NATIXIS - 2018 Registration document and annual financial report

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

Composition of capital 3.3.1.3 In accordance with the provisions introduced by the CRR and with the national provisions defined by the ACPR, regulatory capital (calculated on the basis of book equity), comprises three categories, as described below. Each category comprises liability items extracted from the consolidated financial statements and restated by automatically applying deductions, either directly or subject to thresholds. Until 2021, regulatory capital is subject to phase-in arrangements and grandfathering provisions to support the roll-out of the CRR. Common Equity Tier One (CET1) CET1 is calculated using shareholders’ equity (excluding reclassified hybrid securities), with the following restatements: deductions not subject to phase-in arrangements: a estimated dividend, j goodwill and intangible assets, j recyclable unrealized gains and losses on hedging j derivatives, own credit risk on debts issued and financial instruments j (Debit Value Adjustment), prudent valuation adjustments, j expected loss on equity positions and shortfall of provisions j on expected losses on credit positions, revaluation adjustments on defined-benefit plan j commitments; non-bank minority interests; j bank minority interests exceeding the limits set by j regulations; recyclable gains or losses on available-for-sale assets; j company-controlled stock and cross-shareholdings; j amount exceeding threshold 1 on non-material holdings of j capital instruments issued by financial entities; amount exceeding threshold 2 on material holdings of capital j instruments issued by financial entities;

amount exceeding threshold 2 on deferred tax assets j dependent on future earnings and resulting from temporary differences; amount exceeding threshold 3 common to amounts not j deducted in respect of threshold 2; any surplus deduction of Additional Tier One capital (see j below); deductions subject to phase-in arrangements: a deferred tax assets dependent on future earnings, but not j related to temporary differences. Additional Tier One (AT1) Capital AT1 capital comprises: subordinated debt instruments recognized as AT1 after a applying phase-in arrangements; deductions made from this category ; a any surplus deduction of Tier 2 capital (see below) . a Detailed information on the debt instruments recognized in Additional Tier 1 capital and their characteristics at December 31, 2018, as required by Commission Implementing Regulation No. 1423/2013 (Annex II), is available on the Natixis website ( www.natixis.com ). Tier Two (T2) Capital T2 capital comprises: subordinated debt instruments recognized as T2 capital after a applying phase-in arrangements; deductions made from this category ; a any surplus provisions related to expected losses. a Detailed information on debt instruments recognized in Tier 2 capital and their characteristics at December 31, 2018, as required by Commission Implementing Regulation No. 1423/2013 (Annex II) is available on the Natixis website ( www.natixis.com ). At December 31, 2018, the transition from shareholders' equity to regulatory CET1 capital, Tier 1 capital and total capital after applying phase-in arrangements, is summarized in the table below.

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Natixis Registration Document 2018