BPCE - Risk Report - Pillar III 2020

8

MARKET RISKS

DETAILED QUANTITATIVE DISCLOSURES

BPCE42 – STRESS TEST RESULTS FOR NATIXIS

100 in millions of euros

100

Hypothetic Stress Tests

Historic Stress Tests

64

48

50

31

24 31

23

25

20

21

8

2

0

-26

-27

-50

-82

-100

Liquidity

Commodities

2008 Lehman

97 Asian crisis

2007 FED Equities

Default by a bank

2002 credit crunch

2011 Sovereign crisis

Emerging market crisis

Increase in interest rate

Influential issuer default

1987 stock market crash

1994 bond market crash

Fall in stock market indices

2008 corporate ABS & MBS crisis

Overall stress test levels reached an average level of €17.5 million on December 31, 2020, versus €16 million on December 31, 2019. The historical stress test replicating the 2011 sovereign debt crisis gave the maximum loss (-€82 million on December 31, 2020).

186

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com