BPCE_PILLAR_III_2017

MARKET RISKS Detailed quantitative disclosures

TABLE 69 – VAR, SVAR AND IRC – REGULATORY SCOPE ➡

For the period January 1 to December 31, 2017

in millions of euros VaR (10 days,99%) Maximum value

34.2 18.4 13.3 15.4 86.5 41.7 27.5 33.3 71.2 35.5 22.2 33.4

Average value Minimum value

Period end

StressedVaR (10 days,99%) Maximum value

Average value Minimum value

Period end

IRC (99.9%) Maximum value Average value Minimum value

Period end

TABLE 70 – BACKTESTING – REGULATORY SCOPE ➡

The following chart shows results of backtesting(ex-post comparisonof potential losses, as calculated ex-ante by VaR, with hypotheticaland actual P&L impacts) in the regulatory scope, and can be usedto verify the solidity of theVaR indicator: (in millions of euros) – Period from January 1 to December31, 2017.

8

60 in millions of euros

50

40

30

20

10

0

-10

-20

12/31/16

01/31/17

02/28/17

03/31/17

04/30/17

05/31/17

06/30/17

07/31/17

08/31/17

09/30/17

10/31/17

11/30/17

12/31/17

Actual gain/loss

Daily VaR (+/-)

Hypothetical gain/loss

165

Risk Report Pillar III 2017