NATIXIS - Universal registration document and financial report 2019

5 FINANCIAL DATA

Consolidated financial statements and notes

For these instruments, the following table provides the main unobservable inputs as well as value ranges.

Instrument class Interest rate derivatives Interest rate derivatives Interest rate derivatives Interest rate derivatives

Main types of products

Valuation techniques used

Main unobservable data

Min-max observable data ranges

Sticky CMS/Volatility Bond Valuation models

Mean reversion parameters [2.5%; 5%]

for interest rate options

Callable Spread Options and Corridor Callable Spread Options

Model representing several yield curve factors

Mean-reversion spread

[0%; 30%] EUR 30%, USD 25%

Bermuda Accreting

Adjusted Hull-White one-factor model

Accreting Factor

[75%; 95%]

Volatility cap/floor

Valuation models for interest rate options Different equity option valuation models, equity baskets or funds

Interest rate vol.

[5%; 80%]

Equity

Plain vanilla derivatives and complex derivatives, equity basket or funds

Equity volatility

[0.392%; 117.23879%]

Fund volatility

[20%; 25%]

Stock/stock correlations

[0.3%; 94.1%]

Repo for general collateral baskets

[(0.67)%; 0.90%]

Forex

Forex derivatives

Forex options valuation model Hybrid fixed income/forex options valuation model

Forex volatility

[2.12%; 13.27%]

Forex

Long-term PRDC/PRDKO/TARN

Correlation between forex rates and interest rates as well as long-term volatility levels Correlation between the assets, base spread between the cash asset and derivative asset, recovery rate

Correlation between forex rates and interest rates: [15%; 50%] Long-term volatility: [3.15%; 13.27%]

Credit

Collateralized debt obligations The default rates are based on the market prices of the underlying PFI bonds and the recovery rates are based on historical ratings agency data

80%

Credit

Securitization swaps

Discounted cash flow expected based on the underlying portfolio’s early redemption assumption Hybrid model coupling an equity diffusion, a FX diffusion and a fixed income diffusion

Prepayment rate

5.1% to 24%

Hybrid

Hybrid equity/fixed income/forex (FX) derivatives

Equity-Forex correlations

[(55.5)%; 71%]

Equity-Fixed Income correlations

[(45)%; 40%]

Fixed Income-Forex

[(40.2)%; 26.55%]

Forex

Helvetix: Strip of long-term options, Strip of quanto options, Strip of digital options Helvetix: Spread options and digital spread options

Black & Scholes model

EURCHF/EURUSD correlation [26%: 40%]

Gaussian copula

USDCHF & EURCHF long-term volatility

USDCHF volatility: [2.54%; 11.07%] EURCHF volatility: [3.1%; 8.69%]

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019