NATIXIS_REGISTRATION_DOCUMENT_2017

FINANCIAL DATA Consolidated financial statements and notes

Interests held in non-consolidated 4.2 structured entities The table below shows the (i) book value of interests held by Natixis in structuredentities, broken down by major activities,as well as (ii) the maximumexposureto the risk of loss attributable to these interests. As well as the breakdownof Natixis’ interests in these entities, the table below also provides information on the size of the entities. This information is reported on an aggregate basis, in which all entities that Natixis has an interest in, regardlessof the level of the interest,are groupedtogetherby business. The size of structuredentitiesequates: for Securitization, to the total issues under balance sheet a liabilities;

for AssetManagement,to the fund’snet assets; a for Structured Financing, to the amount of remaining loans a outstandingdue to banks in the pool (drawnoutstandings); for other activities,to the total assets. a The maximum risk exposure corresponds to the cumulative amount of interests recorded under balance sheet assets and commitmentsgiven,minus contingencyreservesrecordedunder liabilitiesand guaranteesreceived: the “Notional amount of derivatives”item correspondsto the a notional amount of option and CDS sales agreed to by Natixis with structuredentities; guaranteesreceived are guaranteesgranted by third parties to a Natixis to cover its exposure related to structured entities. They are only included on the “Guaranteesreceived” line and are not deductedfrom the asset items.

At December 31, 2017

5

12.31.2017

Asset Management

Structured Financing Other activities

Securitization

Total

(in millions of euros)

Financial assets at fair value through profit or loss

115

9,368

901

308 308

10,693

Trading derivatives

9

227

65

608

Trading instruments (excluding derivatives) Financial instruments at fair value through profit or loss

85

4,077

624

1

4,787

21

5,065 2,876 1,784

213

-

5,298 3,771

Available-for-sale financial assets

841

15

40

Loans and receivables

3,605

12,495

995

18,879

Held-to-maturity financial assets

-

-

-

-

-

Other assets

4

38

39

27

109

TOTAL ASSETS

4,565

14,066

13,450

1,371

33,452

Financial liabilities at fair value through profit or loss (derivatives)

54

237

499

37

828

Provisions

-

1

3

1

5

TOTAL LIABILITIES

54

238 488

503

38

832

Financing commitments given

4,457

2,091 2,057 2,807 2,380

530

7,567 8,109 3,070 4,013

Guarantees given

167

5,881

4

Guarantees received

-

1

263 922

Notional amount of sales of options and CDS

425

286

MAXIMUM EXPOSURE TO RISK OF LOSS

9,614

20,720

17,168

2,565

50,066

SIZE OF STRUCTURED ENTITIES 348,166 For Asset Management entities, guarantees given correspond to capital and/or performance guarantees given to mutual funds (see Note 4.1.3). 92,996 192,081 61,831 1,258

225

Natixis Registration Document 2017