BPCE_REGISTRATION_DOCUMENT_2017

3 RISK REPORT Market risks

3.8.4

Quantitative disclosures

GROUPE BPCE VAR

BREAKDOWN BY RISK CLASS ➡

Monte Carlo 99% 1-day VaR

12/31/2017

2017 average

2016 min

2017 max

12/31/2016

in millions of euros Interestrate risk

2.8 2.1 3.5 1.3 0.4

3.8 2.9 5.3 2.0 0.5

0.0 0.0 0.0 0.8 0.0

6.5 5.1 9.3 8.6 5.0

4.9 2.5 7.3

Credit risk Equity risk

Foreign exchange risk

2

Commodity risk

0.7

TOTAL Netting

10.1 (4.8)

17.4 (7.6)

ConsolidatedVaR

5.3

7.7

5.3

11.7

9.7

CHANGE IN MILLIONS OF EUROS ➡

in millions of euros

10 11 12

2 3 4 5 6 7 8 9

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

€ 5.3 million at December 31, 2017, down

ConsolidatedVaR for Groupe BPCE’s trading operations(99% one-dayMonte-CarloVaR) amountedto

€ 4.4 million over the fiscal year. Group VaR ranged from € 5.3 million to € 11.7

million overthe year.

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Registration document 2017