NATIXIS - Universal registration document and financial report 2019

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

(in millions of euros)

EAD post CRM

RWA

Segregated initial margin Non-segregated initial margin

Prefunded default fund contributions Unfunded default fund contributions:

B – Capital requirements and risk-weighted assets Capital requirements for credit valuation adjustments (EU CCR2)

EAD post-CRM techniques

(in millions of euros)

RWA

Total portfolios subject to the advanced method (i) VaR component (including the 3×multiplier) (ii) Stressed VaR component (including the 3×multiplier) All portfolios subject to the standardized method Based on Original Exposure Method TOTAL SUBJECT TO THE CVA CAPITAL CHARGE 31/12/2019 Total subject to the CVA capital charge 31/12/2018 Securitization 3.3.3.4 A – Accounting methods (See Chapter 5 – Consolidated financial statements and notes – Note 6 Accounting principles and valuation methods.) The securitization positions classified as “Loans and receivables” are measured at amortized cost using the effective interest rate method as described in Note 6.1 to the accounting principles which can be found in Note 5.1 “Consolidated financial statements and notes” to Chapter 5 “Financial data” of the consolidated financial statements. They are tested for impairment at each reporting date and an impairment charge is recorded in the income statement under “Provision for credit losses”. Securitization positions classified under “Available-for-sale assets” are measured at their market value and any changes, excluding income recognized using the effective interest method, are recorded in a specific line in equity. Securitization positions (classified as debt instruments) are tested for impairment at each reporting date and an impairment charge is recorded under “Provisions for credit losses”. In the event of a disposal of securitization positions (classified as debt instruments), Natixis transfers any changes in fair value for recognition in the income statement.

4,717

1,001

244 757 335

2,954

7,671 7,168

1,336 1,661

Positions classified under “Fair value through profit or loss” are measured at market value. The market value is measured according to principles described in Note 5.6 of Accounting principles which can be found in Note 5.1 “Consolidated financial statements and notes” to Chapter 5 “Financial data”. Gains or losses on the disposal of securitization positions are recognized in line with the rules applicable to the category in which the positions sold were initially classified. Synthetic securitization transactions in the form of Credit Default Swaps follow accounting rules specific to trading derivatives. Securitized assets are derecognized when Natixis transfers the contractual rights to receive the financial asset’s cash flows and nearly all the risks and benefits of ownership. B – Internal rating system (Data certified by the Statutory Auditors in accordance with IFRS 7) Natixis relies on four external rating agencies for securitization transactions: Moody’s, DBRS, Fitch IBCA and Standard & Poor’s. These agencies cover all types of exposures.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019