NATIXIS -2020 Universal Registration Document

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

Prudential valuation adjustments (PV1)

o/w: in trading portfolio

o/w: in banking book

(in millions of euros)

Equity Interest rates

FX

Credit

Commodity

Total

Closeout uncertainty, of which:

225

14

6 2 5

13

258

239

20 16

Mid-market value

43 51

6 7 1

6 6 1

57 69

41 67

Closeout cost Concentration Early termination Model risk

2 2

131

132

130

36

2 1

1 1

39 13 11 18 47

25 12 11 18 25

14

Operational risk

9

1

1

Investing funding costs

Unearned credit spreads

Future administrative costs Other TOTAL ADJUSTMENTS

17

22

7

1

23

287

39

16

15

386

329

57

Non-deducted participations in insurance undertakings (EU INS1)

(in millions of euros)

Value

Holdings of own funds instruments of a financial sector entity where the institution has a significant investment not deducted from own funds (before risk-weighting)

3,074

TOTAL RWA

10,539

The change in prudential capital under Basel 3/CRR over the period is shown below:

Changes in prudential capital after applying phase-in arrangements for the period

(in millions of euros)

2020

Common Equity Tier 1 (CET1) Amount at start of period

11,168

New instruments issued (including issue premiums)

5 0

Instruments redeemed

Retained earnings from previous periods

932 101

Net income/(loss) for the period

Gross dividend proposed

(189)

Dividend payout in new shares

0

Changes in other comprehensive income Translation adjustments

(395)

Available-for-sale assets

83 11

Cash flow hedging reserve

Other

120

Others (including irrevocable SRF (Single Resolution Fund) and FGDR (Deposit Guarantee and Resolution Fund) payment commitments)

23

Non-controlling interests

0

Filters and deductions not subject to the phase-in arrangements Goodwill and intangible assets

219

Own credit risk

7

(11)

Other comprehensive income CFH

Prudent valuation adjustment

1

Other items

23

Other, including prudential adjustments and phase-in arrangements Deferred tax assets that rely on future earnings (excluding temporary differences)

7 0

Deductions in respect of breaches of capital thresholds

Other

39

Impact of phase-in arrangements

0 0 0

o/w impact of changes in phase-in rate

o/w impact of change in basis subject to phase-in arrangements

Amount of Common Equity Tier 1 (CET1) at end of period

12,143

Additional Tier 1 (AT1) capital Amount at start of period New eligible instruments issued Redemptions during the period

2,143

0 0

(92)

Other, including prudential adjustments and phase-in arrangements

o/w impact of changes in phase-in rate

0

o/w other impact of changes in base

(92)

180

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020