NATIXIS -2020 Universal Registration Document

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

Market risk 3.3.3.5 A – Market risk measurement methodology Market risk measurement methodologies are described inSection 3.2.5. “Risk management – Market risks”. B – Detailed quantitative disclosures Market risk under the standardized approach (EU MR1)

Regulatory capital requirement

Nature of risk (in millions of euros)

RWA

SA

5,501 1,176

440

94 23

Interest rate risk (general and specific) Equity risk (general and specific)

282

Foreign exchange risk

2,922 1,112

234

Commodity risk

90 27

Options

334

Simplified approach Delta-plus method Scenario approach

94

8

240 140

19 11

Securitization

TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

5,975 5,283

478 423

VaR, stressed VaR, IRC on the regulatory scope (EU MR3)

(in millions of euros)

FY20

VaR (10 day 99%) Maximum value Average value Minimum value

97.6 48.4 23.5 33.4

Value at end of period

Stressed VaR (10 day 99%) Maximum value

122.9

Average value Minimum value

80.3 45.9 70.3

Value at end of period

Incremental Risk Charge (99.9%) Maximum value

26.5 13.6

Average value Minimum value

9.0

Value at end of period

18.8

Backtesting within the regulatory scope (MR4)

Backtesting is presented in Section 3.2.5 “Risk management –Market risks”.

216

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020