BPCE - 2020 Universal Registration Document

RISK FACTORS & RISK MANAGEMENT

MARKET RISKS

Quantitative disclosures 6.8.4

GROUPE BPCE VAR BREAKDOWN BY RISK CLASS

Monte Carlo VaR 99%

Average – 2020

12/31/2020

Min – 2020

Max – 2020

12/31/2019

in millions of euros

Equity risk

10.9

10.5

4.6 1.2 0.5 0.8 2.6

18.5

4.8 1.5 0.8 0.8 6.1

Foreign exchange risk

3

2.9 1.3 3.0 5.1

5.2 2.7

Commodity risk

1.2 1.7 3.4

Credit risk

11.3 12.5

Interest rate risk

TOTAL

20.2 (8.1) 12.1

14

Compensation effect Consolidated VaR

(5.5)

9.5

5.9

22.3

8.5

CHANGE (in millions of euros)

in millions of euros

25

20

15

10

5

6

12/31/20

01/31/20

10/31/20

11/30/20

07/31/20

03/31/20

01/02/20

08/31/20

02/28/20

05/29/20

06/30/20

09/30/20

04/30/20

VaR

Consolidated VaR for Groupe BPCE’s trading operations (99% one-day Monte-Carlo VaR) amounted to €12.1 million on December 31, 2020, up €3.6 million over the fiscal year. Group VaR ranged from €5.9 million to €22.3 million over the year.

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UNIVERSAL REGISTRATION DOCUMENT 2020 | GROUPE BPCE