NATIXIS -2020 Universal Registration Document

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

(in millions of euros)

EAD post CRM

RWA

Segregated initial margin Non-segregated initial margin

Prefunded default fund contributions Unfunded default fund contributions:

B – Capital requirements and risk-weighted assets Capital requirements for credit valuation adjustments (EU CCR2)

EAD post-CRM techniques

(in millions of euros)

RWA

5,354

1,538

Total portfolios subject to the advanced method i) VaR component (including the 3×multiplier) ii) Stressed VaR component (including the 3×multiplier) All portfolios subject to the standardized method Based on Original Exposure Method TOTAL SUBJECT TO THE CVA CAPITAL CHARGE 31/12/2020 Total subject to the CVA capital charge 31/12/2019 Securitization 3.3.3.4 A – Accounting methods (See Consolidated financial statements and notes – Note 5 Accounting principles and valuation methods.) The securitization positions classified as Amortized cost are measured at amortized cost using the effective interest rate method as described in Note 5.1 to the accounting principles which can be found in Section 5.1 “Consolidated financial statements and notes” to Chapter [5] “Financial data” of the consolidated financial statements. They are tested for impairment at each reporting date and an impairment charge is recorded in the income statement under “Provision for credit losses”. Securitization positions classified under Faire value through equity are measured at their market value and any changes, excluding income recognized using the effective interest method, are recorded in a specific line in equity. Securitizationpositions (classified as debt instruments)are tested for impairmentat each reportingdate and an impairment charge is recorded under “Provisions for crediltosses”. In the event of a disposal of securitization positions (classified as debt instruments), Natixis transfers any changes in fair value for recognition in the income statement.

186

1,351

2,523

746

7,877 7,671

2,284 1,336

Positions classified under “Fair value through profit or loss” are measured at market value. The market value is measured according to principles described in Note 5.6 of Accounting principles which can be found in Section 5.1 “Consolidated financial statements and notes” to Chapter [5] “Financial data”. Gains or losses on the disposal of securitization positions are recognized in line with the rules applicable to the category in which the positions sold were initially classified. Synthetic securitization transactions in the form of Credit Default Swaps follow accounting rules specific to trading derivatives. Securitized assets are derecognized when Natixis transfers the contractual rights to receive the financial asset’s cash flows and nearly all the risks and benefits of ownership. B – Internal rating system (Data certified by the Statutory Auditors in accordance withIFRS 7) Natixis relies on four external rating agencies for securitization transactions: Moody’s, DBRS, Fitch IBCA and Standard & Poor’s. These agencies cover all types of exposures.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020