NATIXIS - 2018 Registration document and annual financial report

FINANCIAL DATA Consolidated financial statements and notes

For these instruments, the following table provides the main unobservable inputs as well as value ranges.

Data ranges unobservable among relevant level 3 products

Main types of products comprising Level 3 within the instrument class

Valuation techniques used

Main unobservable data

Instrument class

Credit derivative instruments

Collateralized debt obligations

The default rates are based on the market prices of the underlying PFI bonds and the recovery rates are based on historical ratings agency data Discounted cash flow expected based on the underlying portfolio’s early redemption assumption

Correlation between the assets, base spread between the cash asset and derivative asset, recovery rate

50% -100%

Interest rate derivatives

Securitization swaps

Early redemption rate

[2% - 28%]

Sticky CMS/Volatility Bond Valuation models for interest rate options

Mean reversion parameters

[0%; 5%]

Callable Spread Options and Corridor Callable Spread Options Spread Lock Swap and Spread Lock Option

Model representing several yield curve factors

Mean-reversion spread [0%; 30%]

5

Bivariate normal model to understand the time value of Spread Lock options, and replication for CMS and TEC Forwards

Spread Lock curve, TEC Forward Volatility and TEC/CMS correlation

Spread-Lock: [+11.65bp, +11.93bp] TEC vol =[17bp, 74bp] TEC-CMS correl = [50%, 90%]

Volatility cap/floor

Black & Scholes

Interest rate vol. for currencies absent from Totem or long maturities Forex vol. for currency pairs absent from Totem or long maturities

Interest rate vol.: 4% to 100%

Currency derivative instruments

European barrier call option Asian call option Vanilla digital call option European vanilla call option TRS and repos indexed to a basket of general collateral equities

Skew Model Local volatility model Black & Scholes

ATM vol.: [1.04% to 20.62%]

Repos and general collateral TRS

Synthetic modeling of the underlying general collateral basket (with an estimated repo) and actuarial valuation for TRS or with a standard hybrid Equity/Fixed Income model for TRS autocall Black & Scholes model Gaussian copula

Repo curve for general collateral baskets

General collateral repo: [-0.78 to +1.5]

Forex/forex correlation USDCHF & EURCHF long-term volatility

EURCHF correlation: [47%; 51%] USDCHF correlation: [(74)%; 71%] EURCHF long-term volatility: [8.5%, 10%] USDCHF long-term volatility: [9.5%; 12%] EURUSD long-term volatility: [9.5%; 12%]

Strip of long-term options, Strip of quanto options, Strip of digital options Spread options and digital spread options

Helvetix derivatives

Fund-based derivatives

Payoffs as Target Volatility strategy and CPPI on Mutual Funds

The approach used is a hybrid model coupling the local volatility-type multi-underlying equity model with a one-factor Heath-Jarrow-Morton (HJM1F) interest rate model Hybrid fixed income/forex options valuation model

Fund data

Fund—Interest rate correlation: [-39% to 30%]

Hybrid fixed income/forex derivatives

Long-term PRDC/PRDKO/TARN

Correlation between foreign exchange rates and interest rates as well as long-term volatility levels

AUDJPY and USDJPY correlation: [15% to 50%] Long-term volatility: [8.74% to 15.45%]

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Natixis Registration Document 2018