NATIXIS - Universal registration document and financial report 2019

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

Prudential valuation adjustments (PV1)

o/w: in banking book

o/w: in trading portfolio

(in millions of euros)

Equities

Interest rates

Forex

Credit

Commodities

Total

Liquidation uncertainty, o/w:

226

15

3

10

254

240

14

Average value

43 65

4

4 5 1

51 83

43 82

8 1 5

Cost of liquidation

10

2

Concentration

118

1

120

114

Early termination Model risk

19 11

6 1

25 13

12 13

13

Operational risk

1

Investment and financing costs

8

8

Unearned credit spreads

14 75

14 46

Future administrative expenses

4

62

1

7

1

30

Other TOTAL ADJUSTMENTS

260

84

5

18

1

390

333

57

3

Non-deducted participations in insurance undertakings

(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)

3,129

TOTAL RWA

10,221

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

Changes in regulatory capital after the application of phase-in arrangements over the period

o/w impact of the disposal of the SFS division to BPCE

(in millions of euros)

2019

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

11,951

New instruments issued (including share premiums)

4 0

Instruments redeemed

Retained earnings from previous periods

(1,713)

(1,509)

Net income/(loss) for the period

1,897

585

Gross dividend proposed

(977)

Dividend payout in new shares

0

Changes in other comprehensive income Translation adjustments

128 154 108

Available-for-sale assets

(70)

Cash flow hedging reserve

106

Other

(159) (123)

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

Minority interests

0

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

46

154

Own credit risk

193

Other comprehensive income CFH

(108)

(106)

Prudent valuation adjustment

(7)

Other items

(35)

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

(48)

(96)

Deductions in respect of breaches of capital thresholds

0

Other

(13)

Impact of phase-in arrangements

(130) (130)

o/w impact of changes in phase-in rate

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

0

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

11,168

(935)

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

2,123

0 0

Other, including prudential adjustments and phase-in arrangements

20

o/w impact of changes in phase-in rate

0

o/w other impact of changes in base

20

167

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019