NATIXIS -2020 Universal Registration Document

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

In the credit market, the ECB continued purchases of non-financial corporate debt (CSPP) in euros as part of the Asset Program Purchase, thus supporting the primary market. In this segment, the amount issued in 2020 was approximately €484 billion (vs. €449 billion in 2019). Investment Grade (IG) funds recorded net inflows in 2020: €10 billion for IG euro funds and $139 billion for IG funds in US dollars. On the secondary market, euro-denominated senior preferred credit spreads returned to their levels of the beginningof the year. The Itraxx Fin index. Senior Eur, after peaking in March 2020 at 164, ended at 59, i.e. an increase of only 7 bpins 2020. The recovery plans put in place by states also helped to support economic activity. Against this market backdrop, Natixis raised €11.7 billion in funding in 2020 (of which €520 million in self-held securities) under its medium- and long-term refinancing program. As the only long-term issuer in the public issues segment, BPCE provided Natixis with financing for a total euro-equivalent amount of €2.74 billion.

Long-term funding The year 2020 was marked by the COVID-19 crisis which dramatically slowed down global economic activity. Containing the economic effects of the COVID-19 pandemic and supporting the smooth operationof the market required central bank intervention. The measures announced in the first quarter by the ECB (deposit rate unchanged but more favorable conditions for the TLTRO III, implementationof the PEPP) were increased in size and the deadline for their application was extended during the year. As a result, the PEPP budget, which initially amounted to €750 billion,was increased to €1,850 billion. The program was also extended until March 2022 (vs. June 2021 initially). The Fed for its part reduced its Fed Funds Rate twice (-50 bps and -100 bps) at its inter-meeting (0%-0.25%) and announced a near-unlimitedquantitativeeasing program(in the formof purchases of treasury securities and MBS) as well as other facilities (PMCCF and SMCCF programs over the medium-to-long term). The actions of the central banks drove rates down with a clear reduction in yields and spreads, a favorablemove for the valuationof all assets.

3

Issues and outstandings of Natixis’ medium- and long-term debt issuance programs

(in millions of euros or euro equivalents)

EMTN

NEU MTN

US MTN

Bond issues

Issues at 31/12/2020

3,980

0

13

4,999

Outstandings at 31/12/2020

13,023

432

108

12,967

Structural foreign exchange risk 3.2.7.3 (Data certified by the Statutory Auditors in accordance with IFRS 7) Targets and policy Given its risk exposure to many currencies (including the US Dollar), Natixis' CET1 ratio is sensitive to changes in exchange rates. Natixis’ general policy for managing structural exchange risk consists in immunizing the CET1 ratio (CET1 in currency, in relation to RWAs in the same currency) against changes in exchange rates. To this end,

it establishes a “structural” foreign-exchange position when it purchases foreign currencies to fund net sustainable, strategic investmentsabroad, in proportion to the consumptionof RWA in the currency in question. Monitoring system The CET 1 ratio’s sensitivity to exchange rate fluctuations is regularly assessed by the ALM Committee.

Structural foreign exchange position

Structural change

Position at market opening (01/01/2020)

Position at market close (31/12/2020)

Currencies (cv €m)

USD DZD AUD GBP CAD CNY HKD RUB SGD LBP Other

4,166

3,846

181 127 247 123

154 103 103

89 40 30 24 14 14 23

41 70 46 99 14

140

157

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020

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