NATIXIS - Universal registration document and financial report 2019

5 FINANCIAL DATA

Statutory Auditors’ report on the parent company financial statements

Valuation of financial instruments not quoted on an active market Risk identified and main judgments

Our audit approach We examined the internal control procedures and systems for the identification, valuation and accounting of financial instruments not quoted on an active market. We tested the controls that we deemed relevant to our audit, including those relating to: the validation and periodic review, by the Risk division, of valuation V models and related adjustments; the independent verification of valuation inputs; V the determination of the main valuation adjustments, as well as the V value adjustments made. We carried out these checks with the assistance of our valuation experts, with whom we also carried out independent valuations by examining, on a sample basis, the assumptions, methodologies and models used to estimate the main valuation adjustments at December 31, 2019. We also examined, on a sample basis, any variances in margin calls with Natixis’ market counterparties, which helped us assess the appropriateness of the valuations.

As part of its capital markets activities within the Corporate & Investment Banking division, Natixis holds a significant portion of financial instruments on its balance sheet that are not quoted on an active market. The determination of the market value of these financial instruments is based on valuation techniques that include a significant amount of judgment in the choice of methodologies and data used, given: the use of internal valuation models; V the use of valuation inputs unobservable on the market; V additional valuation adjustments made, to reflect certain market, V counterparty or liquidity risks. We considered financial instruments not quoted on an active market to be a key audit matter due to the material nature of the exposures and the use of judgment in determining fair value. Financial instruments not quoted on an active market are recognized within securities held for sale, securities held for trading and securities held for investment, which represented assets of €45.6 billion at December 31, 2019. Please refer to paragraph 2 of Note 1, and to Notes 6, 27 and 28 to the parent company financial statements for more details.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019