NATIXIS - Universal registration document and financial report 2019

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

Liquidity requirement coverage ratio 3.3.5

A – Regulatory liquidity ratios In 2010, the Basel Committee introduced new liquidity risk measures: the Liquidity Coverage Ratio (LCR, January 2013) is a short-term V liquidity ratio whose aim is to ensure that, in stress scenarios, banks hold enough liquid assets to cover their net cash outflows for a 30-day period; the Net Stable Funding Ratio (NSFR, October 2014) is a long-term V structural liquidity ratio developed to strengthen the resilience of the banking sector by requiring banks to maintain a stable funding profile and by limiting maturity transformation to less than one year. These new rules were enacted in the European Union through Regulation (EU) No. 575/2013 of June 26, 2013, which laid down the filing obligations in force during the observation period from January 1, 2014 and set forth the conditions of implementation of these prudential requirements. For the LCR, Delegated Regulation (EU) No. 2015/61, published on October 10, 2014, entered into force on October 1, 2015. The NSFR, which the Basel Committee wants to have applied as a minimum requirement from 2018, was implemented in Europe via Regulation (EU) 2019/876 (“CRR2”), which will enter into force, in respect of the NSFR, on June 28, 2021. To date, European regulations require: compliance with the LCR as from October 1, 2015; required V minimum ratio of 80% on January 1, 2017 and 100% from January 1, 2018; quarterly statements on stable funding, which are entirely V descriptive (amounts and terms) without any weighting applied. Natixis determines its LCR on a consolidated basis and operationally manages its liquidity position and liquidity coverage requirements relative to these new metrics, having set a minimum ratio of 100%. Natixis regularly assesses its contribution to the Group’s NSFR based on its interpretation of known legislation.

LCR – Liquid asset buffers Commission Delegated Regulation (EU) 2015/61 of October 10, 2014 defines liquid assets and the criteria they must meet to be eligible for the liquidity buffer used to cover funding needs in the event of a short-term liquidity crisis. Liquid assets must meet a number of intrinsic requirements (issuer, rating, market liquidity, etc.) and operational requirements (availability of assets, diversification, etc.) in a 30 calendar day liquidity stress scenario. The liquid asset buffer – in the regulatory sense – is the numerator of the LCR (HQLA) and predominantly consists of: Level 1 liquid assets, i.e. cash deposited with central banks; V other Level 1 liquid assets, consisting mainly of marketable V securities representing claims on, or guarantees by, sovereigns, central banks and public sector entities, and high-rated covered bonds; Level 2 liquid securities consisting mainly of covered bonds and V debt securities issued by sovereigns or public sector entities not eligible for Level 1, corporate debt securities and equities listed on active markets that satisfy certain conditions. Presentation of LCR at December 31, 2019 The data in the following table were calculated in accordance with European Banking Authority rules (EBA/GL/2017/11 guidelines), which the European Central Bank decided to enforce on October 5, 2017 by way of notification. For the purposes of these rules, the data published for each quarter show the average monthly figures for the twelve preceding statements.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019