NATIXIS_PILLAR_III_2017_EN

SECURITIZATION Management of risks related to securitization transactions

EXTERNAL RATING SYSTEM 7.2.2

(Data certified by the Statutory Auditors in accordance with IFRS 7) Natixis relies on four external rating agencies for securitization transactions: Moody’s, DBRS, Fitch IBCA and Standard & Poor’s. These agencies cover all types of exposures.

TABLE 42 (NX33 BIS): BANKING BOOK EAD BY AGENCY R

EAD in millions of euros

Standardized approach

Rating agency

IRB approach

Total

Moody’s

725

85

810

DBRS

1,416

758

2,174

Fitch IBCA

310 450 323

310 682 323

Standard & Poor’s

232

Not rated

Transparency

1,929

1,929 2,206

Regulatory method

2,206

TOTAL

5,430

3,004

8,434

SECURITIZATION VEHICLES 7.2.3

Natixis acts as sponsor in ABCP-type securitization transactions receivables as well as the management of the issuance program, through three vehicles, namely Versailles, Bleachers and thus giving it power over the conduits’ relevant activities and Magenta. Of these vehicles, only two are consolidated in Natixis’ influence over the amount of their returns. In contrast, given that scope of regulatory consolidation: Versailles and Natixis is not part of the governing body holding the power to Bleachers/Mountcliff. For both vehicles, Natixis plays a decide on Magenta’s relevant activities, this conduit is not predominant role in the selection and management of acquired consolidated in Natixis’ scope of regulatory consolidation.

7

95

NATIXIS Risk report Pillar III 2017