NATIXIS -2020 Universal Registration Document

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

EFP

2,240

179

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

Previous day’s VaR (Article 365 (1))

440

35

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)

2,240 4,473

179 358

Stressed VaR (SVaR)

Latest SVaR (Article 365 (2))

933

75

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

4,473

358

Additional default and migration risk

434

35

Most recent IRC value (incremental default and migration risks calculated in accordance with Section 3 of Articles 370/371) Average of the IRC number over the preceding 12 weeks

3

434 424

35 34

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 AT 31/12/2020

7,147 5,826

572 466

TOTAL AT 31/12/2019

Operational risk 3.3.3.7 The operational risk control system is presented in section [3.2.6 “Risk management – Operational risks”].

Overall interest rate risk 3.3.3.6 The measurement and monitoring of interest rate risk is presented in section [3.2.7 “Risk management – Overall interest raterisk”].

217

www.natixis.com

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020