NATIXIS // 2021 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 The methodologies for measuring market risks are described isnection 3.2.6 “Market risk”.

B – Detailed quantitative disclosures Market risk under the standardized approach (EU MR1)

(in millions of euros)

RWEA

Firm income

1 2 3 4 5 6 7 8 9

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

1,938

433

Foreign exchange risk

2,900 1,666

Commodities risk

Options

Simplified method Delta-plus method Scenario method

114 257 464

Securitization (specific risk)

TOTAL

7,772

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

(in millions of euros)

2021

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

34.7 17.5

8.7

Value at end of period

20.5

Stressed VaR (10 day 99%) Maximum value

77.0 53.6 37.3 57.2 36.6 18.4 12.3 13.4

Average value Minimum value

Value at end of period

Incremental Risk Charge (99.9%) Maximum value

Average value Minimum value

Value at end of period

Back testing on the regulatory scope (MR4)

Information on back testing is presented in section 3.2.5 “Rismk anagement – Market risks”.

224

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2021