NATIXIS_REGISTRATION_DOCUMENT_2017

8 ADDITIONAL INFORMATION Table Index

Page of  Pillar III report

Page of Registration document

Subject

Title of table

Table 36 (EU CCR1): Analysis of counterparty credit risk (CCR) exposure by approach Table 37 (EU CCR3): Standardized approach of CCR exposures by regulatory portfolio and risk weight

 85   86 

Counterparty risk

Table 38 (EU CCR4): IRB – CCR exposures by portfolio and PD scale

 87 to 89 

Table 39 (EU CCR6): Credit derivative exposures

 89 

Table 40 (EUCCR8): Exposures to CCPs

90

Table 41 (EU CCR2): Credit valuation adjustment (CVA) capital charge

 91   95   96   96   97  97   97   98 

Table 42 (NX33 BIS): Banking book EAD by agency

Securitization

Table 43 (SEC1): Securitization exposures in the banking book Table 44 (SEC2): Securitization exposures in the trading book

Table 45 (NX31-A): On- and off-balance sheet EAD according to Natixis’ role in the banking book Table 46 (NX31-B): EAD according to Natixis’ role in the trading book Table 47 (NX34): Resecuritization positions before and after substitution Table 48 (SEC3): Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor Table 49 (SEC4): Securitization exposures in the banking book and associated capital requirements – bank acting as investor

 98 

Table 50 (EU MR1): Market risk own funds requirements Table 51 (EU MR3): IMA values for trading portfolios Table 52 (EU MR4): Comparison of VaR estimates with gains/losses Table 53 (EU MR2-A): Market risk under internal models approach

 104   104 

Market risk

 105

 145

 105 

Table 54: Liquidity ratio (LCR) at 12.31.2017

 114  115  117  118  118  119

 156  157  159  159  159  160  161

Liquidity risk

Table 55 (LR1): Comparison of accounting exposures and leverage exposures Table 56: Measure of sensitivity to +1% variation in interest rates, by maturity at December 31, 2017

Overall interest rate risk

Table 57: Interest rate gap by maturity at December 31, 2017

Table 58 (IRRBB – Table B): NII sensitivity

Table 59: Encumbered and unencumbered assets at 12.31.2017 (in millions of euros)

Other disclosures

Table 60: Breakdown of financial liabilities by contractual maturity

 120-121

Table 61: (OR1): Change in operational losses

 126   126 

Operational risk

Table 62: (OR3): Change in operational losses declared in 2017 - Corep view

Table 63: Exposure to monoline insurers

 140  140  140  141

 174  174  175  175

At-risk exposures

Table 64: European RMBS

Table 65: CMBS

Table 66: Exposures to countries subject to a rescue plan

Appendix 1: Transition from the accounting balance sheet to the regulatory balance sheet at December 31, 2017

 150-151 

Appendices

Appendix 2: Issuance of capital instruments at December 31, 2017

 152 to 159 

Appendix 3: Leverage ratio (LR2)

 160

486

Natixis Registration Document 2017