BPCE - 2019 RISK REPORT Pillar III

8

MARKET RISKS

DETAILED QUANTITATIVE DISCLOSURES

TABLE 83 – IRC INDICATOR This indicator covers the regulatory scope. Natixis’ IRC level averaged €15.6 million over the year. It peaked at €35.6 million on January 18, 2019 and hit a low of €9 million on September 3, 2019, standing at €10.1 million on December 31, 2019.

in millions of euros

40

35

30

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

IRC

TABLE 84 – STRESS TEST RESULTS FOR NATIXIS At December 31, 2019, the maximum loss was generated by the “2011 sovereign debt crisis” historical stress test (-€40 million), followed by the “Rate increase” hypothetical stress test (-€36 million). Comprehensive stress tests at December 31, 2019

100 120 in millions of euros

116

20 40 60 80

Hypothétic Stress-Tests

Historic Stress-Tests

61

55

40

38 32

21

21

14

12 15 11

3

-40 -20 0

-4

-12

-13

-36 -33

-40

Liquidity

2009 Rally

1998 LTCM

2008 Lehman

Commodities

1990 Gulf War

2008 Corporates

1997 Asiatic Crisis

2007 FED Equities

Default by a bank

2002 Credit crash

2011 Sovereign crisis

September 11th 2001

Emerging market crisis

Increase in Interest rate

Influential Issuer default

1987 Stock market crash

1994 Bond Market Crash

Fall in stock market indices

180

RISK REPORT PILLAR III 2019 | GROUPE BPCE

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