NATIXIS -2020 Universal Registration Document

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

In the very specific context of the health crisis, the ECB intervened to make the regulatory framework more flexible, in particular by applying in advance certain provisions due to come into force with CRR2 and CRDV, as well as by reducing the requirement to be covered by CET1, which refers to Tier one and total capital. At the end of the SREP process and after application of these new provisions, Natixis must therefore meet a CET1 ratio of 8.3%, of which 1.27% for Pillar II (excluding P2G), 2.5% for the capital conservation buffer and 0.03% for the countercyclical buffer.

Prudential consolidation scope 3.3.1.2 In accordance with Article 19 of the CRR, the regulatory consolidation scope is established based on the followingprinciples: Entities, excluding insurance companies, that are fully consolidated or consolidated under the equity method in the statutory consolidation scope (see – Note 17 of Chapter 5.1) are included in the regulatory consolidation scope; the Group’s insurance companies are accounted for under the equity method in the regulatory consolidation scope.

Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories (EU LI 1)

Carrying values of items

Not subject to regulatory capital requirements or subject to deduction from capital

Carrying values as reported in published financial statements

Carrying values under scope of regulatory consolidation

Subject to the credit risk framework

Subject to the CCR framework

Subject to the securitization framework

Subject to the market risk framework

Assets (in millions of euros) Cash, central banks

30,637

30,637

30,637

-

-

-

-

Financial assets at fair value through profit or loss

210,378

210,472

26,419

134,838

642

180,330

- -

Hedging derivatives

259

230

-

230

-

-

Financial assets at fair value through other comprehensive income Debt instruments at amortized cost Loans and receivables due from banks and similar items at amortized cost Customer loans and receivables at amortized cost Revaluation adjustments on portfolios hedged against interest rate risk Insurance business investments

13,194

13,194

13,194

- -

526

- -

- -

1,930

1,901

1,901

-

44,691

44,429

41,673

2,755

-

-

-

67,939

66,908

62,705

4,203

-

1,302

-

-

- -

- -

- - - - - - - - - - - -

- - - - - - - - - - - -

- - - - - - - - - - - -

- - - - - -

112,669

Current tax assets Deferred tax assets

270

233

233 422

1,196 5,081

1,232 4,933

809

4,933

Accrual accounts and other assets Non-current assets held for sale

728

728

728

Deferred profit-sharing Investments in associates

-

-

-

879

3,152

3,057

95

Investment property

-

-

-

- -

Property, plant and equipment

1,272

1,253

1,253

Intangible assets

665

501

70

432

Goodwill

3,533

3,439

-

3,439

TOTAL ASSETS 4,775 Note: Carrying values under scope of regulatory consolidation do not equal the sum of risk type breakdown. An exposure can be subject to several risk types. 495,320 383,241 187,225 142,026 1,168 181,631

172

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020