NATIXIS_REGISTRATION_DOCUMENT_2017

3 RISKS AND CAPITAL ADEQUACY At-risk exposures

At-risk exposures 3.13

(These data form an integral part of the financial statements certified by the Statutory Auditors). Natixis was exposed to the following risks at December 31, 2017.

EXPOSURE TO MONOLINE INSURERS R

In 2017, value adjustments went down by €10 million (excluding the effect of the BPCE guarantee) to €63 million at December 31, 2017, versus €73 million at December 31, 2016.

Data at 12.31.2017

Data at 12.31.2016

Pre-value adjustment exposure

Pre-value adjustment exposure

Value adjustments Notional amount

Value adjustments

Notional amount

(in millions of euros)

Protection for CLOs Protection for RMBS

-

-

- -

68 44

4 7

- -

36

5

Other risks

1,466

257

(63)

1,840

342

(73)

TOTAL

1,502

262

(63)

1,952

353

(73)

12.31.2017

12.31.2016

(in millions of euros)

Pre-value adjustment exposure

262 (63)

353 (73)

Value adjustments

RESIDUAL EXPOSURE

199

280

Discount (in %)

24%

21%

EUROPEAN RMBS R

Net exposure to UK RMBS

Net exposure at 12.31.2016

Change in value in 2017

Net exposure at 12.31.2017

UK RMBS (in millions of euros)

Other changes

AAA AA A BBB BB B CCC CC

Trading book

40

-

(11)

29

8 10

3

7

-

1

-

-

TOTAL

40

-

(11)

29

8 10

3

7

-

1

-

-

NET EXPOSURE TO SPANISH RMBS R

Net exposure at 12.31.2016

Change in value in 2017

Net exposure at 12.31.2017

Spanish RMBS (in millions of euros)

Other changes

AAA AA A BBB BB B CCC CC

Trading book

-

-

11

11

-

6

1

3

1

-

-

-

TOTAL

0

0

11

11

-

6

1

3

1

-

-

-

174

Natixis Registration Document 2017