NATIXIS_REGISTRATION_DOCUMENT_2017

5 FINANCIAL DATA

Statutory Auditors’ report on the parent company financial statements

Valuation of financial instruments not quoted on an active market

Risk identified and main judgements

Our audit approach

As part of its Corporate & Investment Banking activity, Natixis S.A. holds securitiesthat are marked-to-marketon the asset side of its balance sheet, including a significant portion of financial instrumentsthat are not quotedon an activemarket. The determination of the market value of these financial instruments is based on valuation techniques that include a significantamount of judgementin the choice of methodologies and data used: determination of valuation inputs that are not observable on a the market; use of internalvaluationmodels; a estimation of additional valuation adjustments, to reflect a certainmarket,counterpartyor liquidityrisks. We considered financial instruments not quoted on an active market to be a key audit matter due to the materialnature of the exposuresand the use of judgementin determiningtheir value. Financial instruments not quoted on an active market are recognized within securities held for sale and securities held for trading, which represented assets of €91 billion at December 31, 2017. Please refer to paragraph 2 of Note 1 and to Notes 5, 26 and 27 to the parent company financial statements for more details.

We familiarized ourselves with the internal control procedures governing the valuation and recognition of financial instruments that are not quoted on an active market; for example,we spoke with the departmentsin chargeof first- and second-levelcontrols and acquired information on the work carried out during the closingof the accounts. We tested the controls we considered relevant to our audit, particularlythose relatedto: the validation and periodic review, by the Risk Division, of a valuationmodels, the independentverificationof valuationinputs, a the determinationof the main valuation adjustments, as well a as the value adjustmentsmade. We carried out these checkswith the assistanceof our valuation experts, with whom we also carried out independentvaluations by examining, on a sample basis, the assumptions, methodologiesand models used to estimate the main valuation adjustments. We also examined, on a sample basis, any variances in margin calls with Natixis'marketcounterparties,which helpedus assess the appropriatenessof the valuations.

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Natixis Registration Document 2017