NATIXIS_PILLAR_III_2017_EN

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

TABLE 54: LIQUIDITY RATIO (LCR) AT 12.31.2017 R

12.31.2017

Non risk-weighted value*

Risk-weighted value*

(in millions of euros)

TOTAL HIGH QUALITY LIQUID ASSETS (HQLA) Total high quality liquid assets (HQLA)

55,008

CASH OUTFLOWS Retail deposits and deposits from small business customers

1,875

187

Unsecured wholesale funding, of which:

55,586

40,691

Operational deposits

5,021

1,255

Non-operational deposits

45,608

34,478

Unsecured debt

4,957

4,957

Secured wholesale funding

24,023 14,159

Additional requirements, of which:

52,710

Outflows related to derivative exposures and other collateral requirements

5,512

5,010 9,149

Credit and liquidity facilities

47,198 14,601 30,703

Other contractual funding obligations Other contingent funding obligations

12,198

799

TOTAL CASH OUTFLOWS

92,058

CASH INFLOWS Transactions collateralized by securities Inflows from fully performing exposures

75,101 27,063 12,886 115,049

8,600

24,934

Other cash inflows

8,266

TOTAL CASH INFLOWS

41,799 55,008

TOTAL HQLA

TOTAL NET CASH OUTFLOWS Liquidity Coverage Ratio (%)

50,259

109% Weighting refers to the discounts applied to liquid assets and to inflow/outflow rates applied to the cash inflow/outflow base. Non risk-weighted * liquid assets are presented at market value. The non risk-weighted value of cash inflows/outflows is the outstanding value at 30 days or was determined in accordance with the calculation methods recommended by regulations.

RESERVES AND OPERATIONAL 9.2.6 MANAGEMENT OF RATIOS

Natixis’ LCR was 109% at December 31, 2017, with total liquid assets of €55.0 billion according to the eligibility rules of the Delegated Act, i.e. surplus liquidity of €4.7 billion. The liquid asset buffer consists predominantly of central bank deposits and sovereign securities. In the denominator, cash outflows (€92.1 billion) are primarily generated by the run-off of deposits (€40.7 billion), repurchase agreements maturing within 30 days (€24.0 billion) and other cash outflows (€14.2 billion). Other cash outflows include outflows related to market-stressed collateral requirements and outflows that would be subsequent to an up to 3-notch downgrade in Natixis’ credit rating by the rating agencies. The cash inflows recorded (€41.8 billion) were due to loans (including BPCE or financial customers) reaching maturity (€24.9 billion) and to repurchase agreements maturing within 30 days (€8.6 billion).

Operational liquidity reserves 9.2.6.1 From an operational standpoint, Natixis has two liquidity reserves that contribute to Groupe BPCE’s reserves: a reserve of liquid assets eligible for central bank collateralized a refinancing operations to secure intra-day settlements; this relatively stable reserve is made up of central bank loans and securities, and is located in Paris (about €4 billion in the 3G Pool) and New York (approximately $3 billion at the FRB discount window); a liquidity reserve established in advance to meet a liquidity a crisis similar to the one simulated by the LCR; the amount of this reserve ranges from €20 billion to €30 billion and is mainly reinvested with the ECB and the US Federal Reserve. Since 2015, a portion of assets in this reserve has been under “dedicated” management in special portfolios, with an allocation strategy focused on the list of financial instruments considered as Level 1 and Level 2 HQLA as defined by LCR regulations in force. The liquidity of the portfolios (mainly subject to delegated management by Natixis Asset Management from 2015 and managed directly under a Natixis mandate since 2017) and the assets reinvested with central banks ensure the reserve can be mobilized immediately if needed.

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NATIXIS Risk report Pillar III 2017

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