BPCE_PILLAR_III_2017

MARKET RISKS Detailed quantitative disclosures

TABLE 73 – VAR BREAKDOWN BY RISK CLASS AND NETTING EFFECT ➡

The breakdownof Value at Risk by risk approachhighlightsthe monthly contributionof the main risks as well as the effects of netting on VaR. Interest rate risk wasfairly predominantthroughoutthe year compared with equity risk.

20

15

10

5

0

-5

-10

07/31/17

01/31/17

02/28/17

03/31/17

04/28/17

05/31/17

06/30/17

08/31/17

09/29/17

10/30/17

11/30/17

12/29/17

12/30/16

Interest rate Equity Commodity

Foreign exchange Netting Effect Consolidtaed VaR

Credit

8

TABLE 74 – NATIXIS STRESSED VAR ➡

Regulatory stressed VaR averaged € 13.2 million,peaking at € 27.3 million onJanuary 5, 2017 and hitting a low of € 8.7 millionon July 14, 2017.

in millions of euros

30

25

20

15

10

5

0

03/31/17

09/30/17

11/30/17

01/31/17

12/31/16

02/28/17

04/30/17

06/30/17

08/31/17

10/31/17

12/31/17

05/31/17

07/31/17

Regulatory SVaR

Regulatory VaR

167

Risk Report Pillar III 2017