NATIXIS - 2018 Registration document and annual financial report

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

MARKET RISK UNDER THE IMA (EU MR2-A) R

RWA Capital requirements

(in millions of euros)

1 Value at risk (Maximum of both values a and b)

1,169

94 24

a Previous day’s VaR (Article 365 (1))

305

b Average of the daily VaR (Article 365 (1)) of the CRR on each of the preceding 60 business days x multiplication factor (in line with Article 366)

1,169 2,905

94

2 Stressed VaR (SVaR)

232

a Latest SVaR (Article 365 (2))

645

52

b Average of the daily SVaR (Article 365 (2)) of the CRR during the preceding 60 business days x multiplication factor (Article 366)

2,905

232

3 Additional default and migration risk

370

30

a Most recent IRC value (incremental default and migration risks calculated in accordance with Section 3 of Articles 370/371)

370 324

30 26

b Average of the IRC number over the preceding 12 weeks

4 Additional default risk on the correlation portfolio a Most recent risk number for the correlation trading portfolio (Article 377) b Average of the risk number for the correlation trading portfolio over the preceding 12 weeks c 8% of the own funds requirement in the standardized approach on the most recent risk number for the correlation trading portfolio (Article 338 (4)) 5 TOTAL 31/12/2018

4,444 4,229

356 338

TOTAL 31/12/2017

Overall interest rate risk 3.3.3.6 The measurement of interest rate risk is presented in “Risk management—Overall interest rate risks”.

Operational risks 3.3.3.7 The operational risks control system is presented in “Risk management—Operational risks”.

ENCUMBERED AND UNENCUMBERED ASSETS 3.3.4

As part of its refinancing activities, and repurchase agreements in particular, Natixis is required to pledge part of its assets as collateral. It also receives collateral, some of which can be reused as collateral.

The following information is provided in accordance with Commission Delegated Regulation (EU) 2017/2295 of September 4, 2017, which established technical regulations for the disclosure of encumbered and unencumbered assets.

The following data are calculated on the basis of the median value for the four quarters of 2018.

Template A – Encumbered and unencumbered assets

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of unencumbered assets

Fair value of unencumbered assets

Assets of the reporting institution

47,707 15,313 13,408

360,082 11,697 14,887

Equity instruments

Debt securities

13,408

14,887

o/w secured bonds

107

107

746 555

746 555

o/w asset-backed securities o/w government issues

1

1

7,558 7,056

7,558 7,056

9,446 3,007 1,402

9,446 3,007 1,402

o/w securities issued by financial entities o/w securities issued by financial entities

556

556

Other assets

18,496

330,388

210

Natixis Registration Document 2018