BPCE - 2018 Risk report / Pillar III

8 MARKET RISKS

Detailed quantitative disclosures

TABLE 79 – IRC INDICATOR ➡ This indicator is based on the regulatory scope. Natixis’ IRC level averaged bottomed out at € 10.9 million onMarch 16, 2018,standingat € 22.7 million at December

€ 18.3 million. It peaked at € 42.8 million on January 19, 2018 and

31, 2018.

in millions of euros

10 15 20 25 30 35 40 45

0 5

12/30/17

01/31/18

02/28/18

03/31/18

04/30/18

05/31/18

06/30/18

07/31/18

08/31/18

09/30/18

10/31/18

11/30/18

12/31/18

IRC

TABLE 80 – STRESS TEST RESULTS FOR NATIXIS ➡ At December 31, 2018 (as in 2017), the maximum loss was generated by the historic stress test replicating the 2011 sovereign debt crisis (- € 82 million),followedby the hypothetical“liquiditycrisis” (- € 79 million).

Comprehensive stress tests at December 31, 2018

100 120 in millions of euros

20 40 60 80

-100 -80 -60 -40 -20 0

Liquidity

Bank default

Commodities

1990 Gulf War

1997 Asian crisis

Market downturn

2002 credit crunch

2007 Fed measures

1998 LTCM collapse

September 11, 2011

Rise in interest rates

2008 corporate crisis

Emerging market crisis

2009 stock market rally

1994 bond market crash

1987 stock market crash

2011 sovereign debt crisis

Default by influential issuer

2008 Lehman Brothers crisis

Hypothetical Stress Tests

Historic Stress Tests

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Risk Report Pillar III 2018