NATIXIS - 2018 Registration document and annual financial report

RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

EXPOSURES TO CCPS (CCR8) R

EAD post CRM

RWA

(in millions of euros)

Exposures to QCCPs (total)

508

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which:

11,820

236

(i) OTC derivatives

1,011 7,373 3,437

20

(ii) Exchange-traded derivatives

147

(iii) SFTs

69

(iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

3

4,143

87

Prefunded default fund contributions

273

185

Exposures to non-QCCPs (total) Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which: (i) OTC derivatives (ii) Exchange-traded derivatives (iii) SFTs (iv) Netting sets where cross-product netting has been approved Segregated initial margin Non-segregated initial margin

Prefunded default fund contributions Unfunded default fund contributions:

B – Capital requirements and risk-weighted assets CAPITAL REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENTS (EU CCR2) R

EAD post-CRM techniques

RWA 1,014

(in millions of euros)

Total portfolios subject to the advanced method (i) VaR component (including the 3×multiplier) (ii) Stressed VaR component (including the 3×multiplier) All portfolios subject to the standardized method Based on Original Exposure Method TOTAL SUBJECT TO THE CVA CAPITAL CHARGE 31/12/2018 TOTAL SUBJECT TO THE CVA CAPITAL CHARGE 31/12/2017 Securitization 3.3.3.4 A – Accounting methods (See Consolidated financial statements and notes–Note 6 Accounting principles and valuation methods.) The securitization positions classified as “Loans and receivables” are measured at amortized cost using the effective interest rate method as described in Note 6.1 to the accounting principles which can be found in Note 5.1 “Consolidated financial statements and notes” to Chapter 5 “Financial data” of the consolidated financial statements. They are tested for impairment at each reporting date and an impairment charge is recorded in the income statement under “Provision for credit losses”. Securitization positions classified under “Available-for-sale assets” are measured at their market value and any changes, excluding income recognized using the effective interest method, are recorded in a specific line in equity. Securitization positions (classified as debt instruments) are tested for

4,193

98

916 647

2,975

7,168 8,389

1,661 1,198

impairment at each reporting date and an impairment charge is recorded under “Provisions for credit losses”. In the event of a disposal of securitization positions (classified as debt instruments), Natixis transfers any changes in fair value for recognition in the income statement. Positions classified under “Fair value through profit or loss” are measured at market value. The market value is measured according to principles described in Note 5.6 of Accounting principles which can be found in Note 5.1 “Consolidated financial statements and notes” to Chapter 5 “Financial data”. Gains or losses on the disposal of securitization positions are recognized in line with the rules applicable to the category in which the positions sold were initially classified. Synthetic securitization transactions in the form of Credit Default Swaps follow accounting rules specific to trading derivatives. Securitized assets are derecognized when Natixis transfers the contractual rights to receive the financial asset’s cash flows and nearly all the risks and benefits of ownership.

205

Natixis Registration Document 2018