NATIXIS_REGISTRATION_DOCUMENT_2017

RISKS AND CAPITAL ADEQUACY Overall interest rate, liquidity and structural foreign exchange risks

regulations in force. The liquidity of the portfolios (mainly subject to delegated management by Natixis Asset Managementfrom 2015 and managed directly under a Natixis mandate since 2017) and the assets reinvested with central banks ensure the reserve can be mobilized immediately if needed. HQLA assets reported in the LCR numerator also include unencumbered HQLA securities temporarily carried by the Capital marketsactivities.These securitiesare not consideredas part of the ringfenced liquidity reserve and are not meant to be held over the long term. The outstanding amount and compositionof these portfoliosmay vary considerablyfrom one reportingdate to the next, as prices fluctuate.However,they can be monetized on the repo and securities borrowing/lending market, and this monetizationmay be forced in the event the Group liquidity-stressedBCP is activatedand executed. In addition to these buffers, the aim of the internal policy governing the investment of residual surplus liquidity is to reserve this liquidity for the deposit facility to ensure its continuous availability; accordingly, this surplus liquidity is also includedin the amountof assetsreportedin the LCR numerator. In June 2013, Natixis established a governance system for the managementof the LCR (see section 3.9.2.5) , having set an LCR limit higher than 100% from the end of 2013 (greater than the regulatory requirements in force). The oversight of the LCR is part of a GroupeBPCE frameworkunder the aegis of the Groupe BPCE Financedivision.Natixis’LCR hedgingis organizedin close cooperationwith BPCE and is managedby the Joint Refinancing Pool, acting with the authorizationof the Financial Management Departmenton the basis of its forecasts.Within this framework, the strategy for the Natixis scope aims to hedge the LCR above 100% with a safety buffer of around €5 billion in order to deal with any last-minute contingencies,through BPCE adjustments. Oversight of the short-term liquidity ratio

The structural over-hedge of the Group's LCR above the 100% threshold for an 80% regulatory limit at end-2017, is borne by BPCE. Oversight of the leverage ratio Under the French Ministerial Order of November 3, 2014, on internal control by companies in the banking, payment services and investmentservices sector subject to the supervisionof the ACPR, the companies in question are required to set overall limits and establish policies and processes to detect, manage and monitorexcessiveleveragerisk. Accordingly,Natixisestablished: a governance system under the authority of the ALM a Committee,chaired by the CEO, for managingand monitoring excessiveleveragerisk (see section 3.9.1) ; a dedicatedrisk policy for excessiveleveragerisk; notably, the a ALMCommitteedecidedon early adoptionof a target leverage ratio well above the 3% minimum requirement currently recommendedby the Basel Committee, in keeping with the Bank’stransformationstrategytowardsan asset-lightmodel,as advocated by the New Frontier plan; an overall limit and an alert threshold applied to Natixis’ a leverageratio, proposedby the ALM Committeeand approved by the Risk Committee. In accordancewith the operational oversight establishedby the Financial Management Department in partnership with the business lines, Natixis successfully achieved its target leverage ratio. This target ratio is higher than the regulatory requirement, which will enter into force in Europe on a still-unknowndate. As such, Natixis maintained a leverage ratio of above 4% in 2017. As in 2016, management and oversight of this ratio were achieved by setting constraints for activities (such as repos and securitieslending transactions,derivativecontracts,etc.) that are not RWA-intensivebut are balancesheet-intensive.

3

COMPARISON OF ACCOUNTING EXPOSURES AND LEVERAGE EXPOSURES (LR1) R

 (in millions of euros) Category

12.31.2017

12.31.2016

1

Total consolidated assets reported in the financial statements

519,987

527,860

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation (Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measurement, in accordance with Article 429 (13) of Regulation (EU) No. 575/2013 “CRR”) Adjustment for securities financing transactions (repurchase transactions and other types of collateralized loans) Adjustment for off-balance sheet items (i.e. conversion of off-balance sheet exposures to credit equivalent amounts) Adjustments for derivative financial instruments

2

(94,937) 

(85,135) 

3 4

(29,265)

(38,832)

5

(19,927)

(20,183)

6 7 8 * *

36,079

37,038

Other adjustments

(15,660)

(19,129)

LEVERAGE RATIO EXPOSURE* o/w exposure related to affiliates Excluding exposure related to affiliates

396,276 47,251 349,025

401,619 50,540 351,079

157

Natixis Registration Document 2017