NATIXIS - 2018 Registration document and annual financial report

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

Capital planning 3.3.1.5 Capital planning consists of determining Natixis’ target capital adequacy level, continually ensuring compliance with regulatory capital requirements in all compartments and capital adequacy in line with the risk appetite defined by the institution, and adapting capital allocation and measurement of business line profitability accordingly. Accordingly, the New Dimension strategy plan is targeting a fully loaded CET1 ratio of 11.0% at the end of the plan by 2020 end. With a fully-loaded CET1 ratio excluding phase-in arrangements of 10.82% at December 31, 2018, Natixis is therefore in line with this benchmark. The capital planning system adapts all processes with the aim of ultimately meeting the requirements of the supervisory authorities, shareholders and investors: continuously maintaining the targets set in terms of capital a adequacy; developing an internal approach for measuring capital a requirements and overseeing Natixis’ resilience under stress scenarios (ICAAP); projecting capital requirements specific to business line a activity, within the framework of Natixis’ overall capital adequacy policy; anticipating regulatory changes and their impact on Natixis’ a various business lines; implementing a system for analyzing the capital consumption a of the businesses and their profitability on the basis of Basel 3/CRR risk-weighted assets; allocating capital to the business lines, within the framework of a strategic plan and annual budget procedures, taking into account business requirements, profitability and balance between the core business divisions.

Outlook The European MREL ratio introduced by the BRRD Directive is applicable to Natixis, unless otherwise stipulated, according to the methods still to be defined by the Single Resolution Board. Together with BPCE Group as a whole, Natixis contributed to collecting detailed information on liabilities, as required by the SRB in 2018. As the BRRD Directive is currently under review, the mechanisms for managing and preparing for this new ratio are not yet finalized.

OTHER REGULATORY RATIOS 3.3.2

Leverage ratio 3.3.2.1 The Basel Committee has set up a system for managing leverage risk. The system was included in the CRR, defining leverage as being equal to Tier 1 capital divided by on-balance sheet exposures (after certain restatements, notably on derivatives and repurchase agreements) and off-balance sheet exposures (after applying balance sheet equivalent conversion factors). The CRR was amended by a Delegated Act, which entered into force on March 31, 2015. The reporting templates that take those amendments into account have only been used since September 30, 2016, in accordance with the implementation deadlines. Under Pillar II, the leverage ratio must be calculated and reported to the supervisor as of January 1, 2014. Its publication is mandatory as of January 1, 2015. Natixis is already prepared to calculate and publish its leverage ratio (according to the rules set out in the Delegated Act) and to implement the balance sheet oversight needed to converge towards the target ratio under consideration.

COMPARISON OF ACCOUNTING EXPOSURES AND LEVERAGE EXPOSURES (LR1) R

Category (in millions of euros)

31/12/2018

31/12/2017

1

Total consolidated assets reported in the financial statements

495,496

519,987

2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation 3 (Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measurement, in accordance with Article 429 (13) of Regulation (EU) No. 575/2013 “CRR”) 4 Adjustments for derivative financial instruments Adjustment for securities financing transactions (repurchase transactions and other types of collateralized loans) Adjustment for off-balance sheet items (i.e. conversion of off-balance sheet exposures to credit equivalent amounts) 5

(100,864)

(94,937)

(26,969)

(29,265)

(17,774)

(19,927)

6 7

39,614

36,079

Other adjustments

(16,539)

(15,661)

8

LEVERAGE RATIO EXPOSURE* o/w exposure related to affiliates

372,964 38,808 334,156

396,276 47,251 349,025

* *

Excluding exposure related to affiliates

180

Natixis Registration Document 2018