BPCE_REGISTRATION_DOCUMENT_2017

RISK REPORT Market risks

STRESS TEST RESULTS

MAIN HYPOTHETICAL STRESS TESTS ➡

12/31/2017

Fall in stock market indices

Default by an influential corporation

Increase in interest rates

Default by a bank Commodities

Emerging market crisis

in millions of euros Natixistrading BREDtrading

180.0

11.0

120.0 (17.7)

27.0 (6.4)

10.0 (0.4)

41.0 (4.5)

(8.4)

1.0

3

BPCEsubsidiaries trading OVERALLTRADING BOOK

0

0

0

0

0

0

171.6

12.0

102.3

20.6

9.6

36.5

The most sensitivehypothetical stress isthe rate hike scenario.

MAIN HISTORICAL STRESS TESTS ➡

12/31/2017

2008 corporate ABS/MBS interest rate crisis

Fed. post-2007 subprime crisis

2011 sovereign debt crisis

measures 2002 credit crunch

in millions of euros Natixistrading BREDtrading

(64) (2.6)

(6)

2

(3)

(12.5)

(16.2)

2.9

BPCEsubsidiaries trading OVERALLTRADING BOOK

0

0

0

0

(66.6)

(18.5)

(14.2)

(0.1)

The most sensitivehistoric stress test was the 2011 sovereign crisis,mainlywithin theNatixisCIB scope.

GROUP STRESS TEST AVERAGE FOR 2017 ➡

in millions of euros

200

150

100

50

0

-50

-100

1990 Gulf War

Liquidity crisis

1997 Asian crisis

1998 LTCM crisis

Default by a bank

2002 credit crunch

Commodities crisis

September 11, 2001

Emerging market crisis

2009 stock market rally

1994 bond market crash

2008 Lehman Bros crisis

1987 stock market crash

Increase in interest rates

2011 sovereign debt crisis

Fall in stock market indices

2008 ABS/MBS interest rate crisis Fed post-2007 subprime crisis measures

Default by an influential corporation

Hypothetical scenarios

Historic scenarios

181

Registration document 2017