NATIXIS -2020 Universal Registration Document

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

Comparison of accounting exposures and leverage exposures (LR1)

Category (in millions of euros)

31/12/2019

31/12/2020

495,320

513,170

Total consolidated assets reported in the financial statements

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation (Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measurement, in accordance with Article 429 (13) of Regulation (EU) No. 575/2013 “CRR”) Adjustments for derivative financial instruments Adjustment for securities financing transactions (repurchase transactions and other types of collateralized loans) Adjustment for off-balance sheet items (i.e. conversion of off-balance sheet exposures to credit equivalent amounts)

(112,079)

(105,920)

(20,928)

(28,956)

(1,575)

(15,612)

41,795

38,494

3

Other adjustments

(31,863) 370,669 59,708 310,961

(19,300) 381,876 56,614 325,262

LEVERAGE RATIO EXPOSURE

o/w exposure related to affiliates Excluding exposure related to affiliates

Oversight of the leverage ratio 3.3.2.2 Under the French Ministerial Order of November 3, 2014 on internal control by companies in the banking, payment services and investment services sector subject to the supervision of the ACPR, the companies in question are required to set overall limits and establish policies and processes to detect, manage and monitor excessive leverage risk. Since 2015, Natixis has kept its “Financial Communication” leverage ratio (excluding transactions with BPCE and other affiliates of the Groupe BPCE) above 4% at the end of each quarter. This threshold set by the ALM Committee aims to ensure compliance with the

minimum regulatory requirement of 3% applied to the “strict” ratio (including transactions with BPCE and other affiliates of Groupe BPCE). This systemwas supplementedfrom the summer of 2020 by “strict” monthly measures as part of the implementation of the COVID-19 report requested by regulatory authorities. Natixis complied with its internal rules governing leverage risk throughout the year. Their managementwas facilitated this year, on the one hand, by the retention of the 2019 dividend from March, and by the exclusion (under certain conditions) from the exposure base of the cash invested in the Banque de France deposit facility.

Leverage ratio (LR2)

Provisions governing the leverage ratio (in millions of euros)

31/12/2019

31/12/2020

On-balance sheet exposures On-balance sheet items (excluding derivatives and SFTs, but including collateral)

241,972 (4,858)

250,582 (5,166)

(Asset amounts deducted in determining Tier 1 capital)

TOTAL ON-BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES AND SFTS) (SUM OF LINES 1 AND 2) Derivative exposures Replacement cost associated with all derivative transactions (i.e. net of eligible cash variation margin)

237,114

245,416

9,215

7,618

Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) Exposure determined under Original Exposure Method Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework (Deductions of receivables assets for cash variation margin provided in derivatives transactions)

19,253

20,578

(14,505)

(14,134)

(Exempted CCP leg of client-cleared trade exposures) Adjusted effective notional amount of written credit derivatives

18,205

13,078 (9,010) 18,130

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)

(13,649) 18,520

TOTAL DERIVATIVE EXPOSURES (SUM OF LINES 4 TO 10) Securities financing transaction exposures (SFT)

183

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020