NATIXIS - Universal registration document and financial report 2019
RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management
Market risk management quantitative disclosure 3.2.5.4 (Data certified by the Statutory Auditors in accordance with IFRS 7)
The following chart shows the VaR trading history between December 31, 2018 and December 31, 2019 for the entire scope.
Change in Natixis VaR The VaR level for Natixis’ trading portfolios averaged €8.8 million. It peaked at €15.1 million on October 16, 2019 and amounted to €8 million at December 31, 2019.
Overall Natixis VaR — Trading portfolio (1 day 99% VaR)
(in €M)
16 14 12 10
3
8 6 4 2 0 31/12/18 31/01/19 28/02/19 31/03/19 30/04/19 31/05/19 30/06/19 31/07/19 31/08/19 30/09/19 31/10/19 30/11/19 31/12/19 VaR NATIXIS Negociation
Breakdown of total trading VaR by portfolio
(Data certified by the Statutory Auditors in accordance with IFRS 7) The following table presents the key VaR figures — (99% VaR, 1 day):
(in millions of euros)
VaR at 31/12/2019
Natixis trading book
Natixis
8.0
o/w:
Global Markets
7.9 3.7 0.7 2.8 3.7 6.1 1.4
Equity Markets Commodities Fixed Income
Global Securities Financing
XVA
Other run-off activities
At December 31, 2019, the VaR by business is at a lower level than business lines and, to a lesser extent, of Global Securities Financing the previous year (€8 million compared with €13.6 million). This is portfolios. mostly attributable to the decline of portfolios at Equity Markets
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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019
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