NATIXIS - 2018 Registration document and annual financial report

FINANCIAL DATA Consolidated financial statements and notes

Real estate funds The relevant activities of these funds are those involving the investment and divestment of real estate assets. These funds are managed on behalf of investors by Natixis Investment Managers’ management companies (AEW Europe, AEW Central Europe, etc.). With regard to compensation, the returns received by Natixis include income received by Natixis as a management company (management fees, incentive fees, etc.) and as an investor (dividends). A fund is subject to consolidation if Natixis acts as principal (e.g. Natixis is a manager and is not revocable by a limited number of people and holds material variable returns). Real estate funds subject to consolidation but not consolidated due to their materiality are listed in Note 19.1. Private Equity funds As part of its Private Equity operations, Natixis makes equity investments in unlisted companies via Private Equity investment vehicles (Fonds Communs de Placement à Risque—FCPRs—Private Equity investment funds and SICARs—Sociétés d’Investissement à Capital Risque—venture capital companies) and limited partnerships which it typically manages. The analysis criteria for IFRS 10 consolidation applied to Private Equity funds are the same as those applied to real estate funds. A fund is subject to consolidation if Natixis acts as principal (e.g. Natixis is a manager and is not revocable by a limited number of people and holds material variable returns). Private Equity funds subject to consolidation but not consolidated due to their materiality are listed in Note 19.1. Securitization transactions are generally constituted in the form of structured entities used to segregate assets or derivatives representative of credit risks. The purpose of such entities is to diversify and tranche the underlying credit risks, most often with a view to their acquisition by investors seeking a certain level of compensation based on the level of risk assumed. The assets of these vehicles, and the liabilities they issue, are rated by rating agencies, which continually monitor the suitability between the level of risk associated with each tranche sold and the rating attributed. The following types of securitization are encountered at Natixis and involve structured entities: transactions through which Natixis (or a subsidiary) transfers a credit risk relating to one of its asset portfolios to a dedicated vehicle in cash or synthetic form; securitization transactions on behalf of third parties. These a transactions consist in placing the assets of a third-party company in a dedicated structure (generally a special purpose entity (SPE) or a conduit). The SPE issues units that may in some cases be subscribed to directly by investors, or subscribed to by a multi-seller conduit which refinances the purchases of its units by issuing short-maturity “notes” (treasury notes or commercial paper). Natixis is mainly involved in these entities in its capacity as: structurer/arranger of securitization transactions; a Securitization transactions 5.1.4 Securitization vehicles

originator of securities or loans held as assets pending a securitization; credit risk intermediary between the market and the a securitization entity. In 2018, as in 2017, Natixis disposed of a portfolio of loans granted to French and European companies by purchasing protection in the form of a perfectly collateralized on-demand guarantee. Natixis also completed various securitization transactions in 2018, as in 2017, relating to commercial real estate financing originated by Natixis Real Estate Capital LLC. Securitization vehicles subject to consolidation but not consolidated due to their materiality are listed in Note 19.1. Natixis is also the sponsor of two ABCP (asset-backed commercial paper) conduits: Magenta and Versailles. The Versailles conduit is consolidated, with Natixis holding power over activities relevant to the conduit enabling it to influence the amount of its returns, given its prominent role in the choosing and management of acquired receivables as well as the management of the issuance program. In contrast, given that Natixis is not part of the governing body holding the power to decide on the Magenta conduit’s relevant activities, it is not consolidated in Natixis’ financial statements. Management of CDO asset management structures Natixis Investment Managers is involved in such funds as manager of the underlying portfolio for third-party investors. Its role is strictly defined by the portfolio management agreement, which never provides it with effective control of the structure but rather with the role of agent. Furthermore, neither Natixis Investment Managers nor any other Natixis entity holds a material interest in these funds. Natixis is therefore not significantly exposed to the variability of returns. Credit insurance (Coface) The Coface sub-group’s credit enhancement operations consist of insuring receivables securitized by a third party for investors via a structured entity for losses in excess of a predefined amount. A distinction must be made between the policies taken out by the German branch Coface Deutschland and those taken out by Compagnie Française d’Assurance pour le Commerce Extérieur: under the German policies, the credit insurer is only liable for a losses in excess of a deductible termed the aggregate first loss. This first loss tranche contractually defines the amount of first losses that are not covered by the credit insurer. The coverage provided by Coface Kredit via these policies is similar to “Natural disaster” type coverage. An analysis of these structures shows that the amount of the first loss is systematically higher than the expected loss, namely the average losses expected over the year. Furthermore, the activity of the structured entity is not conducted on behalf of the credit insurer, which is only a protection seller. Coface Kredit does not sponsor the securitization structures. Coface Kredit does not play any role in determining the activity of the structured entity, nor in its operational or administrative management. Coface Kredit has no power over the relevant activities of the securitization vehicle (selecting receivables comprising the portfolio, managing receivables, etc.). As the criteria for powers and significant exposure to returns are not met, these funds are not subject to consolidation;

5

273

Natixis Registration Document 2018