BPCE - Risk Report - Pillar III 2020

MARKET RISKS

DETAILED QUANTITATIVE DISCLOSURES

BPCE40 – NATIXIS STRESSED VAR

in millions of euros

40

35

30

25

20

15

10

5

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

Regulatoty VaR

Regulatory sVaR

stressed VaR averaged €25.4 million over the year, bottoming out at €14.5 million on February 3, 2020, peaking at €38.9 million on May 22, 2020, and standing at €22.2 million on December 31, 2020.

BPCE41 – IRC INDICATORS

in millions of euros

30

25

8

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

IRC

This indicator covers the regulatory scope. Natixis’ IRC level averaged €13.6 million over the year. It hit a low of €9 million on March 18, 2020 and peaked at €26.5 million on September 25, 2020, standing at €18.8 million on December 31, 2020.

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RISK REPORT PILLAR III 2020 | GROUPE BPCE