BPCE - 2019 Universal Registration Document

6

MARKET RISKS RISK REPORT

Quantitative disclosures 6.8.4

GROUPE BPCE VAR BREAKDOWN BY RISK CLASS

Monte Carlo 99% 1-day VaR

Average – 2019

12/31/2019

Min-2019

Max-2019

12/31/2018

in millions of euros

Interest rate risk

6.1 0.8 4.8 1.5 0.8

5.5

2.8 0.2 1.8 0.5 0.1

10.9

3.7 1.1

Credit risk Equity risk

1

6.8

6.6 1.7 0.5

13.8

13.4

Foreign exchange risk

3 1

2.4 0.5

Commodity risk

TOTAL Netting

14

21.1 (6.9) 14.2

(5.5)

Consolidated VaR

8.5

9.5

7.1

16.3

CHANGE in millions of euros

in millions of euros

18

16

14

12

10

8

6

4

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

VaR

Consolidated VaR for Groupe BPCE’s trading operations (99% one-day Monte-Carlo VaR) amounted to €8.5 million at December 31, 2019, down €5.7 million over the fiscal year. Group VaR ranged from €7.1 million to €16.3 million over the year.

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE

www.groupebpce.com