NATIXIS -2020 Universal Registration Document

5 FINANCIAL DATA

Consolidated financial statements and notes

In addition, as part of the preparation of the 2021-2024 strategic plan, a new baseline scenario was developed. This new baseline scenario, validated by the authorities in December, is largely in line with the consensus forecast of November 2020, which is itself consistent with the forecasts validated in September as part of the development of the three scenarios described above. As regards the projections of the financial variables that feed the model for determining the transition matrices, the new baseline scenario and the consensus of November 2020 are identical. Given this proximity between the different sets of assumptions, IFRS 9 provisions for performing loans were therefore determinedon the basis of the scenarios validated in September adjusted by the weightings validated in December 2020. The weightings of the scenarios used make it possible to reflect the deterioration of several economic variables following the restrictive measures implemented, but also the positive impact on the financial markets of the announcements related to the vaccination last November. The weightings applied at December 31, 2020 are 5% for the pessimistic scenario, 85% for the median scenario and 10% for the optimistic scenario. Changes in the provisioning mechanism in order to better take into account the sector-specific aspects The scenario’s macroeconomic and financial variables make it possible to build new scoring transition matrices and the correspondingprobabilitiesof default (PD), which reflect and respect the overall scenario but do not provide sufficient detail in distinguishing between different business sectors. In order to strengthen and refine the existing system, a sectoral adjustment for PDs was defined based on the assessmentof the rating of economic sectors on a 6-to-12-month time horizon. The average sector-weighted forward-looking PD, produced from the transition matrices, is compared and adjusted to converge toward the equivalent PD in anticipation of the sector’s rating. The sectoral adjustment of the probabilities of default, carried out during the financial year 2020, replaces the use of the change in the rating of the sector as a criterion for monitoring the deterioration of the risk. This more accurate approach makes it possible to better account for sector-specificaspects when assessing credit risk while strengthening the discrimination related to counterparty rating. It makes it possible to mitigate the pro-cyclical impact of the previous methodology,which consistedof always downgradingto Status 2 all counterparty contracts in a sector whose rating had fallen below a certain threshold.

Sensitivity test The application of a greater weighting to the optimistic or pessimisticscenariosmakes it possible to estimate the sensitivity of the amount of expected losses according to the spread of the achievement of the central scenario over future years. Thus, a weighting of the probability of occurrence of the pessimistic scenario at 100% would have resulted in the recognition, at December 31, 2020, of an additional provision of €42.6 million. Conversely, a weighting of the probability of occurrence of the 100% optimistic scenariowould have resulted in a reversal of provisionsof +€94.3 million. Fair value of financial assets affected 1.4.3 by the health crisis Given the effects of the COVID-19 health crisis on financial markets, the valuation of some products was affected by market illiquidity in fiscal year 2020. Against this backdrop, CIB’s activities were exposed to significant remarking of certain value factors, such as the “dividend” component: the announcement by some companies that they would suspend V their dividends led to a near-elimination of most short-term dividends and was also reflected in the consensus values used for the remarking of this factor; due to a stressed market environment that generated significant V fluctuations, the “volatility” factor was also remarked for all of the transactions involved. Natixis’ revenues in fiscal year 2020 were affected by this situation (see Note 1.4.4) with, however, a decrease in the level of remarking in the second half of the year. In addition, in the context of the health crisis, the Asset Management business line carried out a comprehensive review of its portfolio which resulted in the recognition of impairment losses during the 2020 fiscal year (see note 1.4.4.). Stakes held in non-publicly-tradedPrivate Equity funds (seed money portfolio) are valued using IPEV (International Private Equity and Venture Capital Valuation) Guidelines, which are also recommended by Invest Europe

1.4.4 (in millions of euros)

Summary table of the main impacts of the COVID-19 health crisis

31/12/2020

Net revenues

(226)

Seed money portfolio mark-downs

Asset Management

30 36 (6)

listed V

unlisted V

Dividend mark-downs on equity products

CIB CIB

(283)

CVA/DVA impact (a)

16 10

FVA impact (b)

Corporate center

CIB

(610) (836)

Provision for credit losses (c)

TOTAL PRE-TAX PROFIT IMPACT

Net income of the XVA desk, including changes in the value of hedging instruments. (a) Share of the FVA impact hedged by Financial Management. (b) Provision For credit losses due to the effects of the COVID-19 crisis such as the impact of IFRS 9 provisions on healthy loans, fraud provisioning, (c) and counterparties operating in the aviation sector.

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NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2020