NATIXIS_REGISTRATION_DOCUMENT_2017

RISKS AND CAPITAL ADEQUACY Market risks

Natixis backtesting for regulatory scope The followingchart showsresultsof backtesting(ex-postcomparisonof potentiallosses,as calculatedex-anteby VaR, with actual P&L impacts)on the regulatoryscope,and can be used to verify the reliabilityof the VaR indicator: No backtestingexceptionswere observedfor the scope.

Millions of euros

60

3

50

40

30

20

10

0

-10

-20

12.30.16

01.31.17

02.28.17

03.31.17

04.30.17

05.31.17

06.30.17

07.31.17

08.31.17

09.30.17

10.31.17

11.30.17

12.31.17

Actual P&L BT

VaR 1 Day

Hypothetical P&L

STRESSED VAR ■

The Stressed Regulatory VaR level averaged €13.2 million. It peaked at €27.3 million on January 5, 2017, and bottomed out at €8.7 millionon July 14,2017. Changein regulatoryStressedVaR and VaR.

Millions of euros

30

25

20

15

10

5

0

12.31.16

01.30.17

02.28.17

03.31.17

04.30.17

05.31.17

06.30.17

07.31.17

08.31.17

09.30.17

10.31.17

11.30.17

12.31.17

Regulatory sVaR Regulatory VaR

145

Natixis Registration Document 2017