NATIXIS_PILLAR_III_2017_EN

8 MARKET RISK

Detailed quantitative information

Detailed quantitative information 8.4

TABLE 50: (EU MR1): MARKET RISK UNDER THE STANDARDIZED APPROACH R

Nature of risk (in millions of euros)

RWA Capital requirements

SA

4,998 1,347

400 108

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

417

33

Foreign exchange risk

2,527

202

Commodity risk

707 324

57 26

Options

Simplified approach Delta-plus method Scenario approach

255

20

69

6

Securitization (specific risk)

169

14

TOTAL AT 12.31.2017 TOTAL AT 12.31.2016

5,491 5,646

439 452

TABLE 51 (MR3): VAR, STRESSED VAR AND IRC ON THE REGULATORY SCOPE R

(in millions of euros) – 2017 VaR (10 day 99%) Maximum value

34.2 18.4 13.3 15.4 86.5 41.7 27.5 33.3 71.2 35.5 22.2 33.4

Average value Minimum value

Period end

Stressed VaR (10 day 99%) Maximum value

Average value Minimum value

Period end

Incremental Risk Charge (99.9%) Maximum value

Average value Minimum value

Period end

104

NATIXIS Risk report Pillar III 2017