NATIXIS - 2018 Registration document and annual financial report

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

Market risk 3.3.3.5 A – Market risk measurement methodology Market risk measurement methodologies are described in Section 3.2.5. “Risk management – Market risks”.

B – Detailed quantitative disclosures MARKET RISK UNDER THE STANDARDIZED APPROACH (EU MR1) R

Nature of risk (in millions of euros)

3

RWA 4,436 1,132

Capital requirements

SA

355

Interest rate risk (general and specific) Equity risk (general and specific)

91 29

364

Foreign exchange risk

2,387

191

Commodity risk

553 553

44 44

Options

Simplified approach Delta-plus method Scenario approach

199 354 196

16 28 16

Securitization

TOTAL 31/12/2018 TOTAL 31/12/2017

5,185 5,491

415 439

VAR, STRESSED VAR AND IRC WITHIN THE REGULATORY SCOPE (MR3) R

(in millions of euros) – 2018 VaR (10 day 99%) Maximum value

27.3 16.8 12.0 23.9 62.2 41.7 27.0 50.5 42.8 18.3 10.9 22.7

Average value Minimum value

Period end

Stressed VaR (10 day 99%) Maximum value

Average value Minimum value

Period end

Incremental Risk Charge (99.9%) Maximum value

Average value Minimum value

Period end

BACKTESTING WITHIN THE REGULATORY SCOPE (MR4) R

Backtesting is presented in Section 3.2.5 “Risk management – Market risks”.

209

Natixis Registration Document 2018