NATIXIS_PILLAR_III_2017_EN

7 SECURITIZATION

Natixis’ securitization exposures

Natixis’ securitization exposures 7.3

TABLE 43 (SEC1): SECURITIZATION EXPOSURES IN THE BANKING BOOK R

Bank acting as originator

Bank acting as sponsor

Bank acting as investor

Traditional

Synthetic

Sub-total Traditional

Synthetic

Sub-total Traditional

Synthetic

Sub-total

(in millions of euros)

UNCONSOLIDATED SPV RMBS

1

1

196 318

196 318

Consumer ABS Consumer loans Re-securitization TOTAL RETAIL Corporate loans

1,049

1,049

4

4

83

83

4

4

1,134

1,134

513

513

2,195

2,195

2

2

ABS CDO

1,843 1,349

1,843 1,349

56

56

349

349

CMBS

140

140

27

27

Other wholesale Re-securitization

1

1

385

385

435

435

1

1

TOTAL WHOLESALE

141

2,195

2,337

3,577

3,577

869

869

TOTAL UNCONSOLIDATED SPV CONSOLIDATED SPV Consumer loans (Retail)

145

2,195

2,341

4,711

4,711

1,382

1,382

671

671

Corporate loans (Wholesale)

3,169

3,169

TOTAL CONSOLIDATED SPV 3,840

3,840

TABLE 44 (SEC2): SECURITIZATION EXPOSURES IN THE TRADING BOOK R

Bank acting as originator

Bank acting as sponsor

Bank acting as investor

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

(in millions of euros)

RMBS

71 23

71 23

Consumer ABS

Consumer loans Re-securitization RETAIL (TOTAL) - OF WHICH:

94

94

Corporate loans ABS

1

1

CDO

46

46

CMBS Other

53

53

Re-securitization

1

1

WHOLESALE (TOTAL)

102

102

96

NATIXIS Risk report Pillar III 2017