from € 5.8 million to € 17.1

million overthe year.

169

Risk Report Pillar III 2018