NATIXIS -2020 Universal Registration Document

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

Encumbered and unencumbered assets 3.3.4

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of unencumbered assets

Fair value of unencumbered assets

o/w theoretically- eligible EHQLA and HQLA

o/w theoretically- eligible EHQLA and HQLA

o/w EHQLA and HQLA

o/w EHQLA and HQLA

Template A – Encumbered and unencumbered assets (in millions of euros)

52,404 15,583 17,651

23,982 11,891 11,358

340,339

18,801

Assets of the reporting institution

Other equity instruments issued

10,797 18,064

6,203

Debt securities

17,651

11,358

12,628

18,064

12,628

90 10

51

90 10

51

817 306

633

817 306

633

of which: covered bonds

of which: asset-backed securities

0

0

0

0

of which: issued by general governments of which: issued by financial corporations of which: issued by non-financial corporations

11,414

11,259

11,414

11,259

10,004

11,427

10,004

11,427

5,225

0

5,225

0

6,129 1,481

0

6,129 1,481

0

995

90

995

90

568

568

Other assets

18,114

0

312,020

0

Unencumbered

Fair value of encumbered collateral and own encumbered debt securities issued

Fair value of collateral received or own debt securities issued available for encumbrance

o/w theoretically-eligible EHQLA and HQLA

Template B – Collateral received (in millions of euros) Collateral received by the reporting institution

o/w EHQLA and HQLA

164,077

140,749

49,000

15,625

Call loans

0

0

0

0

38,769

24,982

25,034 18,879

1,923

Other equity instruments issued

Debt securities

125,327

115,642

13,052

of which: covered bonds

1,534 5,302

1,008 1,806

590

385 411

of which: asset-backed securities

1,453

of which: issued by general governments of which: issued by financial corporations of which: issued by non-financial corporations

111,665

111,161

11,419

10,643

3,360 2,670

0

2,711 2,502 2,605 1,940

0

250

871

0 0 0

0 0 0

0 0 0

Loans and receivables other than call loans

Other collateral received

of which:

0

Own debt securities issued besides own secured bonds or own asset-backed securities Own secured bonds and asset-backed securities issued and not yet given as collateral

0

0

751

0

0

0

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN ISSUED DEBT SECURITIES

214,622

140,749

Associated liabilities, contingent liabilities or securities lent

Assets, collateral received and own debt securities issued besides secured bonds or securities backed by encumbered assets

Template C – Sources of encumbrance (in millions of euros)

132,568

127,955

Carrying amount of selected financial liabilities

encumberedreceivables in vehicles other than covered bond asset V pools, such as central bank refinancing or other market vehicles, for a total of €519 million; assets encumbered by the payment of margin calls on derivative V positions, for a total of €16,461 million. Natixis considers that the following assets may not be encumbered in the normal course of its business: loans on demand, i.e. 12% of unencumbered assets V (€38,263 million); derivatives, i.e. 17% of unencumbered assets (€53,952 million). V

Template D – Additional information At December 31, 2020, total balance sheet assets and encumbered guarantees received totaled €214,622 million. These can be broken down by type and source of liabilities: securities transactions, including in particular securities lending V and repurchase agreements, for a total of €198,368 million; encumbered receivables securing covered bond vehicles (Natixis V Pfandbriefbank), for a total of €1,132 million;

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020

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