NATIXIS_PILLAR_III_2017_EN

14 APPENDIX

Appendix 3: Leverage ratio common disclosure template (LR2)

Appendix 3: Leverage ratio common disclosure template (LR2)

Provisions governing the leverage ratio (in millions of euros)

12.31.2017

12.31.2016

On-balance sheet exposures (excluding derivatives and SFTs)

1 2

On-balance sheet items (excluding derivatives and SFTs, but including collateral)

267,356 (4,401)

269,576 (4,487)

(Asset amounts deducted in determining Tier 1 capital)

3 TOTAL ON-BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES AND SFTS) (SUM OF LINES 1 AND 2)

262,955

265,089

Derivative exposures

4 Replacement cost associated with all derivative transactions (i.e. net of eligible cash variation margin) 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method)

7,442

10,175 20,744

21,650

EU-5a Exposure determined under Original Exposure Method

6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

7 8 9

(11,259)

(14,642)

(Exempted CCP leg of client-cleared trade exposures) Adjusted effective notional amount of written credit derivatives

16,194

25,607

10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives)

(14,199)

(24,437)

11

TOTAL DERIVATIVE EXPOSURES (SUM OF LINES 4 TO 10)

19,828

17,447

Securities financing transaction exposures

Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions (Netted amounts of cash payables and cash receivables of gross SFT assets)

12 13 14

97,341

102,227 (27,432)

(25,782)

Counterparty credit risk exposure for SFT assets

5,855

7,250

EU-14a Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of regulation (EU) No. 575/2013 15 Agent transaction exposures EU-15a (Exempted CCP leg of client-cleared SFT exposure) 16 TOTAL SECURITIES FINANCING TRANSACTION EXPOSURES (SUM OF LINES 12 TO 15A)

77,414

82,045

Other off-balance sheet exposures

17 18 19

Off-balance sheet exposures at gross notional amount (Adjustments for conversion to credit equivalent amounts)

93,169

85,713

(57,090)

(48,675)

OTHER OFF-BALANCE SHEET EXPOSURES (SUM OF LINES 17 AND 18)

36,079

37,038

Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet) (Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of regulation (EU) No. 575/2013 (on and off balance sheet)) EU-19b (Exposures exempted in accordance with Article 429 (14) of regulation (EU) No. 575/2013 (on and off balance sheet)) Capital and total exposures 20 Tier-1 capital EU-19a

14,271 396,276

14,244 401,619

21

Total leverage ratio exposures (sum of lines 3, 11, 16 and 19)

Leverage ratio Leverage ratio

22

3.60% 3.50%

Choice on phase-in arrangements and amount of derecognized fiduciary items EU-23 Choice on phase-in arrangements for the definition of the capital measure EU-24 Amount of derecognized fiduciary items in accordance with Article 429(11) of regulation (EU) NO 575/2013 EXPOSURE RELATED TO AFFILIATES

47,251

50,540

LEVERAGE RATIO EXCLUDING EXPOSURE RELATED TO AFFILIATES

4.10% 4.10%

160

NATIXIS Risk report Pillar III 2017