NATIXIS - Universal registration document and financial report 2019

5 FINANCIAL DATA

Consolidated financial statements and notes

Level 3: market value is determined using unrecognized models V and/or models based on non-observable market data, where they are liable to materially impact the valuation. Financial assets and liabilities categorized according to the fair value hierarchy and a description of the key models are presented in Note 8.5. for former GAPC assets On November 12, 2009, an arrangement was made by BPCE to protect a portion of the portfolios of the former GAPC hive-off vehicle with retroactive effect at July 1, 2009. With this guarantee mechanism, Natixis was able to free up a significant portion of its equity allocated to segregated assets and to protect itself against the risk of loss from these portfolios subsequent to June 30, 2009. This protective arrangement was based on two mechanisms: a sub-participation with the characteristics of a financial V guarantee, covering 85% of the face value of assets recognized in “loans and receivables” and “available-for-sale financial assets”. Under this guarantee, Natixis was protected from the very first euro in default up to 85% of the default amount; The amount of the premium paid in 2009 by Natixis in return for the financial guarantee amounted to €1,183 million. Since the unrealized capital losses or write-downs on the assets covered by the guarantee have already been recognized in income, this premium was not immediately recorded either in income or on a straight-line basis. Instead, the premium is initially recognized on the accruals line and taken to income over the same period, in the same amount and on the same line as: reversals of provisions for impairment (in “Provision for credit V losses”), the deferred recognition of the discount (under net revenues) V arising on October 1, 2008 on assets reclassified within “Loans and receivables” at that date pursuant to the amendments to IAS 39 and IFRS 7 published on October 13, 2008. At December 31, 2019, this financial guarantee, which had virtually no impact at December 31, 2018, was terminated and gave rise to a €6.1 million gain; two Total Return Swaps (TRS), one in euros and one in US$, V transferring to BPCE 85% of unrealized and realized gains and losses on the portfolio of instruments at fair value through profit or loss (cash and derivatives) since July 1, 2009. TRS are derivatives and are therefore carried at fair value on the balance sheet, with a matching entry to income. At the same time, Natixis had purchased an option from BPCE which allows it to recover the net gains on this portfolio after a ten-year period in return for the payment of a premium estimated at €367 million. The premium is also recognized at fair value. Natixis exercised the option at maturity (i.e. July 1, 2019). Exercising this option had no impact on Natixis’ income statement as the changes in the option’s fair value were recognized in income at inception. In addition, a reverse TRS was implemented on July 1, the characteristics of which are symmetrical to those of the TRS in euros and in dollars implemented when the guarantee was first arranged. Note that the TRS and the option had virtually no impact on Natixis’ income statement at December 31, 2018. These two contracts were terminated as of December 31, 2019. Guarantee mechanism 6.7

Adjustment for model uncertainty This adjustment takes into account the imperfections of the valuation techniques used – in particular, the risk factors that are not considered, even when observable market inputs are available. This is the case where risks inherent to various instruments differ from those considered by the observable inputs used in valuation. Adjustment for input uncertainty Observing certain prices or inputs used in valuation techniques may be difficult or the price or input may be too regularly unavailable to determine the selling price. Under these circumstances, an adjustment may be necessary to reflect the probability of different values being used for the same inputs when evaluating the fair value of the financial instrument adopted by the market participants. This adjustment applies to valuations that do not account for the counterparty’s credit quality. It corresponds to the expected loss related to the risk of default by a counterparty and aims to account for the fact that Natixis cannot recover all of the transactions’ market value. The method for determining the CVA is primarily based on the use of market inputs in connection with professional market practices for all counterparty segments included in this calculation. In the absence of liquid market inputs, proxies by type of counterparty, rating and geographic area are used. The DVA is symmetrical to the CVA and represents the expected loss, from the counterparty’s perspective, on liability valuations of derivative financial instruments. It reflects the impact of Natixis’ credit quality on the valuation of these instruments. The adjustment is made by observing "zéro-coupon" spreads on a sample of comparable entities, taking into account the liquidity of BPCE’ "zéro coupon" spread over the period. The funding valuation adjustment (FVA) is taken into account in the DVA calculation. Identifying an active market The following criteria are used to determine whether a market is active: the level of activity and trend of the market (including the level of V activity on the primary market); the length of historical data of prices observed in similar market V transactions; scarcity of prices recovered by a service provider; V large bid-ask price spread; V steep price volatility over time or between different market V participants. The valuation control procedure is presented in section 3.2.5 “Market risks” of Chapter 3 “Risk factors, risk management and Pillar III”. Financial assets and liabilities measured and presented at fair value are categorized based on the following scale: Level 1: market value is determined directly using prices quoted on V active markets for identical assets and liabilities; Level 2: market value is determined using valuation techniques V based on significant data that may be directly or indirectly observed on the markets. Value adjustment for own credit risk (Debit Valuation Adjustment – DVA) Value adjustment for counterparty risk (Credit Valuation Adjustment – CVA)

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019