NATIXIS - 2018 Registration document and annual financial report

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

LEVERAGE RATIO (LR2) R

Provisions governing the leverage ratio (in millions of euros)

31/12/2018

31/12/2017

On-balance sheet exposures (excluding derivatives and SFTs)

1 2

On-balance sheet items (excluding derivatives and SFTs, but including collateral)

238,045 (4,941)

267,356 (4,401)

(Asset amounts deducted in determining Tier 1 capital)

3 TOTAL ON-BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES AND SFTS) (SUM OF LINES 1 AND 2)

233,104

262,955

3

Derivative exposures

4 Replacement cost associated with all derivative transactions (i.e. net of eligible cash variation margin) 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework 7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) EU-5a Exposure determined under Original Exposure Method

6,686

7,442

21,353

21,650

(11,597)

(11,259)

8 9

(Exempted CCP leg of client-cleared trade exposures) Adjusted effective notional amount of written credit derivatives

11,238 (8,766)

16,194

10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives)

(14,198)

11 TOTAL DERIVATIVE EXPOSURES (SUM OF LINES 4 TO 10)

18,914

19,828

Securities financing transaction exposures

12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 13 (Netted amounts of cash payables and cash receivables of gross SFT assets)

99,107

97,341

(23,939)

(25,782)

14 Counterparty credit risk exposure for SFT assets

6,164

5,855

EU-14a Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of regulation (EU) No. 575/2013 15 Agent transaction exposures EU-15a (Exempted CCP leg of client-cleared SFT exposure) 16 TOTAL SECURITIES FINANCING TRANSACTION EXPOSURES (SUM OF LINES 12 TO 15A)

81,332

77,414

Other off-balance sheet exposures 17 Off-balance sheet exposures at gross notional amount 18 (Adjustments for conversion to credit equivalent amounts)

95,529

93,169

(55,914)

(57,090)

19 OTHER OFF-BALANCE SHEET EXPOSURES (SUM OF LINES 17 AND 18) Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet) EU-19a (Exemption of intra-group exposures (solo basis) in accordance with Article 429 (7) of regulation (EU) No. 575/2013 (on and off balance sheet)) EU-19b (Exposures exempted in accordance with Article 429 (14) of regulation (EU) No. 575/2013

39,614

36,079

(on and off balance sheet)) Capital and total exposures

20 Tier-1 capital

14,074 372,964

14,271 396,276

21 Total leverage ratio exposures (sum of lines 3, 11, 16 and 19)

Leverage ratio 22 Leverage ratio

3.8%

3.6%

Choice on phase-in arrangements and amount of derecognized fiduciary items EU-23 Choice on phase-in arrangements for the definition of the capital measure EU-24 Amount of derecognized fiduciary items in accordance with Article 429 (11) of regulation (EU) No. 575/2013 EXPOSURE RELATED TO AFFILIATES

38,808

47,251

LEVERAGE RATIO EXCLUDING EXPOSURE RELATED TO AFFILIATES

4.2%

4.1%

Oversight of the leverage ratio 3.3.2.2 Under the French Ministerial Order of November 3, 2014 on internal control by companies in the banking, payment services and investment services sector subject to the supervision of the ACPR, the companies in question are required to set overall limits and establish policies and processes to detect, manage and monitor excessive leverage risk. Accordingly, Natixis established:

a governance system under the authority of the ALM a Committee, chaired by the CEO, for managing and monitoring excessive leverage risk ( see section 3.2.7.1 ); a dedicated risk policy for excessive leverage risk; notably, the a ALM Committee decided on early adoption of a target leverage ratio well above the 3% minimum requirement currently recommended by the Basel Committee, in keeping with the Bank’s transformation strategy towards an asset-light model, as advocated by the New Frontier plan;

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Natixis Registration Document 2018