BPCE - Risk Report - Pillar III 2020

MARKET RISKS

DETAILED QUANTITATIVE DISCLOSURES

EU MR4 – NATIXIS BACKTESTING – REGULATORY SCOPE The following chart shows results of backtesting (ex-post comparison of potential losses) as calculated ex-ante (1-day 99% VaR), with hypothetical and actual P&L impacts, in the regulatory scope, and can be used to verify the solidity of the VaR indicator:

in millions of euros 40 30 20 10 0 -10

-20 -30 -40 -50

12/31/19

12/31/20

01/31/20

11/30/20

07/31/20

03/31/20

08/31/20

10/30/20

02/28/20

05/29/20

06/30/20

09/30/20

04/30/20

Regulatory P&L Actual

Regulatory P&L Hypothetical

Regulatory Daily VaR (+/-)

In 2020, four actual backtesting exceptions and four hypothetical backtesting events were noted at the Natixis regulatory level. Four actual backtesting exceptions were recorded in the first half of 2020 on March 12, 17, 23 and 30. These four exceptions are explained by sharp volatility on the market brought as a

result of uncertainty and the measures taken to stymie the Covid-19 pandemic. These exceptions will not be factored into the calculation of multiplication measures as authorized by the

ECB in its communication of April 16, 2020.

8

EU MR2A – MARKET RISKS UNDER THE IMA

Capital requirements

RWAs

in millions of euros

VaR (higher of values a and b) Previous day’s VaR (CRR Article 365 (1) )

2,240

179

440

35

Average of the daily VaR (Article 365 (1) ) on each of the preceding 60 business days x multiplication factor in accordance with CRR Article 366)

2,240 4,473

179 358

SVaR

Latest SVaR (CRR Article 365 (2) )

933

75

Average of the daily SVaR (Article 365 (2) ) during the preceding 60 business days x multiplication factor (Article 366)

4,473

358

IRC

434

35

Most recent IRC value (incremental default and migration risks calculated in accordance with Section 3 of Articles 370/371

434 424

35 34

Average of the IRC number over the preceding 12 weeks

Comprehensive risk measure Most recent risk number for the correlation trading portfolio (Article 377)

Average of the risk number for the correlation trading portfolio over the preceding 12 weeks 8% of the own funds requirement in the standardized approach on the most recent risk number for the correlation trading portfolio (Article 338 (4) ) TOTAL AT 12/31/2020

7,147 5,826

572 466

TOTAL AT 12/31/2019

183

RISK REPORT PILLAR III 2020 | GROUPE BPCE