BPCE - Risk Report - Pillar III 2020

MARKET RISKS

QUANTITATIVE DISCLOSURES

8.4

disclosures

Groupe BPCE VaR

BPCE31 – 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

BPCE32 – CHANGE (in millions of euros)

in millions of euros

25

8

20

15

10

5

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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RISK REPORT PILLAR III 2020 | GROUPE BPCE