NATIXIS_PILLAR_III_2017_EN

MARKET RISK Detailed quantitative information

TABLE 52 (MR4): BACKTESTING ON THE REGULATORY SCOPE R

The following chart shows results of backtesting (ex-post comparison of potential losses, as calculated ex-ante by VaR, with hypothetical and actual P&L impacts) on the regulatory scope, and can be used to verify the solidity of the VaR indicator: (in millions of euros) – 2017.

Millions of euros

60

50

40

30

20

10

0

-10

-20

30/12/16

31/01/17

28/02/17

31/03/17

30/04/17

31/05/17

30/06/17

31/07/17

31/08/17

30/09/17

31/10/17

30/11/17

31/12/17

Actual gain/losses

Daily VaR (+/-)

Potential gain/losses

TABLE 53: (EU MR2-A): EXPOSURE TO MARKET RISK USING THE INTERNAL MODELS APPROACH R

RWA

OFR

(in millions of euros)

8

1 a

Value at risk (Maximum of both values a and b)

1,159

93 16

Previous day’s VaR (Article 365 (1))

198

Average of the daily VaR (Article 365 (1)) of the CRR on each of the preceding 60 business days x multiplication factor (in line with Article 366)

b 2 a

1,159 2,448

93

Stressed VaR (SVaR)

196

Latest SVaR (Article 365 (2))

430

34

b Average of the daily SVaR (Article 365 (2)) of the CRR during the preceding 60 business days x multiplication factor (Article 366)

2,448

196

3

Additional default and migration risk

622

50

a Most recent IRC value (incremental default and migration risks calculated in accordance with Section 3 of Articles 370/371)

591 622

47 50

b 4 a

Average of the IRC number over the preceding 12 weeks Additional default risk on the correlation portfolio

Most recent risk number for the correlation trading portfolio (Article 377)

b Average of the risk number for the correlation trading portfolio over the preceding 12 weeks C 8% of the own funds requirement in the standardized approach on the most recent risk number for the correlation trading portfolio (Article 338 (4)) 5 TOTAL AT 12.31.2017

4,229 5,437

338 435

TOTAL AT 12.31.2016

105

NATIXIS Risk report Pillar III 2017