NATIXIS - Universal registration document and financial report 2019

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

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

(in millions of euros)

2019

Amount of Additional Tier 1 (AT1) capital at end of period

2,143

Tier 1 (Tier1) capital

13,311

(935)

Tier 2 (Tier2) capital Amount at start of period

2,403

New eligible instruments issued Redemptions during the period

0 0

Other, including prudential adjustments and phase-in arrangements

(141)

(19)

o/w impact of changes in phase-in rate

0

o/w other impact of changes in base

(141)

(19)

Amount of Tier 2 capital at end of period

2,262

(19)

TOTAL REGULATORY CAPITAL

15,573

(954)

Common Equity Tier 1 (CET1) capital totaled €11.2 billion at December 31, 2019, down slightly by -€0.8 billion over the year attributable notably to: common net income (excluding the capital gain following the V disposal of the retail banking activities) net of dividends forecast at +€0.3 billion; changes in other items of comprehensive income (recyclable V gains and losses directly recognized in shareholders’ equity and exchange rate effect relating to changes in the euro/dollar exchange rate) for +€0.4 billion; prudential deductions relating to goodwill and intangible assets V (-€0.1 billion), deferred tax assets on losses carried forward (-€0.1 billion) and, for the first time in 2019, security deposits to the SRF and DGS (-€0.1 billion);

perpetual deeply subordinated notes (pay and conversion impact) V for -€0.2 billion. Accompanying these factors is a -€0.9 billion impact relating to the disposal of the retail banking business and its acquisition by BPCE S.A.: the pay-out of a special dividend of -€1.5 billion over the financial year having been partially offset by a +€0.6 billion capital gain on the disposal. Additional Tier 1 capital remained stable at €2.1 billion. Tier 2 capital came down slightly to €2.3 billion, the discount on issuance totaling €0.1 billion for the period. At €99.0 billion, risk-weighted assets decreased by -€10.2 billion in 2019.

Risk-weighted assets at December 31, 2019

(in billions of euros)

Credit Risk

CVA

Market risk Operational risk

Total RWA

BASEL 3 AT 31/12/2018 Changes in exchange rates Changes in business activity Improvement in risk parameters Acquisitions and disposals of financial investments

82.6

1.7

9.6

15.3

109.2

0.3 4.8

0.3 5.9

(0.3)

0.4

(1.8)

1.6

(0.2)

(11.7)

(2.0)

(14.7)

Impact of guarantees BASEL 3 AT 31/12/2019

(1.5) 72.7

(1.5) 99.0

1.4

11.2

13.7

The €9.9 billion decrease in credit risk over the period was primarily due to the following factors: the disposal of the retail banking business of the Specialized V Financial Services (SFS) division and its acquisition by BPCE S.A. in the first quarter of 2019 (-€12.7 billion), offset by acquisitions in Asset Management (WCM Investment Management, Fiera Capital and Massena Partners), mergers and acquisitions (Azure Capita) and payments (Titres Cadeaux) for +€1.0 billion; the impact of the appreciation of the euro against the dollar V (+€0.3 billion); an increase in outstandings (+€5.8 billion) concentrated in V Corporate & Investment Banking;

the impact of risk inputs (-€1.8 billion), mainly due to the reduction V of exposure maturities; a guarantee impact of -€1.5 billion. V The €0.3 billion decrease in CVA can primarily be attributed to changes in by lower exposures at end-2019. Market risk was up by +€1.6 billion, mostly on the approved scopes, to €11.2 billion at December 31, 2019. Operational risk decreased by -€1.6 billion. This decrease was related to the disposal of the SFS entities (-€2.0 billion), offset by the replacement of the benchmark indicator for 2019 with that of 2016 (+€0.4 billion), the average calculation using the average indicator for the previous three years.

168

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019