NATIXIS - Universal registration document and financial report 2019

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

Basel 3 RWA by main Natixis business line (NX02)

Basel 3 RWA at 31/12/2019

Credit (a)

Market (b)

Total

Operational

Division (in millions of euros)

Corporate & Investment Banking (c) Asset & Wealth Management

62,192 14,157

45,194

9,986

7,012 4,735

9,422 8,269

Insurance Payments

8,269 1,102

334

768

Corporate Center (d) TOTAL 31/12/2019 TOTAL 31/12/2018

13,270 98,989 109,225

9,466

2,586

1,218

72,684 82,585

12,573 11,295

13,733 15,345

Including counterparty risk. (a) Of which €32 million of settlement-delivery risk of €1,336 million in CVA RWA. (b) Including Treasury & Collateral Management. (c) Including Financial Investments of €5,440 million. (d)

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anticipating regulatory changes and their impact on Natixis’ V various business lines; implementing a system for analyzing the capital consumption of V the businesses and their profitability on the basis of Basel 3/CRR risk-weighted assets; allocating capital to the business lines, within the framework of V strategic plan and annual budget procedures, taking into account business requirements, profitability and balance between the core business divisions. Outlook Capital planning today serves to pre-empts short- to medium-term changes: the entry into force of the new CRR2/CRD5 package, and the implementation of the new BRRD2/SRMR2 resolution provisions as part of the SRB policies. Together with BPCE Group as a whole, Natixis contributed to collecting detailed information on liabilities, as required by the SRB in 2018. As the BRRD Directive and SRB policies regularly updated, the mechanisms and preparing for this new ratio are ongoing.

Capital planning 3.3.1.5 Capital planning consists of determining Natixis’ target capital adequacy level, continually ensuring compliance with regulatory capital requirements in all compartments and capital adequacy in line with the risk appetite defined by the institution, and adapting capital allocation and measurement of business line profitability accordingly. Accordingly, under the New Dimension strategic plan, the fully loaded CET1 ratio beat its 11.0% target by end-2020 by reaching 11.2% at the plan’s completion. With a fully-loaded CET1 ratio of 11.28% at December 31, 2019, Natixis is therefore fully in line with this benchmark. The capital planning system adapts all processes with the aim of ultimately meeting the requirements of the supervisory authorities, shareholders and investors: continuously maintaining the targets set in terms of capital V adequacy; developing an internal approach for measuring capital V requirements (normative and economic) and overseeing Natixis’ resilience under stress scenarios (ICAAP); projecting capital requirements specific to business line activity, V within the framework of Natixis’ overall capital adequacy policy; Other regulatory ratios 3.3.2 Leverage ratio 3.3.2.1 The Basel Committee has set up a system for managing leverage risk. The system was included in the CRR, defining leverage as being equal to Tier 1 capital divided by on-balance sheet exposures (after certain restatements, notably on derivatives and repurchase agreements) and off-balance sheet exposures (after applying balance sheet equivalent conversion factors). The CRR was amended by a Delegated Act, which entered into force on March 31, 2015. The reporting templates that take those amendments into account have only been used since September 30, 2016, in accordance with the implementation deadlines.

Under Pillar II, the leverage ratio must be calculated and reported to the supervisor as of January 1, 2014. Its publication is mandatory as of January 1, 2015. Natixis is already prepared to calculate and publish its leverage ratio (according to the rules set out in the Delegated Act) and to implement the actions needed to converge towards the target ratio under consideration.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019

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