NATIXIS_REGISTRATION_DOCUMENT_2017

3 RISKS AND CAPITAL ADEQUACY

Overall interest rate, liquidity and structural foreign exchange risks

The liquid asset buffer – in the regulatory sense – is the numeratorof the LCR (HQLA)and predominantlyconsistsof: Level 1 liquid assets,i.e. cash depositedwith centralbanks; a other Level 1 liquid assets consisting mainly of marketable a securitiesrepresentingclaimson, or guaranteesby, sovereigns,

central banks and public sector entities,and high-ratedcovered bonds; Level 2 liquid securities consisting mainly of covered bonds a and debt securities issued by sovereigns or public sector entities not eligible for Level 1, corporate debt securities and equitieslisted on activemarketsthat satisfycertainconditions.

LIQUIDITY RATIO (LCR) AT 12.31.2017 R

12.31.2017

Non risk-weighted

value* Risk-weighted value*

(in millions of euros)

Total high quality liquid assets (HQLA) Total high quality liquid assets (HQLA)

55,008

Cash outflows Retail deposits and deposits from small business customers

1,875

187

Unsecured wholesale funding, of which:

55,586

40,691

Operational deposits

5,021

1,255

Non-operational deposits

45,608

34,478

Unsecured debt

4,957

4,957

Secured wholesale funding

24,023 14,159

Additional requirements, of which:

52,710

Outflows related to derivative exposures and other collateral requirements

5,512

5,010 9,149

Credit and liquidity facilities

47,198 14,601 30,703

Other contractual funding obligations Other contingent funding obligations

12,198

799

Total cash outflows

92,058

Cash inflows Transactions collateralized by securities Inflows from fully performing exposures

75,101 27,063 12,886 115,049

8,600

24,934

Other cash inflows Total cash inflows

8,266

41,799 55,008

Total HQLA

TOTAL NET CASH OUTFLOWS Liquidity Coverage Ratio (%)

50,259

109% Weighting refers to the discounts applied to liquid assets and to inflow/outflow rates applied to the cash inflow/outflow base. Non risk-weighted * liquid assets are presented at market value. The non risk-weighted value of cash inflows/outflows is the outstanding value at 30 days or was determined in accordance with the calculation methods recommended by regulations.

Reserves and operational 3.9.2.6 management of ratios Operational liquidity reserves Froman operationalstandpoint,Natixishas two liquidityreserves that contributeto GroupeBPCE’sreserves: a reserve of liquid assets eligible for central bank collateralized a refinancing operations to secure intra-day settlements; this relatively stable reserve is made up of central bank loans and securities, and is located in Paris (about €4 billion in the 3G Pool) and New York (approximately $3 billion at the FRB discountwindow); a liquidity reserve established in advance to meet a liquidity a crisis similar to the one simulated by the LCR; the amount of this reserve ranges from €20 billionto €30 billionand is mainly reinvested with the ECB and the US Federal Reserve. Since 2015, a portion of assets in this reserve has been under “dedicated” management in special portfolios, with an allocation strategy focused on the list of financial instruments considered as Level 1 and Level 2 HQLA as defined by LCR

Natixis’ LCR was 109% at December 31,2017, with total liquid assets of €55.0 billion according to the eligibility rules of the Delegated Act, i.e. surplus liquidity of €4.7 billion. The liquid asset buffer consistspredominantlyof central bank depositsand sovereignsecurities. In the denominator, cash outflows (€92.1 billion) are primarily generated by the run-off of deposits (€40.7 billion), repurchase agreements maturing within 30 days (€24.0 billion) and other cash outflows (€14.2 billion). Other cash outflows include outflows related to market-stressedcollateral requirementsand outflows that would be subsequent to an up to 3-notch downgrade in Natixis’ credit rating by the rating agencies. The cash inflows recorded(€41.8 billion)were due to loans (including BPCE or financialcustomers)reachingmaturity(€24.9 billion)and to repurchaseagreementsmaturingwithin30 days (€8.6 billion).

156

Natixis Registration Document 2017