NATIXIS_PILLAR_III_2017_EN

OVERALL INTEREST RATE, LIQUIDITY AND STRUCTURAL FOREIGN EXCHANGE RISKS Management of liquidity and funding risk

NATIXIS’ MEDIUM- AND LONG-TERM DEBT ISSUANCE PROGRAM R

EMTN 8,237

NEU MTN

USMTN

Bond issues

(in millions of euros or euro equivalents)

Issues at 12.31.2017

500 730

44

5,821 8,806

Outstandings at 12.31.2017

13,649

213

REGULATORY LIQUIDITY RATIOS 9.2.5

quarterly statements on stable funding, which are entirely a descriptive (amounts and terms) without any weighting applied. Natixis determines its LCR on a consolidated basis and operationally manages its liquidity position and liquidity coverage requirements relative to these new metrics, having set a minimum ratio of 100%. Natixis regularly assesses its contribution to the Group’s NSFR based on its interpretation of known legislation. Liquid asset buffers The Delegated Act on the LCR, adopted on October 10, 2014, defined liquid assets and the criteria they must meet to be eligible for the liquidity buffer used to cover funding needs in the event of a short-term liquidity crisis. Liquid assets must meet a number of intrinsic requirements (issuer, rating, market liquidity, etc.) and operational requirements (availability of assets, diversification, etc.) in a 30 calendar day liquidity stress scenario. The liquid asset buffer – in the regulatory sense – is the numerator of the LCR (HQLA) and predominantly consists of: Level 1 liquid assets, i.e. cash deposited with central banks; a other Level 1 liquid assets consisting mainly of marketable a securities representing claims on, or guarantees by, sovereigns, central banks and public sector entities, and high-rated covered bonds; Level 2 liquid securities consisting mainly of covered bonds a and debt securities issued by sovereigns or public sector entities not eligible for Level 1, corporate debt securities and equities listed on active markets that satisfy certain conditions.

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 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 wished to establish as a minimum requirement as from 2018, is still in the observation period; a legislative proposal was submitted by the European Commission on November 23, 2016 to enact the NSFR within the European Union. To date, European regulations require: compliance with the LCR as from October 1, 2015; required a minimum ratio of 80% on January 1, 2017 and 100% from January 1, 2018;

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NATIXIS Risk report Pillar III 2017