NATIXIS - Universal registration document and financial report 2019

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

Market risk under the IMA (EU MR2-A)

(in millions of euros)

RWA

OFR

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

2,102

168

Previous day’s VaR (Article 365 (1))

350

28

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)

2,102 3,456

168 276

Stressed VaR (SVaR)

Latest SVaR (Article 365 (2))

711

57

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

3,456

276

Additional default and migration risk

268

21

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

3

236 268

19 21

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)

Average of the risk number for the correlation trading portfolio over the preceding 12 weeks 8% of the own funds requirement in the standardized approach on the most recent risk number for the correlation trading portfolio (Article 338 (4)) TOTAL 31/12/2019

5,826 4,444

466 356

TOTAL 31/12/2018

Overall interest rate risk 3.3.3.6 The measurement and monitoring of interest rate risk is presented in section 3.2 “Risk management – Overall interest rate risks”.

Operational risks 3.3.3.7 The operational risk control system is presented in section 3.2 “Risk management – Operational risks”.

201

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019