NATIXIS - Universal registration document and financial report 2019

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

Encumbered and unencumbered assets 3.3.4 As part of its refinancing activities, and repurchase agreements in particular, Natixis is required to pledge part of its assets as collateral. It also receives collateral, some of which can be reused as collateral.

The following information is provided in accordance with Commission Delegated Regulation (EU) 2017/2295 of September 4, 2017, which established technical regulations for the disclosure of encumbered and unencumbered assets.

The following data are calculated on the basis of the median value for the four quarters of 2019.

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of unencumbered assets

Fair value of unencumbered assets

o/w theoretically- eligible EHQLA and HQLA

o/w theoretically- eligible EHQLA and HQLA

Template A – Encumbered and unencumbered assets (in millions of euros)

o/w EHQLA and HQLA

o/w EHQLA and HQLA

Assets of the reporting institution

52,229 18,531 14,322

20,705

350,228

18,387

Equity instruments

13,626

11,923 15,564

7,397

Debt securities

6,592

14,322

6,592

11,028

15,564

11,028

of which: covered bonds

63

25

63

25

730 426

599

730 426

599

of which: asset-backed securities

0

0

0

0

0

0

of which: issued by general governments of which: issued by financial corporations of which: issued by non-financial corporations

6,588 5,719 1,003

6,415

6,588 5,719 1,003

6,415

9,897 3,051 1,672

9,879

9,897 3,051 1,672

9,879

0

0

0

0

99

99

559

559

Other assets

19,450

0

320,658

0

Unencumbered

Fair value of encumbered collateral and own encumbered debt securities issued

Fair value of collateral received or own debt securities issued available for encumbrance

o/w theoretically-eligible EHQLA and HQLA

Template B – Collateral received (in millions of euros)

o/w EHQLA and HQLA

Collateral received by the reporting institution

166,667

149,808

55,531

18,448

Call loans

0

0

0

0

Equity instruments

39,181

28,580

27,529 23,428

2,746

Debt securities

129,971

121,953

15,881

of which: covered bonds

1,963 7,274

1,449 3,273

935

630 427

of which: asset-backed securities

3,345

of which: issued by general governments of which: issued by financial corporations of which: issued by non-financial corporations

115,718

115,458

13,770

13,070

2,716 2,146

0

2,217 2,943 3,115 1,828

0

590

904

Loans and receivables other than call loans

0 0 0 0

0 0 0 0

0 0 0 0 0

Other collateral received

Of which:

0

Own debt securities issued besides own secured bonds or own asset-backed securities Own secured bonds and asset-backed securities issued and not yet given as collateral

1,018

0

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN ISSUED DEBT SECURITIES

218,715

149,808

Associated liabilities, contingent liabilities or securities lent

Assets, collateral received and own debt securities issued besides secured bonds or securities backed by encumbered assets

Template C – Sources of encumbrance (in millions of euros)

Carrying amount of selected financial liabilities

137,884

134,166

assets encumbered by the payment of margin calls on derivative V positions, for a total of €13,764 million. Natixis considers that the following assets may not be encumbered in the normal course of its business: loans on demand (€29,034 million at 31/12/2019, i.e. 8% of V unencumbered assets); derivatives (€61,219 million at 31/12/2019, i.e. 17% of V unencumbered assets).

Template D – Additional information At December 31, 2019, total balance sheet assets and encumbered guarantees received totaled €218,715 million. These can be broken down by type and source of liabilities: securities transactions, including in particular securities lending V and repurchase agreements, for a total of €199,628 million; encumbered receivables securing covered bond vehicles (Natixis V Pfandbriefbank), for a total of €1,120 million; encumbered receivables in vehicles other than covered bond asset V pools, such as central bank refinancing or other market vehicles, for a total of €4,670 million;

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019