NATIXIS - Universal registration document and financial report 2019

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

VaR breakdown by risk factors and netting effect

The breakdown of the VaR by risk factor provides a picture of the monthly contribution of the main risks and the netting effects in terms of VaR.

(in €M)

25 20

15 10 5 0 -5 -10 31/12/18 31/01/19 28/02/19 29/03/19 30/04/19 31/05/19 28/06/19 31/07/19 30/08/19 30/09/19 31/10/19 29/11/19 31/12/19

Credit Forex Compensation Effect

Commo Rates Equity

VaR MC

The €5.6 million decline in consolidated VaR is primarily attributable to the decline in equity risk factors relating to the reduction in scope of the equity derivatives portfolio of Equity Markets Asia.

Natixis backtesting for regulatory scope

The following chart shows results of backtesting (ex-post comparison of potential losses, as calculated ex-ante by VaR (99%, 1 day), with hypothetical and actual P&L impacts) on the regulatory scope, and can be used to verify the solidity of the VaR indicator:

(in €M)

30 20 10 0

-10 -20 -30 -40 -50 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 P&L Actual P&L Hypothetical Daily VaR (+/-)

In 2019, three actual backtesting exceptions and two hypothetical backtesting events were noted at the Natixis regulatory level. Three actual backtesting exceptions were recorded in the first half of 2019 on February 12, 13 and 27. They were related to the implementation in Asia of a hedging program to protect the equity derivatives portfolio against negative market effects. The losses recorded on these three dates (€42.2 million on February 12,

€13 million on February 13, and €28.4 million on February 27) had no impact on the income statement for the first half. In the second half, two hypothetical backtesting events were noted. The hypothetical losses occurred on July 4 and September 12 and were linked to variations in the interest rate markets on the interest rate and Credit Value Adjustment (CVA) portfolios.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019