NATIXIS_REGISTRATION_DOCUMENT_2017

RISKS AND CAPITAL ADEQUACY Securitization transactions

Securitization transactions 3.6

GENERAL POLICY 3.6.1

the first involves the daily identification of all rating a downgrades affecting Groupe BPCE’s securitization positions as well as the associated potential risks and, if necessary, decidingon an appropriatecourseof action; the second is underpinned by a quantitative (ratings, a valuations) and qualitative analysis of securitization positions for the purposeof segmentingthe portfolioon the basis of risk levels. The results of these analyses are written up and discussed in a quarterly presentation at the meeting of the Watch List and ProvisionsCommittee. Furthermore,the liquidity risk is managed as part of the global monitoringof the Group’s activities, particularlywith the help of ALM indicators subject to limits, such as liquidity gaps and hedgingratios.

(Data certified by the Statutory Auditors in accordance with IFRS7) Natixishas securitizedassetson its acquiredbalancesheet: as an investor, through transactions for its clients, through a derivative transactions and, to a marginal degree, through its market-making activity on certain ABS (particularly Asset-BackedCommercialPaper); as a sponsor, i.e. on transactions for its clients to create and a manageABS programs; as an originator, i.e. as part of its refinancing activities when a Natixis securitizes certain portfolios of loans granted to customers. This activity is carried out in line with Natixis’ general “originate-to-distribute” strategy. Natixis mainly invests in assets with high levels of collateral, spreads and seniority. Natixis also applies a sector-specificand geographicdiversificationstrategyto underlyingassets. Natixis’ credit decision-making process is followed for all securitization transactions. Three criteria are considered for securitization transactions, namely the amount, maturity and (external)rating. For every structured arrangement subject to approval, a substantiated request and a description of the arrangement, collateral, seller/originator and the planned tranching must be submitted,alongwith an analysisof the associatedguarantees. A counter-analysisis then carried out by the Risk division and, if necessary,a quantitativeanalysis of the portfolio’sdefault risks. Transactionsare examined and decisions are made based on all of the loan application’s parameters, including the expected profit margin on the loan, the capital burn and compliancewith the currentrisk policy. Like vanilla finance transactions, securitization structures and transactionsare reviewedat least once a year, while transactions on the watchlistare re-examinedat least once a quarter. Natixismanagesthe risks associatedwith securitizationpositions throughtwomechanisms:

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EXTERNAL RATING SYSTEM 3.6.2

(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. Theseagenciescover all types of exposures.

SECURITIZATION VEHICLES 3.6.3

Natixis acts as sponsor in ABCP-type securitizationtransactions through three vehicles, namely Versailles, Bleachers and Magenta.Of these vehicles,only two are consolidatedin Natixis’ regulatory consolidation scope: Versailles and Bleachers/ Mountcliff.For both vehicles, Natixis plays a predominantrole in the selectionand managementof acquiredreceivablesas well as the managementof the issuance program, thus giving it power over the conduits’ relevant activities and influence over the amount of their returns. In contrast,given that Natixis is not part of the governingbody holdingthe power to decideon Magenta's relevant activities, this conduit is not consolidated in Natixis’ regulatoryconsolidationscope.

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Natixis Registration Document 2017