NATIXIS_REGISTRATION_DOCUMENT_2017

5 FINANCIAL DATA

Consolidated financial statements and notes

The following types of securitizationare encounteredat Natixis and involvestructuredentities: transactions through which Natixis (or a subsidiary) transfers a credit risk related to one of its asset portfolios to a dedicated vehiclein cash or syntheticform; securitization transactions on behalf of third parties. These a transactions consist in placing the assets of a third-party company in a dedicated structure (generally a special purpose entity (SPE) or a conduit). The SPE issues shares that may in some cases be subscribed to directly by investors, or subscribed to by a multi-seller conduit which refinances the purchases of its shares by issuing short-maturity “notes” (treasurynotes or commercialpaper). Natixis is mainly involvedin these entitiesin its capacityas: structurer/arrangerof securitizationtransactions; a originator of securities or loans held as assets and pending a securitization; credit risk intermediary between the market and the a securitizationentity. In 2017, Natixisdisposedof a portfolioof loans grantedto French and Europeanbusinessesby purchasingprotectionin the formof a perfectly collateralized on-demand guarantee. Securitization vehicles subject to consolidation but not consolidated due to their materialityare listed in Note 17.1. In 2017, Natixis also completed various securitization transactions for commercial real estate financing originated by NatixisReal EstateCapitalLLC. Natixis is also the sponsor of two ABCP (asset-backed commercialpaper)conduits:Magentaand Versailles. The Versaillesconduitis consolidated,with Natixisholdingpower over activities relevant to the conduit enabling it to influencethe amount of its returns, given its prominent role in the choosing and management of acquired receivables as well as the managementof the issuanceprogram. In contrast, given that Natixis is not part of the governing body holdingthe power to decideon activitiesrelevantto the Magenta conduit,it is not consolidatedin Natixis’accounts. Management of CDO asset management structures Natixis Investment Managers is involved in such funds as manager of the underlying portfolio for third-party investors. Its role is strictly defined by the portfolio managementagreement, which never providesit with effectivecontrolof the structurebut rather with the role of agent. Furthermore, neither Natixis Investment Managers nor any other Natixis entity holds a material interest in these funds. Therefore, Natixis is not significantlyexposedto the variabilityof returns. Credit insurance (Coface) The Coface sub-group’s credit enhancementoperations consist of insuring receivables securitized by a third party for investors via a structured entity for losses in excess of a predefined amount. A distinctionmust be made between the policies taken out by the German branch Coface Deutschlandand those taken out by Compagnie Française d’Assurance pour le Commerce Extérieur: under the German policies, the credit insurer is only liable for a losses in excess of a deductible termed the Aggregate First Loss. This first loss tranche contractuallydefines the amount of first losses that are not covered by the credit insurer. The

coverageprovidedby CofaceKredit via these policies is similar to “Natural disaster” type coverage. An analysis of these structures shows that the amount of the first loss is systematically higher than the expected loss, namely the average losses expected over the year. Furthermore, the activity of the structured entity is not conducted on behalf of the credit insurer, which is only a protection seller. Coface Kredit does not sponsor the securitization structures. Coface Kredit does not play any role in determiningthe activity of the structured entity, nor in its operational or administrative management. Coface Kredit has no power over the relevant activities of the securitization vehicle (selecting receivables comprising the portfolio, managing receivables, etc.).As the criteria for powers and significant exposure to returns are not met, these funds are not subjectto consolidation; the French policies taken out by Coface rarely include a non-covered“first losses”. However,the policies only cover a small portion of the receivablesheld by the SPE. Furthermore, the quality of portfolio risk covered by Coface, compared to that borne by the other stakeholders(other insurers,sponsors, sellers) is not such as to significantly transfer the structure’s risks to Coface. In addition, Coface does not play any role in determining the activity of the structured entity, nor in its operational or administrativemanagement. In the event of a guaranteeactivation,Cofaceonly has powers correspondingto its protective rights. Indeed, Coface does not have any power over activities relevant to the securitization vehicle. Accordingly,such funds do not requireconsolidation. 4.1.5 Natixis controlsa certain numberof vehicleswhose purpose is a to manage operatingproperty and non-operatingproperty. The relevant activity is mainly the management of property as sources of returns for shareholders. Natixis generally has power over these activities. Such SPEs are consolidatedonce Natixis has a material interest and if they are material to the consolidatedfinancialstatementsof Natixis. The Natixis Lease sub-group owns a certain number of a structuredentitieswhich own real estate assets. Two of them are consolidatedto the extent that Natixis has power over the relevant activities and is significantlyexposed to the variability of returns. Entities subject to consolidation but not consolidated due to their lack of materiality are listed in Note 17.1. CEGC controls two SCIs holding the business line’s operating a propertyand a third SCI holdingreal estate assets.These three SCIs were no longer consolidatedat December 31,2017 (see Note 3.2) . NatixisCoficinéhas relationshipswith: a structured entities created by producers to host a film j production. Coficiné is involved only as a lender. It has no stake in the entity, which is wholly owned by the producer. Coficiné does not participate in managing the entity, as activity falls within the remit of the producer. Coficiné, and thereforeNatixis,has no power over the relevantactivitiesof these structuredentitiesand has no controlunder IFRS 10; Film Industry Financingcompanies(SOFICA).Natixis holds a j non-material stake in these SOFICAs and receives management fees at market rates consistent with the services rendered. Natixis does not hold any other interests in these structured entities. Therefore, they are not subject to consolidationunder IFRS 10. Other transactions

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Natixis Registration Document 2017