NATIXIS_REGISTRATION_DOCUMENT_2017

5 FINANCIAL DATA

Consolidated financial statements and notes

If the selected valuation model is not recognized by current marketpractices,or if one of the inputs significantlyaffectingthe instrument’svaluationis not observable,the trading profit on the trade date cannot be recognized immediately in the income statement, but is taken to income on a straight-line basis over the life of the transaction or until the date the inputs become observable. Any losses incurred at the trade date are immediatelyrecognizedin income.

At December 31,2017, instrumentsfor which the recognitionof day-oneprofit/losshas been deferredincluded: multi-underlyingstructuredequity and index products; a syntheticloans; a optionson funds (multi-assetand mutualfunds); a structuredfixed-incomeproducts; a securitizationswaps. a

For these instruments,the followingtable providesthe main unobservableinputs as well as value ranges.

Main types of products comprising Level 3 within the instrument class

Data ranges unobservable among relevant level 3 products

Instrument class

Valuation techniques used

Main unobservable data

Credit derivative instruments

CDOs, Index tranche

Technique for estimating defaults given correlation effects and recovery modeling

Correlation curve specific to the portfolio underlying the CDO

5% -95%  (a)

Private Finance Initiative CDS (other than CDS on securitization assets) Securitization swaps

Extrapolation from prices based on the recovery assumption

Recovery rate

60%-100%

Interest rate derivatives

Discounted cash flow expected based on the underlying portfolio’s early redemption assumption Valuation models for interest rate options Model representing several yield curve factors Bivariate normal model to understand the time value of Spread Lock options, and replication for CMS and TEC Forwards

Early redemption rate

2%-17%

Sticky CMS/Volatility Bond Callable Spread Options and Corridor Callable Spread Options Spread Lock Swap and Spread Lock Option

Mean reversion parameters Spread mean-reversion

[1%; 5%]

[0%; 30%]

Spread Lock curve TEC Forward Volatility and TEC/CMS correlation

Spread-Lock: [+2.28 bp, +29.94 bp] TEC vol. = [50 bp, 70 bp] TEC-CMS correl. = [70%, 95%] Interest rate vol.: 4.69% to 101.36%

Volatility cap/floor

Black & Scholes

Interest rate vol. for currencies absent from Totem or long maturities Forex vol. for currency pairs absent from Totem or long maturities

Currency derivative instruments

European barrier call option Asian call option, Vanilla digital call option, European call option TRS and repos indexed to a basket of general collateral equities

Skew Model, Local volatility model, Black & Scholes,

ATM vol.: 0.84% to 22.25%

Repos and general collateral TRS

Synthetic modeling of the underlying general collateral basket (with an estimated repo) and actuarial valuation for TRS or with a standard hybrid Equity/Fixed Income model for TRS autocall

Repo curve for general collateral baskets

General collateral repo: -0.84 to +0.5

Helvetix derivatives Strip of long-term

Black & Scholes model Gaussian copula

Forex/forex correlation

EUR/CHF correlation: 36.7%; 40.9% Long-term volatility: 9% -16% USD/CHF correlation: -69.10%; -78.80% Long-term volatility: 9% -15%

options, Strip of quanto options, Strip of digital options Options spread and digital options spread

Long-term USD/CHF & EUR/CHF volatility

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Natixis Registration Document 2017