NATIXIS - 2018 Registration document and annual financial report

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Risk management

AT-RISK EXPOSURES 3.2.11

(These data form an integral part of the financial statements certified by the Statutory Auditors). Natixis was exposed to the following risks at December 31, 2018.

EXPOSURE TO MONOLINE INSURERS R

In 2018, value adjustments went down by €40 million (excluding the effect of the BPCE guarantee) to €23 million at December 31, 2018, versus €63 million at December 31, 2017.

Data at 31/12/2018

Data at 31/12/2017

Prevalue adjustment exposure Value adjustments

Prevalue adjustment exposure Value adjustments

Notional amount

Notional amount

(in millions of euros)

Protection for RMBS

36

5

-

Other risks

1,202

176

(23)

1,466

257

(63)

TOTAL

1,202

176

(23)

1,502

262

(63)

31/12/2018

31/12/2017

(in millions of euros)

Prevalue adjustment exposure

176 (23)

262 (63)

Value adjustments

RESIDUAL EXPOSURE

153

199

Discount (in %)

13%

24%

EUROPEAN RMBS R

Net exposure to UK RMBS

UK RMBS (in millions of euros)

Net exposure at 31/12/2017

Change in value in 2018

Other changes

Net exposure at 31/12/2018

AAA AA A BBB BB B CCC CC

Trading book

29

-

(4)

25

9 11 2

3

-

-

-

-

TOTAL

29

-

(4)

25

9 11 2

3

-

-

-

-

Net exposure to Spanish RMBS

Spanish RMBS (in millions of euros)

Net exposure at 31/12/2017

Change in value in 2018

Other changes

Net exposure at 31/12/2018

AAA AA A BBB BB B CCC CC

Trading book

11

-

13

24

0 18 6

-

-

-

-

-

TOTAL

11

0

13

24

-

18 6

-

-

-

-

-

CMBS R

CMBS (in millions of euros)

Net exposure as at 31/12/2017

FTA reclassifications (a)

Net exposure as at 01.01.2018

Change in value

Net exposure at 31/12/2018

in 2018 Other changes

Trading book

1

1

- -

25 75

26

Loans and receivables portfolio

146

(23)

123

198

Portfolio of financial assets at fair value through profit or loss

0

23

23

27

49

TOTAL 274 The reclassifications relating to the first-time application of IFRS 9 are detailed in Note 1 of Chapter [5.1] “Financial data” of the Update to the (a) 2018 registration document. 147 0 147 0 127

164

Natixis Registration Document 2018