BPCE_PILLAR_III_2017

8 MARKET RISKS

Detailed quantitative disclosures

TABLE 75 – IRC INDICATOR ➡

€ 35.5 million. It peaked at € 71.2 million on September 7, 2017 and

This indicator is based on the regulatoryscope. Natixis’ IRC level averaged bottomed out at € 22.2 million onApril 4, 2017,standingat € 33.4 million at December

30, 2017.

in millions of euros

80

70

60

50

40

30

20

10

0

12/30/16

01/30/17

02/28/17

03/31/17

04/30/17

05/31/17

06/30/17

07/31/17

08/31/17

09/30/17

10/31/17

30/11/17

12/31/17

IRC

TABLE 76 – STRESS TEST RESULTS FOR NATIXIS ➡

Comprehensivestress tests levels were up significantlycomparedwith 2016. The historicstress test that reproducesthe 1987 stock market crash gave the maximumlevel of losses (- € 139 million at December 30, 2016). At December 31, 2017 however,the historic stress test that reproduces the 2011 sovereign crisisgave the maximum levelof losses(- € 64 million).

Comprehensive stress tests at December 31, 2017

in millions of euros

100 150 200 250 300 350

-100 -50 0 50

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

168

Risk Report Pillar III 2017