NATIXIS_PILLAR_III_2017_EN

SECURITIZATION Natixis’ securitization exposures

TABLE 45 (NX31-A): EAD AND RWA ACCORDING TO NATIXIS’ ROLE IN THE BANKING BOOK R

Capital requirement

EAD

RWA

(in millions of euros)

Investor

1,382

703 524 179 283 283

57 42 15 23 23

On-balance sheet and exposure Off-balance sheet and exposure

902 480

Originator

2,341 2,341 4,711

On-balance sheet and exposure

Sponsor

1,501

120

On-balance sheet and exposure Off-balance sheet and exposure

872

147

12

3,839

1,354

108

TOTAL AT 12.31.2017 TOTAL AT 12.31.2016

8,434 9,040

2,487 1,818

200 145

TABLE 46 (NX31-B): EAD ACCORDING TO THE NATIXIS' ROLE IN THE SECURITIZATION TRADING BOOK R

Capital requirement

Role (in millions of euros)

EAD

RWA

Investor

196

169

14

Originator Sponsor TOTAL AT 12.31.2017 TOTAL AT 12.31.2016

196 248

169

14

79

6

7

TABLE 47 (NX34): RE-SECURITIZATION EXPOSURES BEFORE AND AFTER SUBSTITUTION R

Guarantor rating (in millions of euros)

Exposure

Protection

EAD

AA

57 57

57 57

Sub-total

Not guaranteed

1

1

TOTAL AT 12.31.2017 TOTAL AT 12.31.2016

58

57

1 5

229

224

97

NATIXIS Risk report Pillar III 2017