BPCE - 2018 Risk report / Pillar III

8 MARKET RISKS

Quantitative disclosures

Stress test results TABLE 67 – MAIN HYPOTHETICAL STRESS TESTS ➡

12/31/2018

Default by an influential corporation

Liquidity crisis

Increase in interest rates

Default by a bank Commodities

Emerging market crisis

in millions of euros Natixistrading BREDtrading

(79)

(34) 27.6

10

(36)

(13)

(1)

7.4

(0.7)

12.1

(1.1)

(3.2)

BPCEsubsidiaries trading OVERALLTRADING BOOK

0

0

0

0

0

0

(71.6)

(6.4)

9.3

(23.9)

(14.1)

(4.2)

The highest-risk hypothetical stress test is the LiquidityCrisis scenario.

TABLE 68 – MAIN HISTORIC STRESS TESTS ➡

12/31/2018

Fed post-2007 subprime crisis measures

2008 ABS & MBS corp. Crisis

2011 sovereign debt crisis

2008 Lehman Bros crisis

9/11 (40)

in millions of euros Natixistrading BREDtrading

(82)

(40)

(48)

(39) (24)

(13.5)

(35.2)

(16.2)

(13.7)

BPCEsubsidiaries trading OVERALLTRADING BOOK

0

0

0

0

0

(95.5)

(75.2)

(64.2)

(63)

(53.7)

The highest-risk historic stress test is the 2011 sovereign crisis,mainlywithin thescope of NatixisCIB.

TABLE 69 – GROUP STRESS TEST AVERAGE FOR 2018 ➡

250 in millions of euros

200

150

100

50

0

-50

-100

9/11

1990 Gulf War

Liquidity crisis

1997 Asian crisis

1998 LTCM crisis

Default by a bank

2002 credit crunch

Commodities crisis

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 corporate crisis

Default by an influential corporation

Fed post-2007 subprime crisis measures

170

Risk Report Pillar III 2018