NATIXIS -2020 Universal Registration Document

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

Changes in regulatory capital, regulatory capital requirements and ratios 3.3.1.4 in 2020

In accordance with the Basel 3/CRR regulatory framework, under Pillar I these ratios must exceed the minimum limits of 4.5%, 6% and 8%, respectively, in addition to the cumulative safety buffers of 7.03%, 8.53% and 10.53%, respectively for 2020, and of 7.04%, 8.54% and 10.54%, respectively for 2021.

Regulatory capital and capital adequacy ratio The 2020 CET1, Tier 1 and total ratios are presented below by major component. The same ratios for 2019 are shown by way of comparison.

Total capital ratio

(in millions of euros)

31/12/2019

31/12/2020

Shareholders’ equity Group share Deeply subordinated notes (DSNs) Perpetual subordinated notes (PSN)

19,229

19,396

1,978

1,978

0

0

3

Consolidated shareholders’ equity (Group share) net of DSNs and PSNs

17,251

17,418

Minority interests (amount before phase-in arrangements)

167

286

Intangible assets

(432)

(479)

Goodwill

(3,213)

(3,385)

(189)

(977)

Dividends proposed to the General Shareholders’ Meeting and expenses

Deductions, prudential restatements and phase-in arrangements

(1,440) 12,143

(1,696) 11,168

Total Common Equity Tier 1 capital

Deeply subordinated notes (DSNs) and preference shares

2,073

2,165

Additional Tier 1 capital

0

0

Tier 1 deductions and phase-in arrangements

(22)

(22)

Total Tier 1 capital Tier 2 instruments Other Tier 2 capital

14,194

13,311

3,201

2,996

51

26

Tier 2 deductions and phase-in arrangements

(1,110) 16,337 104,985

(760)

Overall capital

15,573 98,990 73,084 11,141 13,733

Total risk-weighted assets Credit risk-weighted assets Market risk-weighted assets Operational risk-weighted assets Other risk-weighted assets Capital adequacy ratios Common Equity Tier 1 ratio

78,869 13,128 12,988

0

1,031*

11.6% 13.5% 15.6%

11.3% 13.4% 15.7%

Tier 1 ratio

Total capital ratio

* Securitization linked to the old framework.

Geographical distribution of credit exposures used in the countercyclical buffer (CCYB1)

Value of exposures and/or RWA used to determine the CCyB

Countercyclical capital buffer rate

Breakdown by country (in millions of euros)

CCyB rate specific to Natixis

CCyB requirement specific to Natixis

Value of exposures

RWA

BG – BULGARIA

0.50% 0.50% 1.00% 0.25% 1.00% 1.00%

3

1

CZ – CZECH REPUBLIC

HK – HONG KONG

3,186

1,302 3,210

LU – LUXEMBOURG

38,568

NO – NORWAY

432

117

SK – SLOVAKIA

18

1

Sub-total

42,207

4,630

Other countries with a 0% risk weight

152,898

68,205

TOTAL AT 31/12/2020 TOTAL AT 31/12/2019

195,105 184,868

72,836 68,950

0.0305% 0.2108%

32

209

179

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020