NATIXIS_PILLAR_III_2017_EN

APPENDIX Appendix 5: Cross-reference tables

Page of Pillar III report

Page of Registration document

CRR Article

Basel Committee/EBA tables and statements

Reference in Pillar III report

Securitization Article 449

(BCBS) SECA – Qualitative disclosure requirements related to securitization exposures

7.2. Management of risks related to securitization transactions

94-95

139

(BCBS) SEC1 - Securitization exposures in the banking book (BCBS) SEC2 - Securitization exposures in the trading book

Table 43

96

Table 44

96

(BCBS) SEC3 - Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor (BCBS) SEC4 - Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as investor NX33BIS - Banking book EAD by agency

Table 48

98

Table 49

98

Art. 449( k) Market risk Art. 445

Table 42

95

(EBA) EU MR1 - Market risk own funds requirements

Table 50

104

Article 105 and article 455 (c)

(EBA) EU MRB A - Qualitative disclosures for banks using the Internal Models Approach (IMA) (EBA) EU MRB B - Qualitative disclosures for banks using the Internal Models Approach (IMA) (EBA) EU MR2 – A - Market risk under internal models approach

8.3 Methodology for measuring market risk 8.3 Methodology for measuring market risk

102-103 140 to 142

Article 455 (a) and (b)

102-103 140 to 142

Article 455 (e)

Table 53

105

Article 455 (d) Article 455 (g)

(EBA) EU MR3 - IMA values for trading portfolios Table 51

104 105

(EBA) EU MR4 - Comparison of VaR estimates with gains/losses

Table 52

145

Operational risk Article 446

(BCBS) ORA – General qualitative data on operational risk management (BCBS) OR1 – Change in operational losses (BCBS) OR3 – Change in operational losses declared in 2017 - Corep view

10. Operational risk

124 to 127

147 to 150

Table 62 Table 63

126 126

Interest rate risk (IRRBB) Article 448

(BCBS) Table A – IRRBB management policies and objectives

9.4. Management of structural interest rate risk Table 59 (IRRBB – Table B)

117

158

(BCBS) Table B – NII sensitivity

118

159

Remuneration Article 450

(BCBS) REMA – Remuneration policy

First update of Pillar III Report

14

165

NATIXIS Risk report Pillar III 2017