BPCE - 2019 RISK REPORT Pillar III

MARKET RISKS

DETAILED QUANTITATIVE DISCLOSURES

TABLE 77 – VAR, SVAR AND IRC – REGULATORY SCOPE

in millions of euros (fiscal year 2019) VAR (10 DAYS, 99%)

Fiscal year 2019

Maximum value Average value Minimum value

37.4 20.7 11.3 27.5 61.6 47.8 37.0 55.8

Value at end of period

STRESSED VAR (10 DAYS, 99%) Maximum value

Average value Minimum value

Value at end of period

IRC (99.9%) Maximum value Average value Minimum value

35.6 15.6

9.0

Value at end of period

10.1

TABLE 78 – BACKTESTING – REGULATORY SCOPE The following chart shows results of backtesting ( ex-post comparison of potential losses, as calculated ex-ante by 1-day 99% VaR, with hypothetical and actual P&L impacts) in the regulatory scope, and can be used to verify the solidity of the VaR indicator: (in millions of euros) – Period from January 1 to December 31, 2019.

in millions of euros 30

8

20

10

0

-10

-20

-30

-40

-50

12/31/19

01/31/19

10/31/19

11/30/19

07/31/19

12/30/18

05/31/19

03/31/19

08/31/19

02/28/19

06/30/19

09/30/19

04/30/19

P&L Hypothetical

Daily VaR (+/-)

P&L Actual

177

RISK REPORT PILLAR III 2019 | GROUPE BPCE