NATIXIS - 2018 Registration document and annual financial report

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

VaR breakdown by risk factors and netting effect The breakdown of the VaR by risk factor provides a picture of the monthly contribution of the main risks and the netting effects in terms of VaR. Consolidated VaR increased by +€8.3 million from December 29, 2017 to December 31, 2018, due in large part to a deterioration in the Asian markets, which had an adverse impact on the equity risk in Natixis’ portfolios.

VaR in Millions of euros

25

20

15

10

5

0

-5

-10

29/12/17

31/01/18

28/02/18

29/03/18

30/04/18

31/05/18

29/06/18

31/07/18

31/08/18

28/09/18

31/10/18

30/11/18

31/12/18

Commodities Rates Equity

Credit Forex Compensation Effect

VaR MC

Natixis backtesting for regulatory scope The following chart shows results of backtesting (ex-post comparison of potential losses, as calculated ex-ante by VaR, with actual P&L impacts) on the regulatory scope, and can be used to verify the reliability of the VaR indicator:

Millions of euros

60

50

40

30

20

10

0

-10

-20

29/12/17

31/01/18

28/02/18

29/03/18

30/04/18

31/05/18

29/06/18

31/07/18

31/08/18

28/09/18

31/10/18

30/11/18

31/12/18

Actual gain/loss

Potential gain/loss

Daily VaR (+/-)

There were three backtesting exceptions over the period. The exception on June 19, 2018 was related to the remarking of the US yield curves used in New York. This loss amounted to -€10.2 million in profit and loss. The exception on October 23, 2018 was related to a trade booking error and amounted to -€12 million in profit and loss. This loss was neutralized when the booking was corrected.

The last backtesting exception, recorded on October 30, 2018, was mainly due to strong variations of several risk factors (equity and foreign exchange volatility, equity correlation) combined to remarking regarding Asia Equity Solutions desk. This loss amounted to -€12.2 million in profit and loss.

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Natixis Registration Document 2018