NATIXIS - 2018 Registration document and annual financial report

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

Unencumbered

Fair value of encumbered collateral and own encumbered debt securities issued

Fair value of collateral received or own debt securities issued available for encumbrance

Template B – Collateral received

Collateral received by the reporting institution

150,797

73,591

Call loans

0

0

Equity instruments

37,358 115,001

40,349 20,783

Debt securities

o/w secured bonds

1,842 7,470

880

3

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

1,838

101,570

10,664

o/w securities issued by financial entities o/w securities issued by financial entities Loans and receivables other than call loans

2,250 1,245

3,327 4,527 8,372 1,816

0 0

Other collateral received

Own debt securities issued besides own secured bonds or own asset-backed securities Own secured bonds and asset-backed securities issued and not yet given as collateral TOTAL ASSETS, COLLATERAL RECEIVED AND OWN ISSUED DEBT SECURITIES

0

2,357

548

198,230

Assets, collateral received and own debt securities issued besides secured bonds or securities backed by encumbered assets

Associated liabilities, contingent liabilities or securities lent

Template C – Sources of asset encumbrance Carrying amount of selected financial liabilities

189,635

198,230

financial assets transferred and derecognized: continuing a involvement makes no difference to the transfer for accounting purposes but the assets are not recorded in the statement of encumbered assets (the assets are therefore considered unencumbered); encumbered assets not transferred: securities or debt pledged a as collateral.

Template D – Additional information At December 31, 2018, total balance sheet assets and encumbered guarantees received totaled €198,230 million. These can be broken down by type and source of liabilities: securities transactions, including in particular securities lending a and repurchase agreements, for a total of €171,191 million; encumbered receivables securing covered bond vehicles a (Natixis Pfandbriefbank), for a total of €1,230 million; encumbered receivables in vehicles other than covered bond a asset pools, such as central bank refinancing or other market vehicles, for a total of €5,095 million; assets encumbered by the payment of margin calls on a derivative positions, for a total of €12,446 million. Natixis considers that the following assets may not be encumbered in the normal course of its business: call loans (€33,424 million at 31/12/2018, a i.e. 10% of unencumbered assets); derivatives (€57,480 million at 31/12/2018, a i.e. 16% of unencumbered assets). The concept of encumbered assets may differ from accounting standards relating to assets pledged as collateral or transferred: financial assets pledged as collateral for liabilities: variation a margins recorded in cash in respect of derivative transactions are encumbered but not considered transferred for accounting purposes. Assets deposited with central banks available for use as collateral for potential refinancing transactions are only encumbered for the amount of their effective use, whereas some accounting standards consider them to be fully collateralized; financial assets transferred but not derecognized: no difference a in accounting treatment;

LIQUIDITY REQUIREMENT 3.3.5 COVERAGE RATIO

A – Regulatory liquidity ratios In 2010, the Basel Committee introduced new liquidity risk measures: the Liquidity Coverage Ratio (LCR, January 2013) is a a short-term liquidity ratio whose aim is to ensure that, in stress scenarios, banks hold enough liquid assets to cover their net cash outflows for a 30-day period; the Net Stable Funding Ratio (NSFR, October 2014) is a a long-term structural liquidity ratio developed to strengthen the resilience of the banking sector by requiring banks to maintain a stable funding profile and by limiting maturity transformation to less than one year. These new rules were enacted in the European Union through Regulation (EU) No. 575/2013 of June 26, 2013, which laid down the filing obligations in force during the observation period from January 1, 2014 and set forth the conditions of implementation of these prudential requirements. For the LCR, Delegated Regulation (EU) No. 2015/61, published on October 10, 2014, entered into force on October 1, 2015. The NSFR, which the Basel Committee wants to have applied as a minimum

211

Natixis Registration Document 2018