BPCE - 2018 Risk report / Pillar III

MARKET RISKS Detailed quantitative disclosures

TABLE 77 – VAR BREAKDOWN BY RISK CLASS AND NETTING EFFECT ➡ The breakdownof Value at Risk by risk class highlightsthe monthlycontributionof the main risks as well as the effects of nettingon VaR. Equity risk wasfairly predominant throughouthe yearcompared withthe nettingeffect.

in millions of euros

25

20

15

10

5

0

-5

-10

12/29/17

01/31/18

02/28/18

03/29/18

04/30/18

05/31/18

06/29/18

07/31/18

08/31/18

09/28/18

10/31/18

11/30/18

12/31/18

Commodity Interest rate Equity

Credit Foreign exchange Netting Effect

Consolidtaed VaR

TABLE 78 – NATIXIS STRESSED VAR ➡ Regulatorystressed VaR averaged € 13.2 million, peaking at € 19.7 million on December 24, 2018 and hitting a low of € 8.5 million on August 7, 2018.

8

in millions of euros

25

20

15

10

5

0

12/29/17

01/31/18

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

Regulatory SVaR

Regulatory VaR

175

Risk Report Pillar III 2018