NATIXIS - Universal registration document and financial report 2019

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

Comparison of accounting exposures and leverage exposures (LR1)

Category (in millions of euros)

31/12/2018

31/12/2019

Total consolidated assets reported in the financial statements

513,170

495,496

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation (Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measurement, in accordance with Article 429 (13) of Regulation (EU) No. 575/2013 “CRR”) Adjustments for derivative financial instruments

(105,920)

(100,864)

(28,956)

(26,969)

Adjustment for securities financing transactions (repurchase transactions and other types of collateralized loans) Adjustment for off-balance sheet items (i.e. conversion of off-balance sheet exposures to credit equivalent amounts)

(15,612)

(17,774)

38,494

39,614

Other adjustments

(19,300) 381,876 56,614 325,262

(16,539) 372,964 38,808 334,156

LEVERAGE RATIO EXPOSURE

o/w exposure related to affiliates Excluding exposure related to affiliates

a dedicated risk policy for excessive leverage risk; notably, the ALM V Committee decided to test a “Financial Communication” leverage ratio (excluding intra-group transactions from the calculation base) of above 4% at each quarter end, to ensure compliance with the minimum regulatory requirement of 3% as applied to the “strict” ratio. an overall limit and an alert threshold applied to Natixis’ leverage V ratio, proposed by the ALM Committee and approved by the Risk Committee. In accordance with the operational oversight established by the Financial Management Department, Natixis met the target it had been set.

Oversight of the leverage ratio 3.3.2.2 Under the French Ministerial Order of November 3, 2014 on internal control by companies in the banking, payment services and investment services sector subject to the supervision of the ACPR, the companies in question are required to set overall limits and establish policies and processes to detect, manage and monitor excessive leverage risk. Accordingly, Natixis established: a governance system under the authority of the ALM Committee, V chaired by the CEO, for managing and monitoring excessive leverage risk (see section 3.2.7.1) ;

Leverage ratio (LR2)

Provisions governing the leverage ratio (in millions of euros)

31/12/2018

31/12/2019

On-balance sheet exposures On-balance sheet items (excluding derivatives and SFTs, but including collateral)

250,582 (5,166)

238,045 (4,941)

(Asset amounts deducted in determining Tier 1 capital)

TOTAL ON-BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES AND SFTS) (SUM OF LINES 1 AND 2)

245,416

233,104

Derivative exposures Replacement cost associated with all derivative transactions (i.e. net of eligible cash variation margin) Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) Exposure determined under Original Exposure Method Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework (Deductions of receivables assets for cash variation margin provided in derivatives transactions)

7,618

6,686

20,578

21,353

(14,134)

(11,597)

(Exempted CCP leg of client-cleared trade exposures) Adjusted effective notional amount of written credit derivatives

13,078 (9,010) 18,130

11,238 (8,766) 18,914

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)

TOTAL DERIVATIVE EXPOSURES (SUM OF LINES 4 TO 10)

170

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019