NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

For these instruments, the following table provides the mainunobservable inputs as well as value ranges.

Instrument class Interest rate derivatives Interest rate derivatives Interest rate derivatives Interest rate derivatives

Main types of products

Valuation techniques used

Main unobservable data

Min – max unobservable data ranges (DEC20)

Mean reversion parameters [1.75%; 5%]

Sticky CMS/Volatility Bond Valuation models

for interest rate options

Callable Spread Options and Corridor Callable Spread Options

Model representing several yield curve factors

Mean-reversion spread

[0%; 30%]

Bermuda Accreting

Accreting Factor

[69.5%; 94%]

Volatility cap/floor

Valuation models for interest rate options Different equity option valuation models, equity baskets or funds

Interest rate vol.

[5.46%; 87.46%]

[1.00%; 171.79%]

Equity

Plain vanilla derivatives and complex derivatives, equity basket or funds

Equity volatility

Fund volatility

[1.5%; 40.27%]

Stock/stock correlations

[18.50%; 96.28%]

Repo for general collateral baskets

[(0.76)%; 0.91%]

Forex

Forex derivatives

Forex options valuation model Forex volatility

[7.3%; 12.739%]

Forex

Long-term PRDC/PRDKO/TARN

Hybrid fixed income/forex options valuation model

Correlation between forex rates and interest rates as well as long-term volatility levels

[11.5%; 32.8%] [7.3%; 12.739%]

Black & Scholes model

EURCHF/EURUSD correlation [23.46%; 38.90%]

Forex

Helvetix: Strip of long-term options, Strip of quanto options, Strip of digital options Helvetix: Spread options and digital spread options

Gaussian copula

USDCHF & EURCHF long-term volatility

USDCHF volatility: [8.0701%; 11.0 529%] EURCHF volatility: [7.3352%; 8.8223%]

Credit

CDO

The default rates are based on the market prices of the underlying PFI bonds and the recovery rates are based on historical ratings agency data Discounted cash flow expected based on the underlying portfolio’s early redemption assumption Hybrid model coupling an equity diffusion, a FX diffusion and a fixed income diffusion

Correlation between the assets, base spread between the cash asset and derivative asset, recovery rate

80.00%

Credit

Securitization swaps

Prepayment rate

[3.3%; 40.0%]

Hybrid

Hybrid equity/fixed income/forex (FX) derivatives

Equity-Forex correlations

[(63.23)%; 59.54%]

Equity-Rate correlations

[(40)%; 45%]

Fixed Income/ Forex correlations

[(35)%; 35%]

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020