BPCE - 2019 RISK REPORT Pillar III

8

MARKET RISKS

QUANTITATIVE DISCLOSURES

Stress test results

TABLE 71 – MAIN HYPOTHETICAL STRESS TESTS

12/31/2019

Default by an influential corporation

Increase in interest rates

Emerging market crisis

Market downturn

Default by a

bank Commodities

in millions of euros

Natixis trading BRED trading

21

(36) (9.3)

(33)

(13)

14

3

(3.9)

(25.4)

(16.7)

(0.7)

(4.2)

BPCE subsidiaries trading OVERALL TRADING BOOK

0

0

0

0

0

0

17.1

(45.3)

(58.4)

(29.7)

13.3

(1.2)

The highest-risk hypothetical stress test is the “Default by a bank” scenario.

TABLE 72 – MAIN HISTORICAL STRESS TESTS

12/31/2019

Fed post-2007 subprime crisis measures

2011 sovereign debt crisis

2008 ABS & MBS corp. crisis

1994 bond market crash

2002 credit crunch

in millions of euros

Natixis trading BRED trading

(29)

11

(12)

(4)

15

0.9

(11.7)

(20.7)

(2.8)

3.3

BPCE subsidiaries trading OVERALL TRADING BOOK

0

0

0

0

0

(28.1)

(0.7)

(32.7)

(6.8)

18.3

The historical scenario generating the highest impact for the Group is the “2008 ABS & MBS corporate crisis” scenario. The historical scenario generating the highest impact for the Natixis Corporate & Investment Banking division is the “2011 sovereign debt crisis” scenario.

TABLE 73 – GROUP STRESS TEST AVERAGE FOR 2019

250 in millions of euros

200

150

100

50

0

-50

-100

1990 Gulf war

Liquidity crisis

1997 Asian crisis

1998 LTCM crisis

Default by a bank

2002 credit crunch

September 11, 2001

2008 Lehman crisis

Commodities crisis

Emerging market crisis

2009 stock market rally

Increase in interest rate

1987 stock market crash

1994 bond market crash

2011 sovereign debt crisis 2008 ABS & MBS corporate crisis

Fall in stock market indices

Default by an influential corporate

FED post-2007 subprime crisis measures

174

RISK REPORT PILLAR III 2019 | GROUPE BPCE

www.groupebpce.com