BPCE - 2018 Risk report / Pillar III

MARKET RISKS Detailed quantitative disclosures

TABLE 73 – VAR, SVAR AND IRC – REGULATORY SCOPE ➡

FY 2018

in millionsof euros

VaR (10 days,99%) Maximum value

27.3 16.8 12.0 23.9 62.2 41.7 27.0 50.5 42.8 18.3 10.9 22.7

Average value Minimum value

Value at end ofperiod

StressedVaR (10 days,99%) Maximum value

Average value Minimum value

Value at end ofperiod

IRC (99.9%) Maximum value Average value Minimum value

Value at end ofperiod

TABLE 74 – BACKTESTING – REGULATORY SCOPE ➡ The following chart shows results of backtesting(ex-post comp arison

of potential losses, as calculated ex-ante by VaR, with hypotheticaland

actual P&L impacts) in the regulatory scope, and can be usedto verify the solidity of theVaR indicator: (in millions of euros) – Period from January 1 to December31, 2018.

in millions of euros

40

8

30

20

10

0

-10

-20

12/29/17

01/29/18

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

Actual gain/loss

Daily VaR (+/-)

Hypothetical gain/loss

173

Risk Report Pillar III 2018