NATIXIS_PILLAR_III_2017_EN

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Prudential consolidation scope

Prudential consolidation scope 3.2

In accordance with Article 19 of the CRR, the scope of regulatory consolidation is established based on the following principles: Entities, excluding insurance companies, that are fully consolidated or consolidated under the equity method in the statutory consolidation scope (see 2017 Natixis registration

document, Note 17 of Chapter 5.1) are included in the scope of regulatory consolidation; the Group’s insurance companies are accounted for under the equity method in the scope of regulatory

consolidation.

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TABLE 1 (EU LI1): DIFFERENCES BETWEEN ACCOUNTING AND REGULATORY SCOPES OF CONSOLIDATION R AND THE MAPPING OF FINANCIAL STATEMENTS CATEGORIES WITH REGULATORY RISK CATEGORIES

Carrying values of items:

Not subject to regulatory capital requirements or subject to deduction from capital

Carrying values as reported in published financial statements

Carrying values under scope of regulatory consolidation

Subject to the credit risk framework

Subject to the CCR framework

Subject to the securitization framework

Subject to the market risk framework

ASSETS (in millions of euros)

Cash, central banks

36,901

36,901

36,901

Financial assets at fair value through profit or loss

184,497

161,725

13,712

104,709

818

142,838

Hedging derivatives

339

337

337

154

Available-for-sale financial assets Loans and receivables due from banks

57,885

10,923

9,349

1,766

7

45,289

44,006

36,493

7,480

6,110

Customer loans and receivables

136,768

127,773

82,365

45,271

557

42,985

Revaluation adjustments on portfolios hedged against interest rate risk Held-to-maturity financial assets

1,885

Current tax assets Deferred tax assets

577

460

460 879

1,585

1,490

611

Accrual accounts and other assets Non-current assets held for sale Deferred profit-sharing Investments in associates

46,624

32,898

32,898

3

738

40

40

734

3,949

3,717

232

Investment property Property, plant and equipment

1,073

124

124

758 732

698 511

698

Intangible assets

0

511

Goodwill

3,601

3,215

3,215

TOTAL ASSETS 4,568 Note: Carrying values under the scope of regulatory consolidation do not equal the sum of their values after being broken down by risk type. An exposure can be subject to several risk types. 519,987 425,049 217,636 157,797 3,144 192,094

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NATIXIS Risk report Pillar III 2017