NATIXIS - Universal registration document and financial report 2019

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

Provisions governing the leverage ratio (in millions of euros)

31/12/2018

31/12/2019

Securities financing transaction exposures Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions

95,448

99,107

(Netted amounts of cash payables and cash receivables of gross SFT assets)

(22,150)

(23,939)

Counterparty credit risk exposure for SFT assets

6,538

6,164

Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation (EU) No. 575/2013 Agent transaction exposures (Exempted CCP leg of client-cleared SFT exposure) TOTAL SECURITIES FINANCING TRANSACTION EXPOSURES (SUM OF LINES 12 TO 15A)

79,836

81,332

Other off-balance sheet exposures Off-balance sheet exposures at gross notional amount (Adjustments for conversion to credit equivalent amounts)

3

81,622

95,529

(43,128) 38,494

(55,914) 39,614

OTHER OFF-BALANCE SHEET EXPOSURES (SUM OF LINES 17 AND 18)

Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off-balance sheet) (Exemption of intra-group exposures (solo basis) in accordance with Article 429(7) of Regulation (EU) No. 575/2013 (on and off balance sheet)) (Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No. 575/2013 (on and off balance sheet)) Capital and total exposures Tier-1 capital

13,312 381,876

14,074 372,964

Total leverage ratio exposures (sum of lines 3, 11, 16 and 19)

Leverage ratio Leverage ratio

3.5%

3.8%

Choice on phase-in arrangements and amount of derecognized fiduciary items Choice on phase-in arrangements for the definition of the capital measure Amount of derecognized fiduciary items in accordance with Article 429(11) of Regulation (EU) No. 575/2013 EXPOSURE RELATED TO AFFILIATES

56,614

38,808

LEVERAGE RATIO EXCLUDING EXPOSURE RELATED TO AFFILIATES

4.1%

4.2%

Large exposures ratio 3.3.2.3 Large exposures ratio Regulations on the monitoring of large exposures were revised in 2014 and are now part of the CRR. The objective of these regulations is to limit Natixis’ exposure to the risks associated with a set of counterparties, grouped under a

banner known as “Head of Group”. Compliance with these regulations is measured daily, ensuring that risk-weighted assets (RWA) relating to each Head of Group are systematically lower than the Large Exposure Limit, currently set at 10% of Natixis’ total capital. Natixis complied with this regulation throughout 2019.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019