NATIXIS -2020 Universal Registration Document

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 thmeonthly contribution of the main risks and thneetting effects in terms of VaR.

(in €M)

40

30

20

10

0

-10

-20

-30 31/12/19 31/01/20 28/02/20 31/03/20 30/04/20 29/05/20 30/06/20 31/07/20 31/08/20 30/09/20 30/10/20 30/11/20 31/12/20

Credit Forex Compensation Effect

Commodities Rates Equity

VAR Monte Carlo

The increase in consolidated VaR between March and June is explained in part by the increase in VaR in scopesmostly comprising shares due to the sharp volatility of the markets in the context of the COVID-19 crisis.

In the second half of the year, the drop in VaR results from the decrease in both exposures and shock amplitudes.

Natixis backtesting for regulatory scope

The following chart shows results of backtesting (ex-post comparison of potential losses, as calculated ex-ante by VaR (99%, 1 day), with hypothetical and actual P&L impacts) on the regulatory scopea,nd can be used to verify the solidity of the VaR indicator:

(in €M)

40 30 20 10 0

-10 -20 -30 -40 -50 31/12/19 31/01/20 28/02/20 31/03/20 30/04/20 31/05/20 30/06/20 31/07/20 31/08/20 30/09/20 31/10/20 30/11/20 31/12/20 P&L Actual P&L Hypothetical Daily VaR (+/-)

In 2020, four actual backtesting exceptions and four hypothetical backtesting events were noted at the Natixis regulatory level. Four actual and hypothetical backtesting exceptions were recorded in the first half of 2020 on March 12, 17, 23 and 30. These four exceptions are explained by sharp volatility on the market brought

as a result of uncertainty and the measures taken to stymie the COVID-19 pandemic. These exceptions will not be factored into the calculation of multiplication measures, in accordance with the authorization granted by the ECB in its communication of April 16,

2020.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020