NATIXIS -2020 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

Quantitative market risk measurement data 3.2.5.4 (Data certified by the Statutory Auditors in accordance with IFRS 7) Change in Natixis VaR

The VaR level for Natixis’ trading books averaged €11.4 million. It bottom out at €4.5 million on February 6, 2020 and peaked at €22.2 million on June 4, 2020, standing at €9.3 million at December 31, 2020.

The following chart shows the VaR trading history between December 31, 2019 and December 31, 2020 for the entire scope.

Overall Natixis VaR – Trading portfolio (1 day 99% VaR)

(in €M)

25

3

20

15

10

5

0 31/12/19 31/01/20 28/02/20 31/03/20 30/04/20 31/05/20 30/06/20 31/07/20 31/08/20 30/09/20 31/10/20 30/11/20 31/12/20 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% VaR1, day):

(in millions of euros)

VaR at 31/12/2020

Natixis trading book

Natixis

9.3

Of which:

Global Markets

8.9 6.7 1.1 5.0 7.9 2.1

Equity Markets Commodity Fixed Income

Global Securities Financing

Other run-off activities

At December 31, 2020, the VaR by business is at a higher level than increase is essentially linked to the COVID-19 health crisis, which led the previous year (€9.3 million compared with €8 million). This to an increase in the shocks used in the calculation of VaR.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020