NATIXIS_PILLAR_III_2017_EN

CAPITAL MANAGEMENT AND CAPITAL ADEQUACY Changes in regulatory capital, regulatory own fund requirements and ratios in 2017

At €110.7 billion, risk-weighted assets decreased €4.8 billion over the year.

TABLE 8: RISK-WEIGHTED ASSETS AT DECEMBER 31, 2017 R

Credit risk

CVA Market risk Operational risk

Total RWA

(in billions of euros)

BASEL 3 AT 12.31.2016 Changes in exchange rates Changes in business activity Improvement in risk parameters

86.9 (2.2)

3.8

11.1

13.7

115.5

(2.2)

4.5

(2.6)

1.1

2.9

3

(3.1) (0.4) (0.6)

(1.4)

(4.5) (0.4) (0.6)

Acquisitions and disposals of financial investments

Impact of guarantees

BASEL 3 AT 12.31.2017

85.0

1.2

9.7

14.8

110.7

The -€1.9 billion decrease in credit risk over the period was primarily due to the following factors: an increase in outstandings (+€4.5 billion), driven mainly by a a higher level of activity; the impact of the dollar’s depreciation (-€2.2 billion); a an improvement in risk inputs (improved Basel provisions, a shortening of maturities), amounting to -€3.1 billion; a guarantee effect of -€0.6 billion; a an acquisitions and disposals effect for a net impact of a -€0.4 billion.

The -€2.6 billion decrease in counterparty risk can primarily be attributed to changes in volumes and the establishment of hedges. Market risk fell -€1.4 billion due to changes in risk inputs and positions. Operational risk was up +€1.1 billion as the benchmark indicator for fiscal year 2017 was replaced with that of fiscal year 2014 (standard practice is to calculate operational risk using the average indicator for the previous three years).

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NATIXIS Risk report Pillar III 2017