BPCE - 2019 RISK REPORT Pillar III

MARKET RISKS

DETAILED QUANTITATIVE DISCLOSURES

TABLE 81 – VAR BREAKDOWN BY RISK CLASS AND NETTING EFFECT The breakdown of VaR by risk factor class highlights the monthly contribution of the main risks as well as the effects of netting on VaR. Equity risk was fairly predominant throughout the year compared with the netting effect.

in millions of euros

25

20

15

10

5

0

- 5

- 10

12/31/19

12/31/18

11/29/19

01/31/19

10/31/19

07/31/19

05/31/19

02/28/19

03/29/19

06/28/19

09/30/19

08/30/19

04/30/19

● Commo ● Rates ● Equity

● Credit ● Forex ● Compensation Effect

VaR MC

TABLE 82 – NATIXIS STRESSED VAR Regulatory stressed VaR averaged €15.1 million over the year, peaking at €20.1 million on October 1, 2019, bottoming out at €11.7 million on May 13, 2019 and standing at €17.6 million on December 31, 2019.

in millions of euros

8

25

20

15

10

5

0

12/31/19

12/31/18

01/31/19

10/31/19

11/30/19

07/31/19

05/31/19

03/31/19

08/31/19

02/28/19

06/30/19

09/30/19

04/30/19

Regulatoty VaR

Regulatory sVaR

179

RISK REPORT PILLAR III 2019 | GROUPE BPCE