BPCE - Risk Report - Pillar III 2020

8

MARKET RISKS

DETAILED QUANTITATIVE DISCLOSURES

BPCE38 – OVERALL NATIXIS VAR – TRADING BOOK (1-DAY 99% VAR)

in millions of euros 25

20

15

10

5

0

12/31/19

12/31/20

01/31/20

10/31/20

11/30/20

07/31/20

05/31/20

03/31/20

08/31/20

02/28/20

06/30/20

09/30/20

04/30/20

VaR NATIXIS Negociation

The VaR level for Natixis’ trading books averaged €11.4 million. It bottomed out at €4.5 million on February 6, 2020 and peaked at €22.2 million on June 4, 2020, standing at €9.3 million on December 31, 2020.

The chart below shows the VaR history of the trading books between December 31, 2019 and December 31, 2020 for the overall scope.

BPCE39 – VAR BREAKDOWN BY RISK CLASS AND NETTING EFFECT

in millions of euros

40

30

20

10

0

-10

-20

-30

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

● Commodities ● Rates ● Equity exposures

● Credit ● Forex ● Compensation Effect

VaR MC

The increase in consolidated VaR from March to June is explained in part by the increase in VaR in scopes mostly comprising shares due to the sharp volatility of the markets in the context of the Covid-19 crisis. In the second half of the year, the decrease in VaR was due to decreased exposures and the lesser magnitude of economic shocks.

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RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com