NATIXIS -2020 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Natixis regulatory stressed VaR

Natixis’ regulatory stressed VaR averaged €25.4 million. It bottom out at €14.5 million on February 3, 2020 and peaked at €38.9 million on May 22, 2020, and stood at €22.2 million at December 31, 2020. Change in regulatory VaR (1-day 99% VaR) and stressed VaR(1-day 99% SVaR).

(in €M)

40 35 30 25 20

3

15 10 5 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 Regulatoty VaR Regulatory sVaR

IRC indicator

This indicator covers the regulatory scope. Natixis’ IRC averaged €13.6 million. It bottom out at €9 million on March 18, 2020, and peaked at €26.5 million on September 25, 2020, and stood at €18.8 millioant December 31, 2020.

(in €M)

30

25

20

15

10

5

0 31/12/19 31/01/20 29/02/20 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 IRC

147

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020